碩士 / 國立臺灣大學 / 財務金融學系 / 85 / The sample of the study was drawn from the derivative warrants
issued overseas based on Taiwanese stocks. GARCH(1,1)was used to
modify the heteroscedasticity in the market models for the 15
single stock warrant and 20 basket warrant respectively. The
announcement date was based on the launch date. Data was
composed of two parts: the first segment corresponded to the
period(-206,-7), that is, the period from the 206th day to the
7th day before the launch date, was used to B Jmate the fitted
models, and the other segment(-6,24), that is, the period from
the 6th day before and the 24th day after the launch date, was
used to predict the AR. The significance tests of AR and CAR for
the various specified time-spans of the period(-6,24)
illustrated the relationships between the issuance of derivative
warrant and the price of the underlying securities. The results
are briefly described as follows:The peak of AR occurred on the
launch date during the period (-6,24), which indicates the
prices of underlying securities can effectively respond to the
event of the derivative warrants issued overseas based on
Taiwanese stocks. This event study can be categorized as the
semi-strong effictive market.The CAR during the period(-6,24)
turned to be all positive, the outcome reveals the overseas-
issued derivative warrants of Taiwanese stocks tend to boost the
prices of the underlying securities.The time-span (-6,0) of the
period (-6,24) indicates greater significance for AR and CAR
than that of the remaining time-spans. This result can account
for the process that the issuer is likely to preserve enough
shares of the underlying securities before the launch date. The
average price of the basket stocks fluctuates more drastically
than that of single stock warrant since the CAR of basket stocks
is always larger than that of single stock during the period
(-6,24).
| Identifer | oai:union.ndltd.org:TW/085NTU00304021 |
| Date | January 1997 |
| Creators | LIU, SHI-HAO, 劉溪鶴 |
| Contributors | LAI IN-JAW, 賴英照 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 148 |
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