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題名 | 臺灣認購權證與標的股間價格因果關係之探討=A Causality Study of Warrants and Securities in Taiwan |
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作者 | 楊踐為; | 書刊名 | 臺灣土地金融季刊 |
卷期 | 36:3=141 1999.09[民88.09] |
頁次 | 頁51-68 |
分類號 | 563.54 |
關鍵詞 | 認購權證; 恆定性; 因果關係; Stock warrants; Stationary; Causality test; |
語文 | 中文(Chinese) |
中文摘要 | 國外眾多研究指出,衍生性商品由於交易成本較低等優點,所以其價格對現貨市 場往往產生領先作用。本文即以探討臺灣之股票認購權證與其標的股票之市場價格,是否亦 存在著這種領先關係為目的,研究方法主要為時間數列之恆定性檢定, 再套用 Granger 之 因果關係模式( Causality Model )。 研究結果發現以高科技之電子股為標的發行之認購 權證,其權證之價格會領先標的股,而以一般產業為標的所發行之認購權證,其權證之價格 卻無領先標的股之現象。由於認購權證市場在臺灣尚處於萌芽期,交易歷史不足一年,且投 資對象以法人為主,而發行之時機又會影響到權證價格之設定與未來之走勢,故值得後續學 者做更進一步之探討。 |
英文摘要 | The empirical findings point out that the market prices of drivative instruments usually lead those of their underlying objects because of a lower cost of trading and higher liquidity involved in derivative markets. With an aim to find out whether the prices of stock warrants lead their underlying securities traded on Taiwan Stock Exchange, this paper examines the price leading/lagging relationship between these two by using stationary and Granger causality tests. The outcome indicates the prices of technology-related securities warrants would lead those of underlying stocks. Since the market for stock warrants in Taiwan is still under the burgeoning stage with a short trading history of less than one year, more detailed research are encouraged in the future. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。