题名

臺股認購權證交易對標的股票風險之影響

DOI

10.6985/TBFQ.200403.0087

作者

王毓敏

关键词

認購權證 ； 系統性風險 ； 非條件波動性 ； 條件波動性 ； 波動性不對稱效果

期刊名称

台灣金融財務季刊

卷期/出版年月

5卷1期（2004 / 03 / 01）

页次

87 - 103

内容语文

繁體中文
中文摘要

本文目的在探討台股認購權證交易對標的股票風險之影響，實證結果發現認購權證交易對標的股票之報酬率及系統性風險無重大影響。在波動性方面，標的股票報酬非條件波動性會下降，條件波動性明顯發生改變；另一方面，標的股票市場產生了動態的變動。
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
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被引用次数
  1. (2006)。發行金控產業認購權證對其股價投資報酬之影響分析。永豐金融季刊，32，99-124。
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