臺大管理論叢 NTU Management Review VOL.30 NO.1

163 DOI:10.6226/NTUMR.202004_30(1).0006 臺灣權證市場的贏家與輸家 The Winners and Losers in Taiwan’s Warrants Market Abstract This paper investigates profits and losses of different types of participants in Taiwan’s warrant market. We empirically show that the winners of Taiwan’s warrant market are warrants issuers, market makers, brokers, and the government, while the losers are individual investors. The losses of warrant holders are caused by the time value decay of warrants, and thus the main buyers, individual investors, become the losers. Individual investors suffer greater losses when trading out-of-the-money warrants and American warrants. They also have greater losses in the trading of warrants with a low issue price, and warrants whose underlying asset has higher volatility or a lower market value. In addition, we show that high spreads significantly increase the transaction costs of warrant holders, which will raise the losses of individual investors. To promote the trading fairness and development of Taiwan’s warrants market, we suggest that the regulators should: (1) strengthen the market-making mechanism of warrants, (2) periodically evaluate the performance of warrant issuers, and (3) implement the short-selling mechanism of warrants under complete supporting policies. 【 Keywords 】 warrants market, winners, losers, individual investors, institutional investors 摘 要 本文分析台灣權證市場各類參與者之損益及其影響因素。實證結果顯示：台灣權證市 場之輸家為散戶；贏家為權證發行券商、造市券商、經紀券商以及政府。權證時間價 值遞減之特性使得權證持有者受損，而主要受損者是身為權證主要買方的散戶。我們 也發現散戶投資價外權證及美式權證的損失較大，投資發行價格低與標的股具有高波 動或低市值特性之權證損失也較大。此外，高額的價差大幅提高權證交易者的交易成 本，也加重散戶的損失。為了促進台灣權證市場之公平交易及健全發展，我們建議主 管機關進一步強化權證市場之造市機制，定期進行權證券商之評比，並在實施完整配 套政策的前提下考慮開放散戶放空權證。 【關鍵字】 權證市場、贏家、輸家、個人投資者（散戶）、機構投資者 Chang Chan , Department of Finance and Cooperative Management, National Taipei University 詹　場 / 國立臺北大學金融與合作經營學系 Yehning Chen , Department of Finance, National Taiwan University 陳業寧 / 國立臺灣大學財務金融學系 Wen-Chyan Ke , Department of Finance and Cooperative Management, National Taipei University 柯文乾 / 國立臺北大學金融與合作經營學系 Shang-Chieh Huang , Graduate Institute of Economics, National Taiwan University 黃尚傑 / 國立臺灣大學經濟研究所 Received 2017/6, Final revision received 2018/12 NTU Management Review Vol. 30 No. 1 Apr. 2020, 163-200 領域主編：姜堯民