台灣發行認購權證券商實務與理論避險值之差異及其成因

Abstract

本文探討台灣發行權證券商Delta加減碼實務避險值，與理論避險值之差異，第一階段檢定兩者有無顯著差異；第二階段再由認購權證風險來源及相關文獻形成之三項自變數，以GARCH(1,1)模式估計其偏誤的成因。本研究發現：第一，二階實務避險值與其對應之理論避險值，確實存在顯著差異；其次，價內程度越深，則實務與理論避險值之差越大；第三，實務與理論避險值之差異，並不會因為權證有效期間消逝而遞減；最後，標的股票價格波動程度愈大，則實務與理論避險值的差異也會隨著增加。本研究建議，主管機關或許可以增補發行權證券商二階避險之監理法規，改採更適合買權賣方二階避險之市場商品進行避險，以健全台灣發行認購權證賣方之避險策略。

This paper studied the deviations between the theoretical hedge value and actual hedge of enlarged or reduced value of Delta from the securities corporations which issued the warrants in Taiwan. In the first step, the paper tested whether there were significant deviations between them. In the second step, by means of the three independent variables derived from the related articles and the resources of warrants' risk, the paper made use of GARCH (1, 1) to estimate the factors which affected the hedge deviations. The research found out: first, the obvious deviations did exist between the actual hedge value of the second derivative and its corresponding theoretical one; secondly, the deeper the degree in the money is, the larger the deviations between these two hedge values will become; thirdly, it is impossible that the deviations between these two hedge values will dwindle just because the warrants gradually die out; last, the more the price of the underlying stock fluctuates, the larger the deviations between the two hedge values will be. This paper suggests that the government authorities might increase or remedy the monitoring regulations which are concerned with the second derivative of hedge from the securities corporations which wrote the warrants, and adopt the market goods which are more suitable for the seller of the call which deals with the second derivative of hedge to achieve the hedge, and therefore to strengthen the strategy of hedge for selling party of warrants in Taiwan.