本文針對加權指數型權證隱含波動進行探討，以成交量、歷史波動率、標的資產ROI、S/K(價性)及年化交易日等5個變數，探討加權指數型權證隱含波動率的影響因子。以2009年6月1日至2013年6月30日共1135檔權證，以剔除零交易量和結算前5日兩個條件，篩選出共75檔資料，分別32檔認購和43檔認售權證加以進行實證。實證方式以回歸方程式檢視，其結果表明歷史波動率、S/K(價性)及年化交易日等三個因素影響較大。
This paper focus on the variable of TAIEX warrant implied volatility. We use 5 variables which are trading volume, historical volatility, underlying asset ROI, S/K (moneyness) and 1-year annualized trading day, trying to find out the variable of TAIEX warrant implied volatility. The sample period is from 2009/6/1 to 2013/6/30. There are 1135 warrants in this period. We use two filters to exclude improper data: 1. 0 trading volume 2. 5 days data before settlement day. There are 75 warrants fit this condition. We use analysis of regression to test 32 call warrants and 43 put warrants. The results show that historical volatility, S/K (moneyness) and 1-year annualized trading days are obvious affect TAIEX warrant implied volatility.
