論文使用權限 Thesis access permission:自定論文開放時間 user define
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available
論文名稱 Title |
放空限制對認售權證的影響-以台灣權證市場為例 The impact of short sales ban on put warrants: Evidence from Taiwan warrants market |
||
系所名稱 Department |
|||
畢業學年期 Year, semester |
語文別 Language |
||
學位類別 Degree |
頁數 Number of pages |
43 |
|
研究生 Author |
|||
指導教授 Advisor |
|||
召集委員 Convenor |
|||
口試委員 Advisory Committee |
|||
口試日期 Date of Exam |
2016-06-17 |
繳交日期 Date of Submission |
2016-07-06 |
關鍵字 Keywords |
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 Put warrants, Short sales ban, Two stage least squares regression, Bid-ask spreads, implied volatility |
||
統計 Statistics |
本論文已被瀏覽 5780 次,被下載 24 次 The thesis/dissertation has been browsed 5780 times, has been downloaded 24 times. |
中文摘要 |
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。 |
Abstract |
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. |
目次 Table of Contents |
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 |
參考文獻 References |
Battalio, R. and Schultz, P. (2011) Regulatory uncertainty and market liquidity: The 2008 short sale ban’s impact on equity option markets, Journal of Finance 66, 2013–2053. Bruce D. Grundya, Bryan Lima, Patrick Verwijmerenb, 2012, Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban, Journal of Financial Economics 106, 331-348. Chang, E.C., Cheng, J.W., Yu, Y., 2007. Short-sales constraints and price discovery: evidence from the Hong Kong market. Journal of Finance 62, 2097–2121. Chen, Joseph, Harrison Hong, and Jeremy C. Stein, 2001, Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345–381. Danielsen, B. R. and Sorescu, S.M. (2001) Why do option introductions depress stock prices? A study of diminishing short sale constraints, Journal of Financial and Quantitative Analysis 36, 451–484. Diamond, D. W. and Verrecchia, R. E. (1987) Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277–311. Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383–417. Figlewski, S., Webb, G, 1993, Options, short sales, and market completeness, Journal of Finance 48, 761–777. Miller, E., 1977, Risk, uncertainty, and divergence of opinion, Journal of Finance 32, 1151–1168. Roll, R., Schwartz, E., and Subrahmanyam, A. (2010) O/S: The relative trading activity in options and stock, Journal of Financial Economics 96, 1–17. San-Lin Chung , Wen-Rang Liu , Wei-Che Tsai, 2014, The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market, Journal of Banking & Finance, 42, 123-133. Shane A. Corwin, Paul Schultz , 2012, A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices, The Journal of Finance 67, 719–760. Stewart Mayhew, Vassil Mihov, 2005, Short Sale Constraints, Overvaluation, and the Introduction of Options. Working paper. Tao L Wu, 2011, A Comprehensive Study of the Chinese Warrants Bubble. Working paper. Tse-Chun Lin, Xiaolong Lu, 2015 , How Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands, Review of Finance, 1-33. |
電子全文 Fulltext |
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。 論文使用權限 Thesis access permission:自定論文開放時間 user define 開放時間 Available: 校內 Campus: 已公開 available 校外 Off-campus: 已公開 available |
紙本論文 Printed copies |
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。 開放時間 available 已公開 available |
QR Code |