The Impact of the Warrant Market on the Stock Market and Investor Sentiment: Taiwan Evidence

本篇論文研究股票市場流動性以及權證到期後在不同的投資人情緒程度時之間的關係。我們使用臺灣期貨交易所的VIX指數作為投資人情緒的指標，研究在深度價內的權證到期後對股票市場造成的交易集中效果。整體而言，當投資人情緒相對較低時，權證到期後對股票市場流動性的增強效果較為明顯。另一方面，當投資人情緒相對較高時，交易集中對股票市場流動性的改善效果較不明顯。在價格方面，股票流動性的增加對價格帶來的正面影響，其效果在投資人情緒較低時較為明顯。當投資人情緒愈來愈高時，其效果愈不顯著。此現象可歸因於投資人在套利與避險等操作上的行為有所改變所致。This paper examines the relation between the stock liquidity and warrants expiration in different extent of investor sentiment which is represented by VIX in Taiwan. We study the effect of trading consolidation by examining the response of liquidity and stock prices to the exercise of deep in-the-money call warrants. In general, the results indicate that the stock liquidity is improved apparently by market consolidation since warrants expired when investor sentiment is relatively low. On the other hand, the effect is insignificant when VIX is relatively high. Further, the price increase is positively related to post-exercise improvement in the stock liquidity when VIX is relatively low. While VIX rises, the relation gets feeble gradually. This phenomenon might be due to investors’ buying behavior such as arbitrage or hedge trading varying with different kinds of market situation