| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 104 === This thesis investigates how the price volatility of the underlying stocks was impacted by the market value, stock price to revenue ratio, stock price to net worth ratio and stock turnover ratio after the introduction of single stock futures (SSF). The selected samples are stocks listed on the Taiwan Stock Exchange (TWSE), with its trading volume ranked within top 30 in the observed period, which was lasting from May 13th, 2009 to September 4th, 2013. High -Low model and Garman-Klass model are used to measure the price volatility of the underlying stocks. The Ordinary Least Squares and Quantile Regression methods are employed to evaluate the variables. The different company characteristics variables, which are market value, price-to-sales ratio, price-to-book ratio and stock turnover ratio, are employed to evaluate if there are any effects on the price volatility under these firm characteristics. The empirical results of this study indicate that in both High-Low model and Garman-Klass model, there is a significant reduction in volatility after the introduction of SSFs. In other words, these reveal that the price volatility is reducing to the stocks with larger market value and higher stock price to revenue ratio.
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