博碩士論文 106458010 詳細資訊




以作者查詢圖書館館藏 以作者查詢臺灣博碩士 以作者查詢全國書目 勘誤回報 、線上人數:13 、訪客IP:3.235.227.117
姓名 賴苑茹(Yuan-Ju Lai)  查詢紙本館藏   畢業系所 財務金融學系在職專班
論文名稱 On Equity Option Listing: Empirical Lights for Taiwan from US Experience
(On Equity Option Listing: Empirical Lights for Taiwan from US Experience)
相關論文
★ 國內股票型共同基金異常報酬之特徵研究★ 台灣境外高收益債券型基金績效分析
★ 財富管理客戶選擇銀行之因素探討★ 境外匯回專法實施前後境外資金解決方案比較-以個案分析為例
★ 利用隨機優勢方法探究商品指數之投資績效★ 承銷關係是否會影響未來承銷業務?
★ 併購動能:以台灣市場為例★ 機構法人對股票報酬與公司價值之影響
★ 投資者情緒與期貨價格關聯性★ 避險基金指數是否能夠提供風險分散效果?- 利用均異擴張檢定
★ Model-Free隱含波動度價差之遠期資訊★ 公開市場購回股票之研究
★ Modeling Long Run Risk with Macroeconomic Fundamentals★ Exploration of Jumps and Cojumps in Financial Markets
★ 社會責任指數與環境、社會及公司治理之關聯性分析-以FTSE4Good系列指數為例★ 運用檢定資產價格泡沫模型建構動態財務危機預警之驗證
檔案 [Endnote RIS 格式]    [Bibtex 格式]    [相關文章]   [文章引用]   [完整記錄]   [館藏目錄]   [檢視]  [下載]
  1. 本電子論文使用權限為同意立即開放。
  2. 已達開放權限電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
  3. 請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。

摘要(中) 本研究提供了美國股權選擇權上市對相關標的資產影響的證據,並提供了與亞洲市場和台灣相關數據。因為這些信息與資本市場的變化有關,機構投資者和監管機構可以從這些信息中獲益,並瞭解股票選擇權對標的股票的影響。本研究的結論是,股票選擇權的上市,並不會對市場產生不穩定影響或增加價格波動性,反而能夠改善標的股票的流動性和市場表現 ,此與過去相關研究證據一致,並顯示台灣可考慮放寬對市值和平均交易量的限制。另外,在考量成功上市的前提之下,選擇理想交易所上市是企業的重要發展策略;尤其是具有高成長潛力的公司,他們通常傾向於選擇較為寬鬆掛牌標準的證券交易所上市。具體而言,台灣應該推出更多股票期選擇權,讓台灣比起其他市場更具競爭力,成為企業上市的首選交易所。總而言之,若能調整股票選擇權掛牌標準,從挑選擁有理想永續特性公司,轉變為改善資本市場環境的標準,將有助於推動產業發展和提高企業可持續性。
摘要(英) This study presents evidence of the effects of equity option introductions on underlying assets in the United States and also provides data concerning the same with respect to Asian markets and Taiwan. Institutional investors and regulatory authorities can benefit from the information because it clarifies the effect of stock options on underlying stock insofar as such information is related to changes in the capital market. The study concluded that introducing options does not have a destabilizing effect on markets or affect the underlying stock’s vola-tility; rather, listing options improves the underlying stock’s liquidity and market performance. The evidence contained herein is consistent with that of related studies and suggests that Tai-wan should loosen restrictions on market capitalization and average trading volume. In addi-tion, selecting the ideal market in anticipation of a successful listing becomes a crucial business development strategy for enterprises. Particularly, for firms with high potential for growth, they tend to obtain listings on the stock exchanges with listing standards that are easier to sat-isfy. Taiwan should introduce more stock options to be more competitive with other markets in the quest to be the first-choice exchange for corporate listings. In summary, changing the options listing criteria from those that require achieving desirable permanent characteristics to those that only require improving market circumstances could eventually drive the develop-ment of the financial industry and improve enterprise sustainability.
關鍵字(中) ★ 股權選擇權
★ 股票選擇權
★ 上市標準
★ 事件研究法
關鍵字(英) ★ Equity option listing
★ Stock option listing
★ Listing criteria
★ Event study
論文目次 摘要………………………………………………………………………………………………………………………………………i
Abstract ………………………………………………………………………………………………………………………ii
Acknowledgments……………………………………………………………………………………………………iii
Table of Contents…………………………………………………………………………………………………iv
List of Figures…………………………………………………………………………………………………………v
List of Tables…………………………………………………………………………………………………………vi
1 Introduction……………………………………………………………………………………………………………1
2 Data and Methodology………………………………………………………………………………………4
3 Literature review………………………………………………………………………………………………7
4 Results………………………………………………………………………………………………………………………11
4.1 Short-term effects on option listing in the United States………………………………………………………………………………………………………………………………12
4.1.1 Effect on Stock Liquidity:Trading Volume……………12
4.1.2 Effect on Price Volatility:Annualized Volatility……………………………………………………………………………………………………………………13
4.1.3 Effect on Stock Returns:CAR………………………………………………14
4.2 Evidence on Long-Term Effect of Option Listing……………………………………………………………………………………………………………………………18
4.2.1 Enterprise Sustainability Improvement for Start-Up Companies and Research Institutions…………………………………………18
4.2.2 Improving Market Conditions: Evidence from the Number of Analysts………………………………………………………………………………………………21
4.2.3 Volatility Effects on Large-Cap Stocks Are Not Significantly Different…………………………………………………………………………………23
4.2.4 Factors that Attract International Investor to Asian Markets……………………………………………………………………………………………………………23
5 Conclusion………………………………………………………………………………………………………………26
References……………………………………………………………………………………………………………………28
Appendix 1 Criteria for Listing Stock Option………………………………………………………………………………………………………………………………31
參考文獻 [1] Afef ANSI and Olfa BEN OUDA ,2009. How Option Markets Affect Price Dis-covery on the Spot Markets: A Survey of the Empirical Literature and Synthesis, International Journal of Business and Management, 4( 8), 155-169
[2] Aswath Damodaran and Joseph Lim, 1991. The effects of option listing on the underlying stocks′ return processes. Journal of Banking & Finance, 15(3), 471-732
[3] Benjamin M. Blau and Tyler J. Brough, 2014. Short Sales and Option Listing De-cisions, Financial Management , 43(3), 703 – 724
[4] Chieh-Wei Hung, 2007. The Impacts of Option-Listing on Systematic Risk and Volatility of Underlying Stock Returns in Taiwan Stock Exchange, Journal of Business Administration, 72, 62-94
[5] Conrad, J., 1989. The Price Effect of Option Introduction. , The Journal of Fi-nance, 44, 487-498.
