中国权证市场的定价模型选择研究

发布时间：2018-04-04 10:16

本文选题：权证　切入点：定价模型　出处：《西南财经大学》2012年硕士论文

【摘要】：权证作为一种金融创新工具,最早起源于美国,随着金融市场的不断发展,如今权证已经成为了世界金融衍生市场中最为活跃的产品之一。在当今全球证券市场上,权证作为投资、对冲和套利的工具而被投资者所广泛运用。在我国,权证最早出现于1992年,当时中国内地证券市场发行股票所采用的主要方式为“股票认购证”,而“股票认购证”即为股本权证的雏形。权证的出现标志着中国内地股份制度改革新的开端,从此中国内地证券市场进入了前所未有的高速增长期。但后来由于过度投机,权证市场于1996年被迫关闭,权证暂时退出历史舞台。2005年我国为配合股权分置改革而再次推出权证,并很快得到市场的认可,市场交投活跃,为活跃我国资本市场做出了巨大的贡献。然而市场上的过度投资再次影响了权证市场的正常运转,使其基本功能——价格发现、风险管理等难以得到发挥,权证市场成为了只存在投机交易的场所。最终,权证市场于2011年再次关闭,至今在没有新的权证出现在我国证券市场上。在我国权证市场两次发展阶段中,都存在着很多相似的问题,比如换手率过高、投机氛围浓厚、定价偏高等现象。导致这些现象出现的原因错综复杂,但关键原因之一是我国认股权证定价的不合理。因此要想权证尽早回归证券市场,保证权证市场正常、有效的发挥其市场功能,首要解决的就是认股权证的定价问题。所以,定价问题研究就具有很重要的现实意义和研究价值。本文选用了Black-Scholes模型、二叉树模型和蒙特卡罗模拟模型对我国认股权证的定价为进行实证研究,希望能够找出一个适用于我国权证市场的定价模型。研究选取了深发、华菱、深能和长虹四只权证作为研究性对象,分别应用上述模型进行定价。在定价过程,同时对历史波动率、隐含波动率、GARCH (1,1)模型下的波动率三种波动率进行了区分,并分别应用于定价模型中比较定价结果。实证结果显示运用GARCH (1,1)模型下的波动率进行蒙特卡罗模拟定价能够提供更好的价格预测。同时,实证结果还表明我国权证市场普遍存在定价偏高的问题,这说明权证市场本身的缺陷产生的市场因素对权证定价有着极大影响。本文针对该问题做了进一步分析,总结我国权证市场存在的问题并进行了相应的研究分析。
[Abstract]:Warrants, as a financial innovation tool, originated in the United States. With the continuous development of financial markets, warrants have become one of the most active products in the world financial derivatives market.In today's global securities market, warrants are widely used by investors as instruments of investment, hedging and arbitrage.In our country, warrants first appeared in 1992. At that time, the main way of issuing stock in China's mainland stock market was "stock subscription warrants", and "stock warrants" was the embryonic form of equity warrants.The emergence of warrants marks a new beginning of the reform of the stock system in mainland China, and the securities market in mainland China has entered an unprecedented period of rapid growth.However, as a result of excessive speculation, the warrants market was forced to close in 1996, and warrants were temporarily withdrawn from the historical stage. In 2005, China launched warrants again in order to coordinate with the reform of the split share structure, and was soon recognized by the market, and the market was active in trading.For our country's capital market has made a great contribution.However, the excessive investment in the market has once again affected the normal operation of the warrant market, which makes its basic function, such as price discovery and risk management, difficult to play, and the warrant market has become a place where there is only speculation.Finally, the warrants market was closed again in 2011, and no new warrants have appeared in China's securities market.In the two stages of development of warrant market in China, there are many similar problems, such as high turnover rate, strong speculative atmosphere, high pricing and so on.The causes of these phenomena are complicated, but one of the key reasons is the unreasonable pricing of warrants.Therefore, in order to return warrants to the securities market as soon as possible, to ensure that the warrants market is normal and to play its market function effectively, the most important solution is the pricing of warrants.Therefore, the study of pricing has a very important practical significance and research value.In this paper, we choose Black-Scholes model, binary tree model and Monte Carlo simulation model to study the pricing of warrants in China, hoping to find a pricing model suitable for China's warrants market.Four warrants, Shenfa, Valin, Sheneng and Changhong, are selected as research objects.In the course of pricing, three kinds of volatility under the historical volatility, implied volatility and GARCH / 1) model are distinguished and applied to compare the pricing results in the pricing model.The empirical results show that Monte Carlo simulation pricing can provide better price prediction by using volatility under GARCH model.At the same time, the empirical results also show that the issue of high pricing exists in China's warrants market, which indicates that the market factors caused by the defects of warrant market have a great impact on warrant pricing.This paper makes a further analysis of this problem, summarizes the existing problems in China's warrant market and carries out corresponding research and analysis.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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