How Warrants Issuance Conditions Influence The Relationship Between Warrants Price And Underlying Stock Price-The Case For Taiwan 50 Index

• Main Authors: HSIEH, YI-TA, 謝易達
• Other Authors: Wang, Kuan-Min
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/jy22z6

碩士 === 僑光科技大學 === 財務金融研究所 === 103 === This research is set out to investigate the impacts imposed by the trading of call warrants on the volatility of underlying stocks after the issuance of the former. The measurable indicators here are the warrant returns at closing price and the underlying stock returns at closing price, while the trading materials of Taiwan 50 and the call warrants of Taiwan 50 during November 2013 and January 2015 are used as the samples. According to the results of the positive analysis performed via the tracing data linear regression model, together with the warrant returns at closing price and the underlying stock returns at closing price as the measurable indicators, the degrees of in-the-money and out-of-money are proved to be closer while the positive results concerning the history volatility in January, that of the past six months, that of the last nine months and that of the last twelve months, as well as implied volatility -- ask price, delta value, theoretical price, and warrant price limits are all positively correlated to the warrant returns at closing price and the underlying stock returns at closing price. It is thus discovered that the issuers&;#39; could influence the stock price fluctuations indirectly via the warrant issuance conditions, which will play an important role in the investors&;#39; investment in warrants. With the positive results generated in this paper and an regression analysis starting from the relationship between warrant prices and underlying stocks, it will be further possible to understand the impacts of issuance conditions on the relationship between warrant prices and underlying stock prices, so as to make the investment decisions and choose to invest in warrants in an indirect manner, thus extending the financial leverage and conducting buy long and short sell operations.