台灣牛熊證之定價與避險策略

Abstract

本文一開始先介紹台灣牛熊證的運作機制，並由香港牛熊證的定價模型，延伸出台灣牛熊證的定價公式。此外，由於牛熊證是台灣金融市場上的新衍生性金融商品，投資人及券商都非常關注其風險議題，因此本文也針對發行商的避險機制加以探討，討論簡單避險、動態避險、及最佳化靜態避險三種不同的避險策略之下，台灣牛熊證的避險效果，並用台灣加權股價指數實證之。研究結果顯示，相較於其他避險策略，動態避險誤差及動態避險成本較為穩定，其避險效果較佳。

This paper introduces the mechanism of callable bull/bear contracts (CBBCs) in Taiwan, and then derives the pricing formula from pricing model of CBBCs in Hong Kong. Since CBBC is a new financial derivative traded in Taiwan, not only investors but security firms pay close attention to the issue of risk control. Therefore, this paper also focuses on the hedging methods from CBBCs issuer’s point of view. To discuss the hedging performances of CBBCs in Taiwan, we examine simple hedging, dynamic hedging, and optimized static hedging strategies, and do empirical research on the three hedging strategies using Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The result shows that dynamic hedging outperforms the other two hedging strategies, as the discounted hedging error and the hedging cost of dynamic hedging are relatively more stable.