本研究探討了權證發行商為了規避風險而在現貨市場的部位進出，所導致的標的股價變化，並且我們透過權證發行商對於自身所發行的權證存在造市義務的特性，找尋了前十大權證發行商的代號，透過這個代號使我們能夠進一步以現貨市場的實際買賣張數做分析。結果表明無論是在理論或是實際買賣上在權證發行前存在顯著正異常報酬，其中又以Yuan、Yon最為明顯。此外，在權證的存續期間，權證的委託單失衡(Warrant order imbalance)與下一期的標的股票存在顯著正相關。最後，我們還發現了價內、價外所到期的權證對於現貨市場有著不同的影響。

This study explores the changes in the underlying stock price caused by warrant issuers entering and exiting positions in the spot market to avoid risks. We also searched for the top ten warrant issuers' codes based on the market making obligations of warrant issuers towards their issued warrants. Through this code, we were able to further analyze the actual number of trading units in the spot market. The results indicate that there is a significant positive abnormal return before the issuance of warrants, both theoretically and practically, with Yua and Yon being the most prominent. In addition, during the duration of the warrant, there is a significant positive correlation between the warrant order imbalance (WOI) and the underlying stock in the next period. Finally, we also found that warrants expiring in -the-money or expiring out-of-money have different impacts on the spot market.

論文審定書 i
摘要 ii
Abstract iii
目 錄 iv
圖 次 v
表 次 vi
第一章 緒論 1
第一節 研究背景 1
第二節 研究目的 4
第三節 研究流程 5
第二章 文獻回顧 6
第三章 主要變數與研究方法 8
第一節 權證事件研究法 8
一、 異常報酬率的計算 8
第二節 主要變數的計算 9
一、 發行日、到期日的影響 9
二、 權證的每日交易對於標的股票的影響 10
第四章 迴歸模型 12
第一節 權證事件日對現貨標的的影響 12
一、 發行日的影響 12
二、 到期日的影響 12
第二節 權證的買賣交易對其標的現貨的影響 13
一、 委託單失衡的影響 13
二、 價內外的影響 14
三、 自營商的非避險部位 15
第五章 資料說明與實證結果 16
第一節 資料選用與篩選 16
第二節 實證結果 19
一、 發行日的影響 19
二、 到期日的影響 25
三、 委託單失衡的影響 32
四、 價內外的影響 36
五、 自營商非避險部位 38
第六章 結論 41
參考文獻 42

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