[6] Christie, Andrew A. 1982. The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of financial Economics, 10, 407–432
[7] Damodaran, A. and J. Lim (1991), ‘The Effects of Option Listing on the Underly-ing Stock’s Return Process’, Journal of Banking and Finance, 15, 647-664
[8] Dar-Hsin Chen and Po-Hsun Chang, 2008. The Impact of Listing Stock Options on the Underlying Securities: The Case of Taiwan, Applied Financial Economics, 18, 1161-1172.
[9] Detemple, J. and Jorion, P., 1990. Option Listing and Stock Returns: An Empirical Analysis. Journal of Banking and Finance, 14, 781-801.
[10] Detemple, J. and Selden, L., 1991. A General Equilibrium Analysis of Option and Stock Market Interactions, International Economic Review, 32, 279-303.
[11] Easley, D., O’Hara, M. and Srinivas, P. 1998. Option Volume and Stock Prices: Evidence on Where Informed Traders Trade. The Journal of Finance, 53, 431-465.
[12] George Filis, Christos Floros and Bruno Eeckels, 2011. Option listing, returns and volatility: evidence from Greece, Applied Financial Economics, 21(19), 1423–1435
[13] Himanshu Joshi, 2018. Does Introduction of Stock Options Impact Stock Volatili-ty? Empirical Evidence from Underlying Stocks in Indian Market, Theoretical Economics Letters, 08(10), 1803-1815.
[14] Huimin Chung, Mei-Maun Hseu, 2006. Why Do the Market Impacts of Derivative Warrant Differ from Those of Standard Options? Evidence from an Emerging Market. Investment Management and Financial Innovations, 3(2), 138-153
[15] Jianfeng Hu, 2014. Does option trading convey stock price information, Journal of Financial Economics, 111(3), 625-645
[16] Jianfeng Hu, 2018. Option listing and information asymmetry, Review of Finance. 22(3), 1153-1194.
[17] Joseph H. Golec and John A. Vernon, 2007. Financial Risk In Biotechnology In-dustry, NBER Working Paper 13604
[18] Katleen Baeyens, Tom Vanacker and Sophie Manigart, 2005. Venture Capitalists’ Selections Process: The case of Biotechnology Proposals. Vlerick Leuven Gent Working Paper Series 2005/17
[19] Leonard L. Lundstrum, 2016. Option listing: market quality revisited, Review of Quantitative Finance and Accounting, Springer, 47(3), 565-578
[20] Mayhew, Stewart & Mihov, Vassil., 2000. Another Look at Option Listing Effects, University of Georgia Working Paper, SSRN Electronic Journal, 10.2139/ssrn.223128.
[21] Mayhew, Stewart, 2002. Competition Market Structure, and Bid-Ask Spreads in Stock Option Markets, The Journal of Finance, 57(2), 931-958
[22] Mayhew, Stewart & Mihov, Vassil., 2004. How Exchanges Do Selects Stocks for Option Listing? The Journal of Finance, 59(1), 447-471.
[23] Ni, S., Pan, J. and Potashman, A. 2008. Volatility Information Trading in the Op-tion Market. The Journal of Finance, 63, 1059-1091.
[24] R. Jared DeLisle, Bong Soo Lee ,Nathan Mauck, 2016. The dynamic relation be-tween options trading, short selling, and aggregate stock returns, Review of Quan-titative Finance and Accounting, 47(3), 645–671
[25] Richard Roll, Eduardo Schwartz, and Avanidhar Subrahmanyam, 2009. Options Trading Activity and Firm Valuation, Journal of Financial Economic, 94(3), 345-360.
[26] Rwei-Ju Chuang et al., 2008. Taiwan lives the technique to create throws the in-fluence appraisal factor and the strategy development, Journal of Data Analysis, 3(2), 19-48
[27] Skinner, D., 1989. Options Markets and Stock Return Volatility, Journal of Fi-nancial Economics, 23, 61-78.
[28] Staffan Linden, 2010. The Price and Risk Effects of Option Introductions on the Nordic Markets, European Economy - Economic Papers, 434
[29] Stock Selection Criteria, http://eng.selaw.com.tw/LawArticle.aspx?LawID=FL022578&ModifyDate=1041103&og=<=&md=1&k1=stock%20option&k2=&k3=&c1=&c2=, November 3rd, 2015.
[30] Yu, Susana, et al., 2010. The effects of option introduction analyst coverage and earnings estimates, The American Economist, 55(2), 46-66.
指導教授 葉錦徽(Jin-Huei Yeh) 審核日期 2019-7-23
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明