The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks
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 in...
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ndltd-TW-100NCU051210492015-10-13T21:22:21Z http://ndltd.ncl.edu.tw/handle/38082973010042769240 The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks 金融海嘯時期台灣認購證之發行與到期對標的股價格影響研究 Hsi-Ming Chan 詹席銘 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. De-Jau Chen Dung-Sheng Chang 陳德釗 張東生 2012 學位論文 ; thesis 102 zh-TW |
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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.
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author2 |
De-Jau Chen |
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De-Jau Chen Hsi-Ming Chan 詹席銘 |
author |
Hsi-Ming Chan 詹席銘 |
spellingShingle |
Hsi-Ming Chan 詹席銘 The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks |
author_sort |
Hsi-Ming Chan |
title |
The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks |
title_short |
The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks |
title_full |
The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks |
title_fullStr |
The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks |
title_full_unstemmed |
The Impacts of Financial Tsunami on the Taiwan Call Warrants’ Issuing and Expiration on Underlying Stocks |
title_sort |
impacts of financial tsunami on the taiwan call warrants’ issuing and expiration on underlying stocks |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/38082973010042769240 |
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