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題 名 | 認購權證發行券商避險策略之研究=A Study on Warrant Issuers' Hedge Strategies |
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作 者 | 劉德明; 劉岳玲; | 書刊名 | 證券金融 |
卷 期 | 61 1999.04[民88.04] |
頁 次 | 頁1-45 |
分類號 | 563.55 |
關鍵詞 | 認購權證; 避險策略; 波動性; Covered-warrant; Hedge ratio; Volatility; |
語 文 | 中文(Chinese) |
中文摘要 | 本文研究認購權證發行券商之避險策略問題。本文針對波動性估計誤差與交易成 本之影響探討發行券商不同避險策略之優劣。本文首先以模擬的方式去估計不同避險策略可 能產生的避險成本與風險,進而探討認購權證之合理的價格加碼幅度。接著比較盤中與收盤 間的波動性差異,探討在現行認購權證之發行條款下,發行券商在不同時點避險與不同頻率 避險的可能利益與風險。本研究以模擬的與實際的盤中「五分鐘價格」為根據,比較不同的 避險策略與搭配之波動性估計方式對發行券商損益之影響。 針對模擬研究,本文發現考慮交易成本後,增加調整頻率會帶來單位獲利率的降低,其 結果是風險降低的程度小於報酬降低的程度。另外、本研究發現標的股票波動性的大小對發 行券商獲利率並無影響,但獲利率的標準差隨著波動性的增加而增加。針對國內之權證市場 做實證研究,本文發現以每日收盤價進行避險效果最佳,收盤前三十分鐘進行避險次之,而 值得注意的是,以每日五分鐘進行價格調整避險之獲利率幾乎全部處於最差,因此若券商以 追求最大獲利率為其目標的話,應該可採用收盤價或收盤前三十分鐘之避險策略,而絕對應 避免每五分鐘隨時避險的操作策略。 |
英文摘要 | The valuation of Covered-Warrant are based on a hedge strategy-hedging the warrant against the underlying stocks and rebalancing continuously until expiration that is only possible in a frictionless market. This paper simulates the impact of market imperfections and other problems with the standard hedging trade, including uncertain volatility, transactions costs, and rebalancing only at discrete intervals. We first simulate the performance of warrants hedge strategies on simulated price data and compute the after-costs returns and risk on hedged positions using approximately the transactions cost structure that currently applied to warrants market in Taiwan. We then empirically test the same hedge strategies on the actual warrant market data in Taiwan. We find that due to the transaction cost and imperfect market structure in Taiwan, the more frequently to rebalance the hedged position does not always produce more desired results: there is a substantial reduction in risk only at the expense of a substantial increase in cost. In particular, we find that the best hedging strategy for a covered-wax-rant issuer is to rebalance her hedge position only based on the underlying stock's daily closing price. If the issuer is unable to rebalance her position on closing prices, the second best strategy is to delta-hedge her hedge position during the last thirty-minute periods before the market closes. The worst hedge strategy is to rebalance the hedge position every five minutes. |
本系統中英文摘要資訊取自各篇刊載內容。