博碩士論文 etd-0524116-092816 詳細資訊


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姓名 吳宗謙(Tsung-Chien Wu) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 104學年第2學期
論文名稱(中) 放空限制對認售權證的影響-以台灣權證市場為例
論文名稱(英) The impact of short sales ban on put warrants: Evidence from Taiwan warrants market
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    紙本論文:5 年後公開 (2021-07-06 公開)

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    摘要(中) 此篇論文想要探討放空限制和認售權證之間的關係,我們以台灣權證市場來做實證研究,用認售權證的買賣價差、交易量和隱含波動率等三個面向來做切入,由實證的結果可知,當有放空限制存在的時候,認售權證的價差和交易量會比較大,為了考慮內生性而用兩階段最小平方法做出來的結果也是維持一致,我們認為在有放空限制的情況下,權證市場和現貨市場之間存在一個替代關係,但當股票經歷了從可以平盤以下放空到不可以平盤下放空或從不可以平盤下放空到可以平盤以下放空後的短時間內,此一替代關係並沒有那麼明顯。
    摘要(英) We will examine the relationship between short sales ban and put warrants from Taiwan’s warrant market. Our results show that put warrants trading volume and bid-ask spreads are higher when short sales are banned. We also run 2sls regressions to examine the endogeneity problem that arises. However, we find that warrant market can be substituted for underlying market with short sales ban, but this relationship does not hold strong in the short term when the market switches between banning and not banning short selling.
    關鍵字(中)
  • 放空限制
  • 認售權證
  • 買賣價差
  • 隱含波動率
  • 兩階段最小平方法
  • 關鍵字(英)
  • Put warrants
  • Short sales ban
  • Two stage least squares regression
  • Bid-ask spreads
  • implied volatility
  • 論文目次 論文審定書……………………………………………………………. i
    中文摘要………………………………………………………….….. ....ii
    Abstract ………………………………………..……………………… .iii
    1. Introduction ………………………………………………………......1
    2. Methodology………………………………………………………….4
    2.1Calculating Abnormal Returns and Cumulative Abnormal Returns ………...4
    2.2How to Calculate Bid-Ask Spreads of Put Warrants………………………5
    3. Data Description………...……………………………………………6
    4. Empirical……………………………………………………………...8
    4.1 The Effect of Short Sales Ban on Put Warrants Trading Volume……………8
    4.2 The Effect of Short Sales Ban on Put Warrants Bid-Ask Spreads …………12
    4.3 The Effect of Short Sales Ban on Implied Volatility……………………..16
    4.4 Simultaneous Determination of Put Warrants Volume and Spreads ……….19
    5. Conclusion …………………………………………………………...20
    References...…….……………………………………………………....32
    Appendix ……………………………………………………………….34
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    口試委員
  • 陳佑倫 - 召集委員
  • 翁培師 - 委員
  • 蕭育仁 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2016-06-17 繳交日期 2016-07-06

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