查詢結果分析
來源資料
頁籤選單縮合
| 題 名 | 臺灣認購權證價格影響因素之實證分析=An Empirical Analysis of Influence Factor of Warrants in Taiwan Market |
|---|---|
| 作 者 | 李義祥; 連志峰; | 書刊名 | 大漢學報 |
| 卷 期 | 12 1998.11[民87.11] |
| 頁 次 | 頁369-385 |
| 分類號 | 563.54 |
| 關鍵詞 | 認購權證; 權證到期日; 標的股市價; 標的股市價波動性; 無風險利率; Warrants; The duration of warrants; The price of underlying securities; The volatility of underlying securities; The rate of unrisk; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 理論上而言，影響認購權證價值的因素，有標的股票市價、權證到期、日標的股 市價波動性、權證履約價格、無風險利率、標的股現金股利等六項。本文擬針對臺灣股票市 場進行實證研究，探討上述幾項因素與認購權證價格之關係。本研究採用『多元迴歸分析法 』來瞭解自變數與因變數間之關係，並利用統計理論進行檢定。本研究似目前已掛牌上市， 且為單一標的股之 14 天支認購權證作為研究樣本。根據實證結果，我們可以獲得以下之結 論： 1. 多數『認購權證市價』會受到『權證到期日』之影響，且成正向變動，即『權證 到期日』愈長，則『認購權證市價』會愈高，反之亦然。 2. 所有『認購權證市價』均會受 到『標的股市價』之影響，且成正向變動，即『標的股市價』上漲，則『認購權證市價』也 會上漲，反之亦然。 3. 『標的股市價波動性』與『無風險利率』對『認購權證市價』並無 顯著影響，少數有影響也以正向影響取多數。此結果與理論上之說法及其他文獻之實證結果 稍有出入。究其原因可能與本研究採用衡量『標的股市價波動性』與『無風險利率』之指標 、或該指標計算期間過短、或目『認購權證』成交量過小等因素有關，因此無法明顯觀察出 其對『認購權證市價』之影響，值得後續研究者持續觀察與探討。 |
| 英文摘要 | In theroy, The factors of influence on warrants' price are "the price of underlying securities"、 "the duration of warrants"、 "the volatility of underlying securities"、 "the strike price of warrants"、"the rate of unrisk"、 "the divide of underlying securities". The purpose of this study is to examine the relationship between warrants' price and six factors of influence in Taiwan market. The research method use "multiple regression" and "t-test.". We select fourteen warrants which have exchanges in stock market to research's sampleing. We draw the conclusions in the followings: 1.We find that the duration of warrants influences the warrants' price. When the duration of warrants is longly, then the warrants' price is rising, and vice versa. 2.We find that the price of underlying securities influence the warrants' price. When the price of underlying securities is rising, then the warrants' price is rising, and vice versa. 3.We find that the volatiliyt of underlying securities and the rate of unrisk don't have influences for the warrants' price. Just few sampleings have positive influence. The conclusion differs from the theory and other empirical studies. It is relative that the measure "the volatility of underlying securities" and "the rate of unrisk" index or the cycly of caculate is shortly. So, we can't find the relationship between them. We suggest other researcher keep on study in depth. |
本系統中英文摘要資訊取自各篇刊載內容。