我国上市公司认股权证价格偏误的实证分析

发布时间：2018-05-22 20:32

本文选题：Black-Scholes模型 + 认股权证　；参考：《中南大学》2012年硕士论文

【摘要】：我国认股权证的发展比较晚,是一个新兴市场,它的出现既满足了投资者的风险喜好,也丰富了投资者的交易策略,使得投资者的理财手段更加灵活高效。但是,认股权证的市场价格与理论价格总是存在着较大的偏差。因此,对我国上市公司认股权证市场价格与理论价格偏差的研究就显得非常的重要。认股权证本质上是公司发行的一种看涨期权,所以,我们可以利用期权定价模型对它进行定价分析。本文选用沪市三只欧式认股权证为例,以Black-Scholes定价公式为基础,在此基础上考虑认股权证稀释效应和波动率.我用修正后的定价公式和选取的参数计算出认股权证的理论价格,与实际价格进行比较分析时,发现我国认股权证的实际价格存在普遍的高估.为子进一步分析,本文对权证价格偏误与标的股票价格时间序列之间的协整关系进行了分析,并建立了误差修正模型来描述它们之间的短期波动关系.结合我国认股权证市场的现状,我们可以得出,偏离的主要原因是国内卖空机制的缺失,从而导致套利渠道不畅。权证的供应不足、制度政策的不健全和投资者的水平有限,这是导致投资者非理性行为产生的直接原因。原本权证创设机制的推出是为了增加供应量和抑制投机炒作,而实证研究表明可创设权证的平均偏离率高于不可创发的权证。这种现象的起因是创设机制使得一些证券公司能够主动创设和注销权证,从中牟利。本文的研究有利于相关部门帮助投资者提高科学的投资理念,有利于证实我国目前的权证市场发展是否健康。最后,对我国权证市场的发展和投资者提出了一些自己的建议。
[Abstract]:The development of warrants in China is relatively late, which is a new market. It not only meets the risk preferences of investors, but also enriches the trading strategies of investors, which makes investors more flexible and efficient in financial management. However, there is always a big deviation between the market price and the theoretical price of warrants. Therefore, it is very important to study the deviation between the market price of warrants and the theoretical price of listed companies in China. Warrants are essentially a call option issued by a company, so we can use the option pricing model to analyze its pricing. In this paper, three European warrants in Shanghai stock market are selected as examples, based on Black-Scholes pricing formula, the dilution effect and volatility of warrants are considered. I use the revised pricing formula and the selected parameters to calculate the theoretical price of warrants. When comparing with the actual price, I find that the actual price of warrants in China is generally overvalued. For further analysis, this paper analyzes the cointegration relationship between warrant price bias and time series of underlying stock prices, and establishes an error correction model to describe the short-term volatility relationship between them. Combined with the current situation of China's warrants market, we can conclude that the main reason of deviation is the lack of domestic short selling mechanism, which leads to the lack of arbitrage channels. The supply of warrants is insufficient, the institutional policy is not perfect and the level of investors is limited, which is the direct cause of irrational behavior of investors. The original creation mechanism of warrants is designed to increase supply and restrain speculation, but the empirical research shows that the average deviation rate of creating warrants is higher than that of non-creative warrants. The cause of this phenomenon is that the creation mechanism enables some securities companies to create and cancel warrants for profit. The research in this paper is helpful for the relevant departments to help investors improve their scientific investment concept and to confirm whether the current warrants market in China is healthy or not. Finally, some suggestions on the development of warrants market and investors are put forward.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F276.6;F224

【参考文献】