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題名 | 臺灣證券市場股票認購權證評價與避險之實證研究=An Empirical Study of Pricing and Hedging Warrants in Taiwan Stock Market |
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作者 | 林丙輝; 王明傳; | 書刊名 | 證券市場發展季刊 |
卷期 | 13:1=49 2001.04[民90.04] |
頁次 | 頁1-29 |
分類號 | 563.54 |
關鍵詞 | 認購權證; 跳躍--擴散程序; 資訊時間模型; Stock warrant; Jump-diffusion process; Information-time model; |
語文 | 中文(Chinese) |
中文摘要 | 本研究主要的目的在比較三種選擇權評價模型:Black-Scholes模式、資訊時間模式及Merton模式對臺灣證券市場股票認購權證評價之適用性。研究對象採用1997年9月至1999年12月上市之57種個股認購權證價格之日資料,研究期間自1997年9月至2000年3月止共2年7個月。實證結果發現,標的權證價格有明確的純粹擴散及跳躍-擴散現象存在,故認購權證標的證券價格變動假設為純粹擴散隨機過程或跳躍﹣擴散隨機過程比跳躍隨機過程為佳。但研究結果顯示三種模型在評價誤差、避險誤差標準差、避險比率及投資組合套利能力的分析比較上,三種模式的差異並不明顯。而根據評價結果,大部份認購權證實際價格高於理論價格,其可能原因包括:臺灣股市規模較小、有漲跌幅的限制、及其它人為因素的干預,以致於此市場無法充分反應市場資訊。另由於認購權證不允許賣空,故當認購權證價格高估時,投資者無法藉著套利操作使認購權證價格回歸合理價位。 |
英文摘要 | This study investigates the pricing and hedging of stock warrants in Taiwan stock market. Three option pricing models: the Black-Scholes model based on a diffusion process, the Information-Time model based on a jump process, and the Merton model based on a jump-diffusion process, are compared in terms of pricing and hedging performances. 57 listed stock warrants are included in the research sample. And research data contains the daily prices of sample warrants for the period from September 1997 to March 2000. The empirical evidence shows that the diffusion process or the jump-diffusion process is more reasonable than the pure jump process in describing the underlying stock price behavior. As a result, although trivial, the Merton model or the Black-Scholes model is superior to the Information-Time model, with the Merton model performs best among the 3 models. In general, however, the market prices of stock warrants remain largely unexplained by the theoretical prices calculated from any of the 3 models. This may be due to the market inefficiency and short-sell restrictions in the stock warrant market. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。