認購權證發行對其標的股票之價格發現功能及其市場風險的影響

Abstract

台灣認購權證自民國八十六年開放，其發行對投資人而言，成為一項新的投資工具，本研究之目的在於利用Black-Scholes(1973)選擇權訂價模型，反推出股票現貨的參考價格，作為預測市場價格合理性之參考。同時，認購權證之發行，對標的股票風險是否有所影響，亦是本研究希望探究的。 在實證結果發現，當「實際股價」高於權證內「隱含之標的股股價」時，則當日之股票報酬率偏高之現象，反之亦然，這證實了隱含股價含有重要之股價預測資訊。至於權證發行對標的股票風險之影響，則發現總風險與非系統風險，會因權證之發行而降低，但系統風險則無影響。

Warrant is a new market instrument for investors in Taiwan. By Black & Scholes(1973) option pricing model, it provides an implied price information for its underlying stock. The purpose of this study is to use the implied stock price to predict the equilibrium stock price in the stock market. Its impact on the volatility of stock return is also explained. We find that when the market price of the stock is higher than the implied price, its daily return would be higher than that of the other day. This does confirm that the implied stock price contains valuable information for predicting the actual stock price. Meanwhile, the total risk and unique risk for the stock were lowered after the issuance of the related warrant. However, the systematic risk remains unaffected.