Determinants of Trading Volume in Taiwan Call Warrants Market

[[abstract]]我國權證市場的發展初期，發行檔數不多且成交金額也不大。政府為了促進權證市場的發展，陸續通過許多法案，並放寬發行人與投資的限制，使得現在成交金額與發行量逐年成長。 本研究主要探討哪些因素會影響權證成交量，並使用投資人在挑選權證時常觀察的變數，隱含波動度、剩餘期間、DELTA、價內外程度、發行券商差異等五項變數，另外加入標的證券成交量和波動幅度等兩項變數。本研究實證結果如下 : (1) 隱含波動度、標的證券成交量、標的證券波動幅度、剩餘期間和價內外程度皆為顯著正相關(2) DELTA和發行券商差異為顯著負相關。[[abstract]]In the early development of Taiwan warrants market the number of warrant issue and trading volume are quite limited For the purpose of promoting and enlarging the domestic warrants market the government has successively passed many bills and ease the deregulation for issuers and investment So the trading volume and amount of Taiwan warrants market have grown rapidly in recent year This study is aimed to examine the determinants of trading volume in Taiwan Warrants Market This paper uses some variables of warrants selection including the implied volatility remaining period DELTA the degree of in the money or out of the money the reputation of warrant brokerage issued In addition the volume and volatility of underlying securities are also included The findings are as follows: (1)implied volatility underlying securities trading volume volatility of underlying securities remaining period and degree of in and out of prices are all significantly positive correlated (2) DELTA and brokerage difference are significantly negative correlate