自Galai and Schneller (1978) 提出認股權證的評價模型之後，股權稀釋調整的模型已成為最常用的認購權證評價方法。然而，許多研究發現大部分認購權證的理論價格都被低估，並且有些學者認為股價已反應潛在的稀釋效果。透過他們的觀點，似乎認為不必為了評價認購權證而調整稀釋效果。目前並無實證研究證實股價過程在認股權證發行後確實已反應潛在的稀釋效果。為了確認在評價認購權證時調整稀釋效果的必要性，本研究將檢測權證發行對股票報酬過程的影響。本研究利用延伸Garch-M 模型，導出四個檢驗稀釋效果的模型。透過市場資料的實證分析驗證股價報酬的過程是否會受到認購權證發行的影響，並驗證股價報酬變異是否也有顯著的改變。最後，本計畫將以財務理論為基礎，說明股價報酬過程是否會受到認購權證發行之影響，以及股價報酬的變異數是否已經包含了潛在的稀釋效果。本研究的實證結果將非常有助於精確地評價認股權證，以及其他相關的衍生商品，諸如：員工認股權證、可轉換公司債。 Since the warrant pricing model was published by Galai and Schneller (1978), the Dilution-Adjusted model has become the most popular warrant pricing methods. However, many studies found that most warrants are underestimated and suggested that stock prices has reflected the dilution effect of warrant introduction. From their view points, it seems that there is no need to adjust the dilution effect for warrant pricing. But up to the present, there have been no empirical evidence to verify that stock price processes reflect the dilution effect with warrant listing. In order to justify whether the dilution-adjustment is required for warrant pricing, this study will determine the effect of warrant introduction on stock return processes. We extend the GARCH-M model to derive four models for testing the dilution effect. From our empirical analysis with market data, we aim to test whether the stock return processes are affected by warrant introduction, especially its impact on the volatility. Finally, we will provide some financial theoretical explanations to check whether the stock return process is changed after warrant introduction and the potential dilution effect is embedded in the volatility of stock return. This empirical result is extremely helpful to accurate evaluation of warrants or other related financial derivatives, such as employee stock options and convertible bonds.