牛熊證與權證性質相似，是一種設有停損機制的價內型權證。投資人只要投入少量權利金就可以追蹤標的資產的表現，有以小搏大的特性；其結構規則簡單且價格透明，牛熊理論價格在正常狀況下，與標的資產幾乎等同一比一的變動；而且跟權證一樣多空皆可操作，當看好標的資產表現購買牛證，反之看壞則可選擇熊證。 本研究的主要動機是透過探討在流動量提供者制度下，牛熊證的波動性與權證理論價與市價價差受變數的影響程度，以提供權證發行券商在設計牛熊證發行條件時的參考，應用縱橫迴歸模型分析的實證結果發現：一、不管是一般型還是展延型牛熊證，存續期間愈長的權證，受解釋變數影響的效果也較顯著。二、標的證券收盤價距限制價價差愈大愈深價內的權證，觸價提前下市的風險愈小，牛熊證受解釋變數影響的效果也較顯著。三、檢定不同到期條件的牛熊證，其內含在權證價格內的財務費用，對權證有顯著的負面影響，財務費用愈低的牛熊證愈有投資吸引力。 Callable Bull Bear Contract is similar with warrant, with a mechanism of stop-lossing and in–the-money warrants. Investors spent a small amount of the premium as long as you can track the performance of the underlying asset. There is a small risk characteristics and the structure simple and prices transparent. CBBC theoretical price normally changes nearly equal to underlying asset. Investors can buy long or short. By investing in a callable bull contract, investors are bullish on the prospect of the underlying asset, otherwise they can choose the callable Bear Contracts. The thesis aims to investigating through the liquidity provider system, the CBBC volatility and theoretical price spread of market price influenced by variables. The research results provide useful information for issuers in CBBC. The empirical results of panel regression show that whether it is an extension or general type of CBBC, the longer period of warrants effected by variables are more significantly. Second, the greater spread from closing price and call price, the knock out risk is smaller, and CBBC affected by the variables are more significant. Third, test different type of maturity, the financial costs contents in warrant are significant negative to the warrants. The lower financial cost of CBBC are more attractive.