牛熊市下认购权证定价的实证研究

发布时间：2018-05-26 23:07

本文选题：认购权证定价 + 牛市　；参考：《统计与决策》2011年07期

【摘要】：文章选取沪深两市当中横跨牛市和熊市的钢铁行业认购权证为样本,运用时间序列相关方法实证研究了B-S模型、投资者情绪对认购权证的定价影响,结果发现:无论是在牛市还是熊市中,B-S定价模型对中国证券市场中的认购权证定价均有一定的适用性。但其定价的效果要受到投资者的情绪影响,在牛市中投资者的乐观情绪使实际价格较于理论价格高估,而在熊市中投资者的悲观情绪则使之表现为低估,投资者情绪对权证的定价具有着正向的影响。
[Abstract]:This paper selects the iron and steel industry subscription warrants across bull and bear markets in Shanghai and Shenzhen stock markets as samples, and empirically studies B-S model by using time series correlation method. The influence of investor sentiment on the pricing of warrants is studied. The results show that the B-S pricing model is applicable to the pricing of warrants in China's securities market, both in bull and bear markets. However, the effect of pricing is influenced by investor sentiment. In a bull market, the optimism of the investors makes the real price overvalued compared with the theoretical price, while in the bear market, the pessimism of the investors makes it undervalued. Investor sentiment has a positive impact on the pricing of warrants.
【作者单位】：西安交通大学经济与金融学院;
【基金】：西安交通大学“985工程”二期重点项目(07200701) 中国博士后科学基金资助项目(20080441099)
【分类号】：F224;F832.5

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