中国内地认沽权证泡沫影响因素的研究

发布时间：2018-04-23 21:47

本文选题：认沽权证 + 泡沫　；参考：《复旦大学》2012年硕士论文

【摘要】：中国证券监督管理委员会在2005年8月重新启动权证市场,引入一小批权证进入市场交易,以此为打开中国金融衍生品市场、向中国证券市场提供更多投资工具的第一步。从某种程度上说,股票权证被认为是与上市公司发行的股票期权相类似的一种投资工具,它在一定程度上丰富了投资工具的种类、扩展了整个金融市场。对于中国内地权证市场而言,权证的理论价格与市场价格的差距较大,即使是有资格的证券公司依照有关规定大量创设权证,也没能有效地使市场价格回归到理论价格水平。资产的市场价格超过其理论价格的部分为泡沫,那么权证市场价格超过其理论价格的部分即为权证的泡沫。在计算出了所有权证的理论价格以后,本文发现在2005年11月至2007年10月这段时间内,内地股市一直处于上涨趋势中,按照理论认沽权证是没有投资价值的,但实际情况是大多数认沽权证在这段时间内仍然存在明显的泡沫。所以,本文选择认沽权证单独作为研究对象,研究到底是那些原因导致了认沽权证泡沫的形成和助长了认沽泡沫的增大。本文的研究试图对认沽权证的泡沫的进行测度、通过实证分析来研究影响认沽权证泡沫的各种因素,给政策制定者提供可行的建议,使我国的权证市场运行的更为有效。虽然中国内地证券市场中最后一支权证——长虹CWBl已于2011年8月12日到期,目前证券市场中已没有权证在上市交易,但是纵观发达国家金融市场便知,权证作为一种重要的金融衍生工具,将来还是会重新回到证券市场的,现在提出一些可行性建议,为未来权证的重新发行是非常有意义的。本文选取了2005年以来上市交易的所有权证为对象,使用Black-Scholes模型对欧式权证的理论价格进行了计算、使用二叉树模型对美式权证和百慕大权证的理论价格进行了计算,还对整个内地权证市场进行了描述性统计分析,发行权证市场的日交易量和换手率都十分高,说明了市场交易异常活跃。在2005年11月至2007年10月这段时间内,A股市场一直处于上涨的趋势,按照理论,在整个股票向上的趋势中认沽权证是没有投资价值的,但实际情况却是大多数认沽权证的市场价格要远远高于其理论价格,投资者对于认沽权证的投资情绪依旧很高。鉴于出现了这种特殊的现象,本文选择认沽权证单独作为研究样本,以认沽权证的市场价格和理论价格的差为认沽权证的泡沫绝对值、泡沫绝对值与理论价格的比作为权证的相对值。然后,本文对认沽权证泡沫绝对值和相对值的影响因素进行了实证分析,选取流动性、市场价格的波动性、生命周期、权证市场的流通量以及券商创设权证为解释变量分别进行了面板数据的回归,并建立了多元面板回归模型。实证分析的结果表明：认沽权证泡沫的绝对值和相对值都和权证的流动性、市场价格的波动性呈显著正相关关系,都和权证的生命周期、市场整体流通量呈显著负相关关系：特别的,券商的创设机制能够有效地减小认沽权证泡沫的绝对大小,但是对于泡沫的相对大小,却并没有显著影响。最后,根据实证研究结果,本文提出了一些政策建议,以期望将来权证重新回到证券市场时,这些政策能够在一定程度上抑制权证泡沫的形成或减小权证泡沫的程度,使得整个内地的权证市场走向更加理性化的方向。
[Abstract]:In August 2005 , the China Securities Regulatory Commission has introduced a small number of warrants to enter into market transactions to provide more investment tools to China ' s securities market in order to open China ' s financial derivatives market . In a certain degree , the stock warrants are considered to be an investment vehicle similar to the stock options issued by listed companies , which , to some extent , enriches the kind of investment tools and expands the whole financial market .

In the case of China ' s inland warrants market , the gap between the theory price of warrants and market price is relatively large , even if it is a qualified securities firm that has set a large number of warrants in accordance with the relevant regulations , it can not effectively return the market price to the theoretical price level .

Although China ' s last warrant _ Changhong CWBI expires on August 12 , 2011 , there is no warrant in the stock market in the present stock market . However , in the developed country financial markets , the warrants act as an important financial derivative instrument . In the future , it will be returned to the securities market , and some feasible suggestions are put forward to make it very meaningful for the re - issuance of future warrants .

In this paper , we have selected the warrants for listing transactions since 2005 , calculated the theoretical prices of European warrants using Black - Black model , calculated the theoretical prices of American warrants and Bermuda warrants by using the binary tree model , and also conducted a descriptive statistical analysis on the whole Mainland ' s warrants market . The daily trading volume and turnover rate of the issuing warrants market are very high , which illustrates the abnormal activity of market transactions .

In the period from November 2005 to October 2007 , the A - share market has been in the upward trend . According to the theory , the market price of the whole stock upward trend is not of investment value , but the actual situation is that the market price of the majority of the warrants is far higher than the theoretical price , and the investor ' s investment sentiment is still very high . In view of the special phenomenon , this paper chooses to consider the difference between the market price and the theoretical price of the warrants as the absolute value of the foam , the ratio of the absolute value of the foam and the theoretical price as the relative value of the warrant .

The empirical analysis shows that the absolute value and relative value of the market price are positively correlated with the liquidity of warrants , and the volatility of market price is positively correlated with the life cycle of warrants .

Finally , according to the results of the empirical research , this paper puts forward some policy suggestions , which can restrain the formation of the warrant bubble or decrease the degree of warrant bubbles to a certain extent , so that the warrants market in the Mainland is more rational .

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】