Taiwan warrant market and warrant price Analysis

• Main Authors: Chia-Ching Teng, 鄧佳青
• Other Authors: 吳庭斌
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/21758544121728512918

碩士 === 國立中央大學 === 財務金融學系 === 104 === The Taiwan warrant market began in 1997, it has been 19 years. According to a January, 2015 market statistical data, Taiwan warrant market are second largest in Asian, sixth largest in global. For Taiwan warrant market research is also booming. Many research indicated that warrant market price is significantly different from theoretical price. However, there is limited explanation for the difference. This study sample is from TEJ data base of derivative financial products including 2013-2015 Taiwan index warrants, Taiwan top 50 index constituent stock warrants. This study firstly focuses on is warrant price fairly priced. The result shows that warrant price is not fairly priced. Second, this paper studies on the warrant price premium of Taiwan top 50 index constituent stock warrants and use regression to further explore the causes of premium. Through this study can be used as reference for investment.