本研究主要探討認購權證的發行、上市及到期事件日對於標的股票所產生的價格效果，探討是否具有異常報酬的現象。本研究以民國86年8月至90年6月所發行的108支個股型認購權證及其標的股票為研究樣本，主要研究方法為事件研究法。本研究先對標的股票報酬資料進行單根檢定以確定資料為穩定的狀態，之後為異質性檢定是否具有ARCH效果存在，最後以GARCH(1,1)模型估計市場模式係數，並估計出全體認購權證標的股票之平均異常報酬(AAR)與累積平均異常報酬(CAAR)。實證結果顯示，認購權證的發行事件，由於券商事前基於避險部位的建立會逐漸買入權證標的股票，再加上投資人認為權證的發行對標的股而言為一正面消息，短期會造成標的股股價上漲，所以認購權證的發行事件存在正的價格效果。而若區分為電子類股與非電子類股則兩者都存在正的價格效果。其次認購權證的上市事件，全體樣本在上市日為負的異常報酬但並不顯著，若區分為電子類股與非電子類股則也是不具正的異常報酬。最後在認購權證的到期事件日方面，由於券商為降低履約機率，出脫手中持股壓低股價，加上投資人視到期事件日為一負面消息不再投資該標的股，造成標的股股價下跌，因此權證到期事件對標的股票存在有負的價格效果。 This research mainly studies that whether the issuing, listing and expiration effect of warrants have the influence on the underlying stock prices. The sample includes 108 warrants and its underlying stocks from August 1997 to June 2001. This study takes unit-root test to ensure stationary data, and heteroskedastic test to confirm ARCH effect. The research employs the event study analysis, market model and GARCH(1,1) model to obtain average abnormal return (AAR) and cumulative average abnormal return (CAAR). The empirical results of this study are as followed :1. Issuing of the warrants can influence the underlying stock prices with positive effect which is a good news to investors because those issuing institutions will gradually buy stocks for hedging, The same positive effect appeals on electronic and non-electronic categories as well. 2. The depreciation of the underlying stock prices at the listing day shows negative AR but not significant, and the same effect appeals on both categories as well. 3. The expiration events of warrants in Taiwan exhibits the negative price effect which is a bad news to investors because those issuancing institutions will enormously sell off holding stocks from exercising.
