發行券商權證上市日價格差異探討

Abstract

台灣權證市場自民國86年6月開放券商發行認購(售)權證業務以來，上市交易迄今已第十四年，初期權證市場並不活絡，隨著金融市場的開放與多元化，及民國96年所得稅法修訂權證避險損益應併計發行損益課稅，藉以解決所得稅法爭議後，權證業務的交易量與交易金額即不斷成長。 本研究旨在探討台灣各發行券商上市日權證市場價格與理論價格差異程度。首先，本研究從目前台灣權證市場發展、市場交易新制及交易量值作概況調查說明；其次，對權證內容、類型及影響權證價格因素，及業界經常使用的訂價模型、波動性資訊進行探討；最後，建立迴歸模式，並進行實證的研究與分析。 本研究根據560檔樣本，以權證基本面探討、由認購權證發行時之基本條件參數所得出統計數據分佈情形，去觀察券商於發行權證時存在的特別偏好；以券商別分類，在14家發行券商中，價格差異程度分佈由新壽(1.086)到元大(14.137)，各券商間權證市價與理論價差異現象相當顯著，其中以新壽、大華、工銀、永豐等4家券商相對於其他發行券商有顯著的差異；以權證之標的證券區分產業別看，各券商所喜愛發行之電子業，相較傳統產業及金融業，價格差異程度明顯較小，可能是電子業類股相較傳產、金融類股有較佳流動性及波動程度大所致，而使其價差程度相對較小。

The warrants market in Taiwan has been traded so far fourteen years since brokers were allowed to do business in call (put) warrants in June 1997. In the beginning, however, the warrants market was not active. With the liberalization and diversification of financial market, and the amendment to the Income Tax Law, which provides that hedge profit and loss should be included in issued profit and loss, the transaction volume and transaction amount of warrant business are growing.

This study aimed to explore the differences between the market price and theoretical price of warrants issued by brokers in Taiwan. First, this study conducted a survey on warrants market development in Taiwan, market transactions system, and transactions amount; Secondly, the content of the warrant, the warrant price type and impact factor, and popular pricing models, volatility information were explored; Finally, a regression model was developed and empirical research and analysis were conducted.

According to the sample of 560 items, this study has observed the preference of brokers when issuing warrants by considering of the fundamentals of issued warrants, the conditions and the basic parameters of issued warrants, and the statistics distribution. Besides, among 14 distribution brokers, the price difference is distributed from 1.086 to 14.137, which means the differences between the warrant price and theoretical price among the brokers are quite significant. In addition, on the view point of the distinctions among the underlying securities industry, the issues of electronic industry provide smaller price differences when compared to traditional and the financial industries. The major reason is probably from their better liquidity and larger volatility.