CBBCs
  • 牛熊證攻略 第一節
    甚麼是牛熊證?
  • 牛熊證攻略 第二節
    選擇牛熊證時應注意
  • 牛熊證攻略 第三節
    牛熊證收回機制及結算方法
III.影響牛熊證價格的理論因素

1) 相關資產價格的變動直接影響牛熊證的價格,現時市場上可發行的牛熊證的內在值佔其理論價格較大部分。若相關資產價格上升,牛證的價格一般會上升,熊證的價格會下跌,相反相關資產價格若下跌,熊證的價格一般會上升,牛證的價格會下跌。

2) 行使價的高低亦會直接影響牛熊證的內在值,假設相同相關資產的牛證換股比率相同,行使價愈低,其理論價格愈高,反之亦然。相同相關資產的熊證,假設換股比率相同,行使價愈高,其理論價格便愈高,反之亦然。

3) 牛熊證的尚餘時間愈長,財務費用便愈大,投資者可視牛熊證為孖展投資,投資者只要付出少於投資相關資產的資金成本,便可獲得與投資相關資產相同的利潤,財務費用就像牛熊證在投資期限內,向發行商借款投資所需支付的利息,故投資期限愈長,所需支付的利息理應愈多,故牛熊證價格會愈高。

4) 相關資產波幅對牛熊證價格只有輕微影響。相 關 資 產 的 波 幅 較 低 , 價 格 觸 及 牛 熊 證 收 回 價 的 機 會 便相 對 較 低 。相反, 相 關 資 產 的 波 幅 較 高 , 其 價 格 觸 及 牛 熊 證 收 回 價 的 機 會 相 對 較 高 。投 資 者可避 免 買 入 收 回 價 貼 近 相 關 資 產 價 格 的 牛 熊 證 , 減 低 被 強 制 收 回 的 風 險 。

5) 相關資產流通量是影響牛熊證市場價格的重要因素之一,因牛熊證的對沖值相當接近+1(牛證)或-1(熊證),發行商進行對沖時,視乎換股比率,幾乎是1兌1的方式購買或沽出相關資產,故對相關資產的流通量需求甚大,若相關資產流通量不足,發行商的對沖成本大增,相應所收的財務費用亦會增加,如此便造成買賣差價擴大的情況。

6) 供求因素直接影響牛熊證價格,投資者可透過觀察牛熊證的街貨量衡量市場供求,街貨是指投資者持倉過夜的貨。街貨量比重愈大,牛熊證愈受市場供求影響,一般當街貨量超過五成時,牛熊證價格或容易受到市場氣氛影響而偏離理論價格。

7) 發行商開價,發行商是否跟隨相關資產的價格波動、流通量等因素提供合理的牛熊證買賣價、差價,以及足量的買賣盤。

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