標題: 不同股票變動率下認購權證避險之實證研究
An Empirical Study on the Warrant Hedge
作者: 黃銘信
Huang, Ming-Shinn
陳安斌
Dr. An-Pin Chen
資訊管理研究所
關鍵字: 認購權證;避險;變動率;波動容忍程度;模擬;Warrant;Hedge;Volatility;Price Tolerance Degree;Simulation
公開日期: 1997
摘要: 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.
URI: http://140.113.39.130/cdrfb3/record/nctu/#NT860396024
http://hdl.handle.net/11536/62978
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