碩士 / 國立中央大學 / 企業管理研究所 / 100 / This study aims to explore the price relationships between call warrants’ issuing and expiration on their underlying stocks in Taiwan. There were 19 individual stock type call warrants from 2007 to 2010. We divide these call warrants into two groups: whole vs industry and 2008 as a defining period of the financial tsunam .We mainly study the impacts of financial tsunami on the Taiwan call warrants’ issuing and expiration on underlying stock prices. This study takes unit-root test to ensure stationary data, and using GARCH model, accompanied by event study analysis to the cumulative abnormal returns and the average abnormal returns. The empirical result shows:
First, we found the issuing of whole and industries call warrants objects produce postive significant effect of the underlying stocks by tempting investors to buy the underlying stocks of the call warrants in financial tsunam, the traded the higher price of the stocks. And during the financial tsunami, the entire period early more positive significant effect than after the financial tsunami.
Second, the expiration of whole call warrants objects produce negative significant effect of the underlying stocks by tempting investors early to sell the underlying stocks of the call warrants in financial tsunam, only electronic stocks of single warrants that during the financial tsunam entire period more early negative significant effect than after the financial tsunami.
Finally, when call warrants of whole and industries have the negative abnormal return exists in underlying stocks value on the expiration date, but the t-test value is not significant.
| Identifer | oai:union.ndltd.org:TW/100NCU05121049 |
| Date | January 2012 |
| Creators | Hsi-Ming Chan, 詹席銘 |
| Contributors | De-Jau Chen, Dung-Sheng Chang, 陳德釗, 張東生 |
| 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 |
Page generated in 0.0093 seconds