後金融風暴時期券商銷售結構型商品創新商業模式─行為財務學觀點

Abstract

2009年全球股市甫經過金融風暴之重創，在海外連動債仍陷入解決雷曼事件糾紛、主管機關為了如何規範結構型商品而與業者不停溝通的狀態之下，券商卻立即調整發行商品腳步，推出各型態股權連結商品(Equity linked notes；ELN)契約，成功推出股權連結商品交易金額達392億元，較2008年大幅成長103%，且帶領結構型商品的成交總量，創下92年核准以來的高峰。 龔蜀芬(2010)針對2009年股權結構型商品銷售成功背景以及券商商業模式之探討，發現2009年投資人投資習性改變於商品型態之偏好表現包括，契約期間縮短、商品包裝透明度高、客製化訂作服務以及連結標的以單一個股為主等。本研究承襲龔蜀芬(2010)之研究，進一步加入行為財務學觀點，以2009年國內A券商銷售股權結構型商品經驗為例，探討2009年投資人於股權結構型商品中投資行為與表現受到情緒層面之影響，研究發現投資人於2009年後金融風暴時期，因甫經2008年金融市場風暴以及資產虧損，對於未來偏向悲觀且信心不足而偏好具有障礙選擇權保護條件機制之股權結構商品，此偏好將隨著投資人恐慌情緒指數VIX下降而下降，此外投資人於障礙選擇權保護條件中，特別偏好連續觀察日出局機制及間斷觀察日出局機制搭配生效機制兩種組合之股權結構型商品。

After the crash of global stock market in 2008 financial crisis, banks still have difficulty conferring with clients, and the governance also tried to find the appropriate structured products sale rules. Those domestic securities firms immediately adjust the direction of issuing financial product. According to the data from OTC, the sales of Equity linked notes (ELN) issued by financial institution reached NTD 39,242 million during 2009. The amount of equity- linked note which are not principal-guaranteed, and linked to Taiwanese stocks, sets the record since its first distribution in Taiwan. This study tries to figure out why domestic securities firms succeeded in issuing ELN, and analysis the change in traders’ investing preference. By studying the sales documents of a securities firm, this paper shows that investors preferred ELN with barrier options during the post-financial crisis period, and the preference diminished with the decrease of VIX. Moreover, they particularly favored the system of everyday observation period with a kick-out option and that of every-week observation period with a kick-out option plus a trigger option.