碩士 / 國立臺灣大學 / 財務金融學系 / 86 / The warrants issued overseas based on Taiwanese stocks expired
since last year. The issuer sold the hedged stocks and caused
negative impacts of underlying securities.
last year. The issuer sold the hedged stocks and caused negative impacts of
underlying securities.
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 17 single stock warrants and 23
basket warrants respectively.
The event date was based on the maturity 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 maturity date, was used to estimate the
fitted models, and the segment
(-6,2), that is, the period from the 6th day before and the
second day after the maturity
date, was used to predict the AR. The significance tests of AR
and CAR for the various
specified time-spans of the period (-6,2) illustrated the
relationships between the
expiration of derivative warrant and the price of the
underlying securities. The results
are briefly described as follows:
1. The results of all samples are that the issuer sold the
hedged stocks during the period
(-2,0).This caused negative impacts of underlying
securities. The market did not response
to the event after the maturity date. Investors buy the
underlying securities after the
maturity date and the CAR is positive.
2. The samples of basket warrants appear negative CAR during
the period (-5,0).This group
of samples shows more significant maturity effect. The
market did not response to the event
after the maturity date.
3. The great negative CAR appeared the day before maturity
date, and the character appeared
in the three groups of samples. Investors should avoid to
buy underlying securities the day
before maturity date. The samples of single warrants did not
appear any information effect
after the maturity date.
| Identifer | oai:union.ndltd.org:TW/086NTU00304023 |
| Date | January 1998 |
| Creators | Lee, Chia-Lin, 李佳霖 |
| Contributors | Chau-Chen Yang, 楊朝成, --- |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 102 |
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