價格限制下選擇權價格發現功能探討－台灣認購權證市場之分析

Abstract

目前學術上對於價格限制機制的影響看法分歧，大部分的研究採取事件研究方法來探討價格限制前與價格限制後股票的價格行為，但是此種方法有著解釋上的問題，因此，本文透過研究價格限制期間，認購權證與標的股票的價格、隱含波動度、交易量來探討價格限制機制的影響，並且以日內交易資料進行研究，避免結算價格資料(settlement data)可能會有非同步(non-synchronous)的問題，進而得到以下之結論： 1. 使用CR-IVF估計波動度，帶入Black-Scholes 方程式的確可以對單純型認購權證提供一個良好評價方法。 2. 當標的股票受到價格限制機制的影響時，認購權證在特定條件下確可提供價格發現的功能，部分時候價格限制機制可避免過度反應資訊的情況發生，但有時候卻延遲了股票價格對於新資訊的反應，而百分比買賣價差較大的認購權證價格發現能力較差。 3. 當認購權證透露出標的股票受價格限制是延遲反應的訊息時，標的股票有發生波動度移轉的現象，而當認購權證透露出標的股票受價格限制是過度反應的訊息時，標的股票並未發生波動度移轉的現象。 4. 當標的股票受到價格限制機制的影響時，研究結果支持交易量會從股票市場移轉到認購權證市場的交易量移轉假設。

Researchers have diverse opinions on price limitation mechanism in the current academic field. Most of the study of price limitation uses event-study-type methodology, which adopts the price behavior before and after the price limitation, which has problem on explanation. Therefore, our research uses the data of two related markets (security market and warrant market) to study the effect of price limitation mechanism. It could avoid the problem of event-study-type methodology. And instead of using end-of-day settlement data, we introduce options transactions data to mitigate the problems like non-synchronicity between stocks and warrant prices. Some conclusions are as below, 1. Applying the volatility estimated of CR-IVF method to Black-Scholes equation is indeed a good pricing method for vanilla warrants. 2. When the underlying stock price is affected by price limitation mechanism, warrants can provide the function of price discovery under certain criteria. Price limitation mechanism can avoid overreaction, but sometimes delays the reaction to new information. The warrants with greater percentage spread are less able to provide the function of price discovery. 3. In the view of implied volatility, there is a shift in volatility when the warrant reveals the delay-reaction signal. Contrarily, when the warrant reveals the over-reaction signal, there is no migration of volatility. 4. When the underlying stock price is affected by some limited mechanism, Our results support the migration of trading volume hypothesis that the trading volume will transfer to warrant market from stock market.