| 摘要: | 本文乃是針對三大法人買賣超對認購權證隱含波動率與其標的股票股價影響進行研究。本研究採用摩根史坦利資本國際(MSCI)台灣指數成份股前10檔，採用日資料進行分析，建立起Black-Scholes模式，接著使用誤差修正模型、衝擊反應函數及預測變異數分解進行實證。由實證結果我們可以歸納出以下結論： 1.5個變數間存在共整合關係，意味著在長期趨勢之下，具有長期穩定之均衡關係。 2.5個變數當中，隱含波動率領先三大法人買賣超及標的股價，而在三大法人關聯性中，投信的領先地位比外資及自營商強烈且投信影響隱含波動率最明顯。 3.三大法人買賣超與標的股價及隱含波動率會呈現持續性負相關的現象，亦即隱含波動率愈高的話，標的股價也愈高，因此三大法人可能會認為股價隨時會反轉，而出現反向操作的現象。由此我們可以給投資人建議如下：當隱含波動率處於相對高點時，代表標的股票的市價處於較高的價位，則未來股價有可能會下跌，反之，當隱含波動率處於相對低點時，代表標的股票的市價處於較低的價位，未來股價可能會上漲。
This article investigates effect of three primary institutional net buy-and-sell on warrants implied volatilities and underlying stocks pricing. The article investigates use morgan stanley capital international taiwan index advanced ten sample, use daily data analysis, establish Black-Scholes model, use error correction model, impulse response, variance decomposition to argue. In this paper, the conclusions can be summarized as follows: (1)Three primary institutional net buy-and-sell, implied volatilities and underlying stocks pricing exist a cointegration relationship and long run equilibrium; (2)Three primary institutional net buy-and-sell and underlying stocks pricing becomes followers, that follow implied volatilities, of the relationship in three primary institutional, foreign and security dealer becomes followers, that follow trust and trust affect implied volatilities emphatically; (3)Three primary institutional net buy-and-sell, underlying stocks pricing and warrants implied volatilities can appear continuity negative correlation, represent implied volatilities in the culmination and underlying stocks pricing in the more culmination, thus three primary institutional can appear contrarian investing while underlying stocks pricing countermarch, thus we can suggest for investors as follows: Implied volatilities in the relative culmination, representatives underlying stocks pricing in the more relative culmination, the stocks price will drop probably in the future. On the other hand, implied volatilities in the relative low point, representatives underlying stocks pricing in the more relative low point, the stocks price will rise probably in the future. |
