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頁籤選單縮合
題 名 | Price Changes of Related Securities: The Case of Warrants and Stocks in Taiwan=臺灣認購權證與標的股之因果關係探討 |
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作 者 | 楊踐為; | 書刊名 | 科技學刊 |
卷 期 | 8:4 1999.10[民88.10] |
頁 次 | 頁301-311 |
分類號 | 563.54 |
關鍵詞 | 認購權證; 因果關係; Stock warrants; Causality test; |
語 文 | 英文(English) |
中文摘要 | 眾多國外實證研究指出,衍生性金融商品由於具有低交易成本與較高的流動性等 優點,因此其價格往往會領先現貨商品之價格。本文即以探討台灣之股票認購權證與標的股 票之市場價格,是否亦存在著這種領先╱落後關係為目的。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電子股 為標的所發行的認購權證,其權證之價格會領先標的股,且為一單向因果關係,而以一般產 業為標的所發行的認購權證,其權證之價格卻無領先標的股的現象。 |
英文摘要 | The empirical findings point out that the prices of derivative instruments, be they options or futures, usually lead those of their underlying securities because of a lower trading cost and higher liquidity involved in the derivative markets. With an aim to find out whether the prices of stock warrants lead those of their underlying securities traded on the Taiwan Stock Exchange, this paper examines the price leading/lagging relationship between these two by using the Granger causality test. The outcome indicates that the prices of warrants whose underlying securities are technology- related would lead those of stocks and a uni-directional causality relationship exists between them. As for the prices of warrants whose underlying securities are not technology-oriented, no causality relationship exists. |
本系統中英文摘要資訊取自各篇刊載內容。