权证与标的股票关系的实证研究

发布时间：2018-10-29 14:41

【摘要】：在股权分置改革的背景下，权证作为非流通股东对流通股东对价赔偿的工具在权证市场上发行交易。2005年8月宝钢权证在沪市证券交易所上市交易，预示着在1996年被迫关闭的权证市场得以再次发展。权证是金融衍生工具的一种，具有完善证券市场的功能，其发行有利于标的股票价格的上涨及风险的降低，这在理论及成熟市场上都得到了认可。我国权证市场经过几年的发展，权证对标的股票影响是否符合理论及成熟市场认可的影响值得研究。本文首先从理论上阐述了权证对标的股票的影响，包括价格压力说、风险态度、完全市场、信息传递、权证定义分类及到期交易等。其次，选取自2005年以来发行的权证为样本，对权证发行及到期对标的股票价格和风险的影响进行了研究。通过实证研究得到以下结论:第一，认购权证发行对标的股票价格和风险不存在显著正效应影响；第二，认沽权证发行前一段时间标的股票价格呈现上涨趋势，但价格上涨并不显著；认沽权证发行有利于标的股票系统性风险的减弱；第三，权证到期对标的股票风险没有明显影响。总体上来说，鉴于我国权证市场在股权分置改革背景下推出，以及权证交易制度、权证发行量等原因，推出权证没有起到促进标的股票价格上涨、降低风险等稳定股票市场的作用。因此，，通过丰富权证产品、完善权证交易制度、加强投资者教育、加强监管等措施，完善我国权证市场发展非常必要。
[Abstract]:In the context of the reform of split share structure, warrants are issued and traded in the warrants market as an instrument for non-circulating shareholders to compensate for consideration. In August 2005, Baosteel warrants were listed on the Shanghai Stock Exchange. Foreshadowing the forced closure in 1996, the warrants market to develop again. Warrant is a kind of financial derivative, which has the function of perfecting the securities market, and its issuance is conducive to the rise of the underlying stock price and the reduction of the risk, which has been recognized in both the theory and the mature market. After several years' development of warrant market in China, it is worth studying whether the influence of warrant on the underlying stock is in accordance with the theory and the recognition of mature market. In this paper, the influence of warrants on underlying stocks is discussed theoretically, including price pressure theory, risk attitude, complete market, information transmission, the definition and classification of warrants and maturing transactions, etc. Secondly, the influence of issue and maturity of warrants on the price and risk of underlying stocks is studied. The conclusions are as follows: first, the issue of warrants has no significant positive effect on the underlying stock price and risk; Second, the price of the underlying stock is rising in the period before the issue of the warrant, but the price rise is not significant, and the issuance of the warrant is conducive to the weakening of the systemic risk of the underlying stock. Thirdly, the maturity of warrants has no obvious effect on underlying stock risk. Generally speaking, in view of the fact that the warrants market in our country was launched under the background of the reform of the split share structure, as well as the warrant trading system and warrant issuance volume, the introduction of warrants did not promote the rise of the underlying stock prices. The role of reducing risk and stabilizing the stock market. Therefore, it is necessary to improve the development of warrant market in China by enriching warrant products, perfecting warrant trading system, strengthening investor education, strengthening supervision and so on.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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