以指數股票型基金為股票權證替代避險標的之模型建構與效益分析

Model Building and Benefit Analysis for Taking the Exchange Traded Fund as Alternative Hedging Object of Stock Warrants

本研究認為相較於標的股票直接避險方式，採用ETF至少擁有三項優點，其一，熱門ETF商品幾乎皆無流動性問題，故可大幅降低摩擦成本；其次，ETF所對應之特定股價指數為一籃子股票組合，其價格波動度低於個別股票，故不易出現漲跌停之情況；其三，賣出ETF商品之交易稅率較一般股票為低，故可節省其交易費用。因此之故，本研究乃嘗試提出以指數股票型基金（ETF）替代標的股票做為避險標的的創新思維，藉由股票權證、權證標的股票與特定市場指數ETF間之價格變動關連模式，推導出ETF替代避險策略之理論模型。最後，本研究採用臺灣50 ETF做為權證標的股票之替代避險標的，並挑選出150檔認購權證作為研究樣本進行實證研究，分別估計與比較直接避險策略與ETF替代避險策略下所產生的交易成本與避險成本，同時，估算ETF替代避險策略的避險誤差，藉以多面向評估替代避險效益。實證結果顯示，採用ETF替代避險策略累積的交易成本與避險成本遠低於直接避險策略，且ETF替代避險策略產生的避險誤差亦在一可接受範圍內。總結而論，本研究不但提出創新研究構想，且對於權證發行券商而言，研究成果亦應具有相當之實務參考價值存在。

Comparing with the direct hedging strategy using underlying stocks, this study considers that there are at least three advantages when using the exchange traded funds (ETF). First, because popular ETFs are almost not subject to liquidity problem, the frictional costs are presumably able to substantially reduce. Second, price volatility of ETFs is much lesser than that of individual stock as a result of underlying stock index of given ETF is a portfolio, and thus the price-limit is rarely found. Last, the trading cost could be considerably saved due to the tax rate of selling ETFs is lower than those of stocks. Consequently, this study brings up the innovative proposal that takes a given ETF as alternative hedging object of stock warrants, instead of underlying stocks. Furthermore, a theoratic model for ETF alternative hedging strategy is derived from the relationship modes of price changing among warrant, underlying stock and given ETF. Finally, this study takes Taiwan 0 ETF as alternative hedging object and 1 0 call warrants as samples to conduct the empirical study. The purpose is to compare and analyze the difference of transaction cost and hedging cost between two strategies. Meantime, the hedging error resulted from ETF alternative hedging strategy is estimated so as to multidimensionally evaluate the hedging benefit. The empirical results show that the transaction cost and hedging cost accumulated from ETF alternative hedging strategy are much lower than that of direct hedging strategy. Addiationally, the hedging error for ETF alternative hedging strategy should be in an accept extent. In conclusion, this study not only puts forward an innovative study concept, but provides stock warrant issuers a noticeable reference value in terms of study works and empirical findings.