中国权证市场的定价模型分析

发布时间：2018-05-12 19:09

本文选题：权证 + 证券市场　；参考：《华东师范大学》2012年硕士论文

【摘要】：权证是一种契约关系,它是有发行人和投资者约定的在未来的某一个时间,权证的持有人有权利,但并非义务的向权证发行人以事先约定的价格购入或售出一定数量的金融资产。当然持有人也可以放弃行使权利。由于权证有很多的优点,所以它成为了成熟证券市场中比较流行的一种金融衍生工具,受到了国外投资者的热烈追捧。权证在中国经过了二次发展,历经十几年时间,经历过非常辉煌的阶段,但是随着2011年8月20日长虹权证的到期,权证在中国市场全部落下帷幕。很多学者对权证在中国发展的困境做过学术研究,他们总结出了很多导致权证在中国失败的原因,其中二个非常重要的原因得到学者们一致的同意---即中国的投资者对权证产品的实质没有足够的了解以及权证在中国的定价不科学。本文主要是研究权证在中国的定价模型及效果,希望可以对未来权证以及其它金融衍生品的定价有所启示和参考。从这个层面对权证进行实证研究不但具有重要的理论意义,而且还有很大的实际意义---即可以为中国证券市场的监管层提出一些政策建议,可以为我国未来若再次发展权证市场提供一些针对性的引导,同时也有助于我国证券市场的发展。本文首先从权证的定义、特征、功能、发展历程、经典定价模型对权证进行基础理论概述,然后选取了在我国发行的9只代表性的权证产品的交易数据作为样本,运用B-S模型对这些权证的价格进行实证分析,从定价机制方面分析我国权证产品走向没落的原因,最后结合实证研究得到的结果提出完善措施和建议。本文通过运用B-S模型对选取的9只样本权证的定价实证分析,得出结论：中国权证市场的定价不合理,权证市场价格与标的资产价格的相关性较弱,运用历史波动率对权证定价计算出来的理论价格与市场价格偏离度非常大,而运用隐含波动率计算出来的权证理论价格与权证市场价格的偏离度较小,对市场定价有一定的指导意义。权证在海外发展的非常迅猛,得到了国外金融投资者的强烈偏好,非常的受欢迎。而它在中国却不能很好的发展,所以本文研究目的在于通过对权证的基础理论和定价方法进行研究,来分析权证在我国发展的过去十几年间所产生的积极作用以及遇到的瓶颈和阻碍,希望未来我国证券市场在发展其他金融衍生类产品时能够有所借鉴。
[Abstract]:A warrant is a contractual relationship in which the issuer and the investor agree that the holder of the warrant will have the right at a certain time in the future. But it is not an obligation to purchase or sell a certain amount of financial assets to the warrant issuer at a predetermined price. Of course, the holder may also waive the exercise of the right. Because warrant has many advantages, it has become a popular financial derivative in mature securities market, and has been enthusiastically sought after by foreign investors. The warrant has been developed twice in China. After more than ten years, it has experienced a very brilliant stage. However, with the expiration of the warrant in Changhong on August 20, 2011, the warrant has come to an end in the Chinese market. Many scholars have done academic research on the plight of warrant development in China. They have summed up many reasons for the failure of warrants in China. Two of the most important reasons for this are that Chinese investors do not have a good understanding of the substance of warrant products and the pricing of warrants in China is unscientific. This paper mainly studies the pricing model and effect of warrants in China, hoping to give some enlightenment and reference to the pricing of warrants and other financial derivatives in the future. Empirical research on warrants from this level is not only of great theoretical significance, but also of great practical significance-that is, we can put forward some policy recommendations for the regulatory level of China's securities market. It can provide some targeted guidance for the future development of warrant market in China, and also contribute to the development of China's securities market. This paper first summarizes the basic theory of warrants from the definition, characteristics, functions, development process and classical pricing model of warrants, and then selects the transaction data of 9 representative warrant products issued in China as a sample. This paper uses B-S model to analyze the price of these warrants, analyzes the reasons for the decline of warrant products in China from the pricing mechanism, and finally puts forward some measures and suggestions based on the results of empirical research. By using B-S model to analyze the pricing of 9 sample warrants, this paper draws a conclusion that the pricing of warrant market in China is unreasonable, and the correlation between the price of warrant market and the price of underlying assets is weak. The deviation between the theoretical price and the market price calculated by using the historical volatility is very large, but the deviation between the theoretical price of warrant and the market price of warrant calculated by the implied volatility is relatively small. Market pricing has a certain guiding significance. Warrants in overseas development is very rapid, the strong preference of foreign financial investors, very popular. But it does not develop very well in China, so the purpose of this paper is to study the basic theory and pricing methods of warrants. To analyze the positive role of warrants in the past ten years of development in our country, as well as the bottlenecks and obstacles encountered in the past decade, we hope that in the future, the securities market will be able to learn from the development of other financial derivatives.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】