不同股票變動率下認購權證避險之實證研究

Abstract

Warrants are new monetary merchants. It pertains characteristics of limited risks and unlimited earnings. For the company issuing the warrants, warrants issuing should charge large capital and then the hedge cost would be very high at the same time. How to avoid the risk becomes an important issue. If the hedge process have not been well done, the profit of the issuing company would decrease. This research would focus on the hedge behavior analyze in order to provide a better hedge mechanism when issui The results in this research can be concluded as following:1. The hedge effects by using dynamic volatility would be better than the effects by using the fixed volatility.2. Under the principle of perfect hedge, the hedge process stimulated only when the shift of the stock price amount to certain degree would be better than everyday tuning because thus the transaction cost could be reduced.3. In the empirical study of stock price tolerance degree, 10% tolerance degree would be better when adapting the long-term volatility; 16% tolerance degree would be better when adapting the short-term volatility.4. In general, adapting the base of 24 days volatility would generate best hedge effect and the best tolerance degree would be 16%.5. When applying dynamic volatility to hedge, 72 days and 24 days volatility would get better hedge effect. If the price tolerance degree less than 8%, Hedging by 72 days volatility would be better. If the price tolerance degree greater than 8%, Hedging by 24 days volatility would be better.