台股認購權證交易對於標的股票波動性的影響

10.6985/TBFQ.200306.0065

王毓敏

認購權證 ； 標的股票 ； 波動性

台灣金融財務季刊

4卷2期（2003 / 06 / 01）

65 - 79

繁體中文

本文選取各年度發行及各不同類型認購權證之標的股票，以探討台股認購權證交易對於標的股票波動性的影響，綜合本文實證結果，發現標的股票大致上符合「高風險高報酬」之理論；認購權證上市交易會影響標的股票的波動性，其次，也發現標的股票的好消息比壞消息所引發的波動性較大。另一方面，在認購權證上市交易後，認購權證交易活動會提高標的股票波動性，且非預期交易活動對於標的股票波動性的影響，大於預期交易活動。

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