权证创设机制有效性检验及其影响因素研究

发布时间：2018-09-13 09:49

【摘要】：自2005年上交所重启权证交易之后，权证成为中国证券市场最有活力的金融衍生品。对权证进行合理定价是近年金融领域的研究热点之一，而目前权证市场的低定价效率以及高价格波动引起监管者的极大关注，从而推出权证创设机制以期提高定价效率以及抑制过度投机。本文首先在已有研究的基础上对权证创设机制有效性的内涵进行归纳定义，从4个方面出发选取总共11个指标采用主成分分析构造中国权证市场创设机制有效性度量指标，在此基础上进行创设机制有效性检验以及影响因素的实证研究，，包括创设组权证与无创设组权证、创设组权证在创设前后各指标的比较检验和权证创设机制有效性影响因素回归模型的建立。实证结果表明，权证创设机制对权证定价效率、标的证券价格波动以及权证投资风险的影响显著，但对权证价格波动的抑制作用不明显。整体而言，权证创设机制是有效的。并且权证创设机制对权证定价效率的作用受到认购/认沽以及剩余期限的影响；权证创设机制对权证价格波动的作用受到剩余期限以及创设前权证价内外深度的影响；权证创设机制对标的证券价格波动的作用受到杠杆比率以及创设前权证价内外深度的影响；权证创设机制对权证投资风险的作用受到创设前权证价内外深度、创设前2日平均换手率、创设力度以及认购/认沽的影响；权证创设机制的有效性受到剩余期限以及认购/认沽的影响。
[Abstract]:Since Shanghai Stock Exchange resumed trading warrants in 2005, warrants have become the most dynamic financial derivatives in China's securities market. The reasonable pricing of warrants is one of the hotspots in the field of finance in recent years. However, the low pricing efficiency and high price fluctuation of warrant market have aroused great concern of regulators. Thus, the establishment mechanism of warrant is put forward in order to improve pricing efficiency and restrain excessive speculation. In this paper, based on the existing research, the connotation of the validity of warrant creation mechanism is summarized and defined, and a total of 11 indicators are selected from four aspects to construct the index of effectiveness of the mechanism of creation of warrant market in China by principal component analysis (PCA). On this basis, the validity test of the creation mechanism and the empirical study of the influencing factors are carried out, including the creation of the group warrant and the non-creation of the group warrant. The comparative test of each index before and after the creation of the group warrant and the establishment of the regression model of the influencing factors of the validity of the creation mechanism of the warrant. The empirical results show that the mechanism of warrant creation has a significant effect on the pricing efficiency of warrant, the fluctuation of underlying securities price and the risk of warrant investment, but the inhibition effect on the volatility of warrant price is not obvious. Overall, warrant creation mechanism is effective. And the effect of warrant creation mechanism on the pricing efficiency of warrant is affected by subscription / sell and surplus period, and the effect of warrant creation mechanism on the price fluctuation of warrant is affected by the residual period and the depth inside and outside the warrant price before the creation of warrant. The effect of warrant creation mechanism on the fluctuation of underlying securities price is affected by leverage ratio and the depth inside and outside the price of warrant before the creation of warrant, and the effect of warrant creation mechanism on investment risk of warrant is affected by the depth inside and outside of the price of the former warrant. The average turnover rate of the first 2 days, the strength of creation and the influence of subscription / sell; the validity of the warrant creation mechanism is affected by the remaining period and the subscription / sell.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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