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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105083

    Title: 臺灣權證流動性對波動性與價差之影響 : 以牛熊證為例
    Other Titles: The impact of Taiwan stock warrants liquidity on the volatility and spread : evidence from the Callable Bull Bear Contracts
    Authors: 陳俞君;Chen, Yu-Jiun
    Contributors: 淡江大學財務金融學系碩士在職專班
    Keywords: 權證;牛熊證;流動性;波動性;縱橫迴歸模型;Warrant;Callable Bull Bear Contract;Liquidity;Volatility;Panel Data Regression Analysis
    Date: 2015
    Issue Date: 2016-01-22 14:47:21 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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