中文摘要
本研究以國內發行的認購權證與認售權證以及其標的股票為研究樣本，探討
權證市場與股票市場之間的價量變動關係是如何變動的，產業的不同是否會存在
著不同的關聯性存在，市場深度的不同是否也意味著資訊不對稱的情形也會有所
不同。
研究對象為國內在92 年2 月至93 年12 月間發行的認購(售) 權證與及標
的，共有258 檔權證，其標的股票共計22 種，研究模型採用VAR 模型，透過模
型係數的檢定判定是否變數有顯著的影響力。
本研究顯示，在科技產業、金融產業、傳統產業三種不同產業上，以科技產
業有較為顯著的資訊不對稱情形存在，金融業與傳統產業則較為不明顯。若以市
場深度的不同來看的話，則當市場深度較高的時候，則資訊不對稱的情形也會較
為嚴重，即使是以不同的產業不同的深度來分析的時候，我們也會得到高市場深
度的科技業發行的權證存在較明顯的資訊不對稱的情形。
關鍵詞：認購(售) 權證、科技產業、市場深度

Abstract
By using the VAR model, I want to look into the correlation between the warrant
market and stock market in Taiwan from February, 2003 to Dec, 2004. I want analysis
whether the type of firm in industry and market depth will affect the correlation.
Over empirical results are listing as follows:
First, high-technical industry will have more significant correlation between
warrant market and stock market, this result means information asymmetry in
high-technical industry is more serious; in the other hand, the result of financial
industry is not different from traditional industry, since no evidence supports that
financial industry have more information asymmetry than traditional industry.
Second, if we consider market depth as a variable of correlation between warrant
market and stock market, we find that high-depth warrant will be found evidence to
support that it has more information asymmetry.
Keywords: Warrant. Technical industry. Market depth.

文獻參考
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