在多頭和空頭市場下認購權證之上市 : 對標的股票之影響

Abstract

台灣所發行的認購權證到目前為止已經有六年多的歷史，在這幾年之中，台灣股市歷經幾番多、空轉折。故本研究主要針對在不同的市場行情下－多頭和空頭市場下，探討認購權證的上市對於標的股票之影響，運用市場模式配合OLS法和GARCH兩種估計方式來計算異常報酬。在波動性方面，是用GARCH模型設立一個虛擬變數來檢定。最後採用Granger因果關係檢定法在探討權證與標的股價格的領先落後關係。 根據本文實證結果，獲得結論如下： 1. 在多頭市場下，在平均異常報酬(AAR)方面，權證上市日前有顯著負的價格效果，在累積超額報酬(CAAR)方面，有顯著負的累積超額報酬；而在對標的股票波動性影響方面，有8個顯著波動性減少，僅有1個是顯著波動性增加；在因果關係方面，標的股價對權證價格有因果關係有42檔，權證價格對標的股價格有因果關係的有48檔，互為因果的有34檔。 2. 在空頭市場下，在平均異常報酬(AAR)方面，權證上市前、後有顯著負的價格效果，在累積超額報酬(CAAR)方面，有顯著負的累積超額報酬；而在對標的股票波動性影響方面，有3個是顯著波動性減少，有2個是顯著波動性增加；在因果關係方面，標的股票價格對權證價格有因果關係有21檔，權證價格對標的股價格有因果關係有20檔，互為因果的有13檔。

Taiwan warrant issuance has developed almost seven years since 1997. In those years, the stock market has experienced up and down. This research mainly studies that the effects of Taiwan warrant issuance and listing on underlying stock during bull and bear markets. We apply market model with OLS and GARCH methods to estimate abnormal returns. In volatility, we use the GARCH model to estimate it. Finally we discuss the lead-lag relationship of warrant and underlying stock by Granger Causality test. The results in the research are as followed: 1. In bull market, we found that average abnormal returns have significant negative price effect before the listing date. The cumulative average abnormal returns also have significant negative impact. The results form Granger causality test show that forty-two single warrants have causalities on underlying stock prices to warrant prices. Forty-eight single warrants have causalities on warrant prices to underlying stock prices. Thirty-four warrants have reciprocal causation. 2. In bear market, we found that average abnormal returns are significant negative price effect before the listing date and behind. The cumulative average abnormal returns are significant negative impact. The results form Granger causality test show that twenty-one single warrants have causalities on underlying stock prices to warrant prices. Twenty single warrants have causalities on warrant prices to underlying stock prices. Thirteen warrants have reciprocal causation.