Estimation of effects of multiple-listed warrants with various hedge on the return rate and volatility of underlying stocks and call warrants

• Main Authors: Shih-Ming Huang, 黃世鳴
• Other Authors: Ming-Chin Chin + Wei-Ting Yu
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/39717739121043341245

碩士 === 真理大學 === 財經研究所 === 96 === This research uses Volume-GARCH model to estimate the effects of multiple-listed warrants with various hedge on the return rate and volatility of underlying stocks and call warrants. The data in this study were collected from 2003 to 2007 in Taiwan call warrants market. The findings show that the multiple-listed warrants positively affect the return rate of underlying stocks. However, the multiple-listed warrants show no significant and consistent effects on volatility. Especially, in contrast with the traditional hedge design, this paper modifies new cumulative-hedge-volume valuables to examine the relationship. The results appear that the return effect show significantly positive in some groups but the volatility effect is not significant.