再论便利性收益与我国权证市场价格偏离
发布时间：2018-12-24 12:39
【摘要】：自2005年我国第一只权证—宝钢权证上市后,权证市场交易一直非常活跃。而且权证交易呈现出不依赖于其标的股票交易的特征。我们通过统计分析发现权证价格长期偏离与其理论价格,认沽权证市场价格平均高出其理论价格0.87元,而认购权证市场价格平均高出其理论价格1.8元。合格的金融机构分别在认沽权证和认购权证的创设中获得了230亿元和17亿元的丰厚回报。这些都表明在我国权证市场上存在明显的价格偏离现象。那么是什么原因导致了我国权证市场上的价格偏离现象呢?Eric Powers、Gang Xiao and Hong Yan(2009)通过分析认为,我国权证市场的这种价格偏离是由于我国权证市场相对于股票市场的特殊交易机制,使得我国权证市场存在便利性收益,而权证价格偏离正是对这种便利性收益的溢价。本文旨在验证该假设的正确性,并将其研究中的不足加以改进。最后我们尝试通过寻找一个可观测的变量作为权证价格偏离的代理变量,进而规避以往金融资产泡沫研究中的理论定价误差,并通过实证分析进一步验证便利性收益假设对我国权证市场价格偏离原因解释的正确性。 本文共分为六章,第一章文献综述,首先介绍国内外关于我国权证市场价格偏离的相关研究,然后着重介绍Xiong and Yu(2009)和Eric Powers、Gang Xiao and Hong Yan(2009)的研究成果并分析其研究中不足；第二章我们将从权证市场价格与理论价格的比较、权证创设与注销和权证价格与标的股票价格的相关性三个角度论证我国权证市场的价格偏离现象；第三章我们将采用标准的期权定价模型计算我国权证的理论价格；第四章,我们将根据Xiong and Yu(2009)和Eric Powers、 Gang Xiao and Hong Yan(2009)的研究成果,对我国权证市场价格偏离进行理论分析；第五章,我们将根据第四章中权证价格偏离的理论分析,对Eric Powers、 Gang Xiao and Hong Yan(2009)的研究结果进行再验证,并将其研究中的不足加以改进；第六章,我们首先通过权证价格分解,寻找权证价格偏离的代理变量,然后通过实证分析进一步论证便利性收益假设对我国权证市场价格偏离解释的正确性。
[Abstract]:Since 2005, the first warrant-Baosteel warrants listed, the warrants market has been very active. Moreover, warrant trading shows the characteristics that it does not depend on the underlying stock trading. Through statistical analysis, we find that the price of warrants deviates from its theoretical price for a long time. The market price of put warrants is 0.87 yuan higher than its theoretical price on average, while the market price of warrants is 1.8 yuan higher on average than its theoretical price. Qualified financial institutions received 23 billion yuan and 1.7 billion yuan in the creation of warrants and warrants respectively. All of these indicate that there is an obvious price deviation in the warrant market of our country. So what is the reason for the price deviation in the warrant market in China? Eric Powers,Gang Xiao and Hong Yan (2009 believes that The price deviation of warrant market in our country is due to the special trading mechanism of warrant market relative to stock market, which makes the warrant market of our country have convenience income, and the deviation of warrant price is the premium to this kind of convenience income. The purpose of this paper is to verify the validity of the hypothesis and to improve the deficiency in its research. Finally, we try to find an observable variable as the proxy variable of warrant price deviation to avoid the theoretical pricing errors in previous studies of financial asset bubbles. The empirical analysis further verifies the validity of convenience return hypothesis to explain the price deviation of warrant market in China. This paper is divided into six chapters. The first chapter is a literature review. Firstly, it introduces the domestic and foreign research on the market price deviation of warrants in China, then focuses on the introduction of Xiong and Yu (2009) and Eric Powers,. Gang Xiao and Hong Yan (2009). In the second chapter, we will demonstrate the price deviation of warrant market from three angles: the comparison between warrant market price and theoretical price, the creation and cancellation of warrant, and the correlation between warrant price and underlying stock price. In the third chapter, we will use the standard option pricing model to calculate the theoretical price of warrants in China. In the fourth chapter, we will analyze the market price deviation of warrants in China according to the research results of Xiong and Yu (2009 and Eric Powers, Gang Xiao and Hong Yan (2009. In the fifth chapter, we will verify the research results of Eric Powers, Gang Xiao and Hong Yan (2009 according to the theoretical analysis of warrant price deviation in Chapter 4, and improve the shortcomings of the research. In the sixth chapter, we first find the proxy variable of warrant price deviation through the decomposition of warrant price, and then prove the correctness of convenience return hypothesis to explain the market price deviation of warrant market through empirical analysis.
【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
本文编号：2390638
[Abstract]:Since 2005, the first warrant-Baosteel warrants listed, the warrants market has been very active. Moreover, warrant trading shows the characteristics that it does not depend on the underlying stock trading. Through statistical analysis, we find that the price of warrants deviates from its theoretical price for a long time. The market price of put warrants is 0.87 yuan higher than its theoretical price on average, while the market price of warrants is 1.8 yuan higher on average than its theoretical price. Qualified financial institutions received 23 billion yuan and 1.7 billion yuan in the creation of warrants and warrants respectively. All of these indicate that there is an obvious price deviation in the warrant market of our country. So what is the reason for the price deviation in the warrant market in China? Eric Powers,Gang Xiao and Hong Yan (2009 believes that The price deviation of warrant market in our country is due to the special trading mechanism of warrant market relative to stock market, which makes the warrant market of our country have convenience income, and the deviation of warrant price is the premium to this kind of convenience income. The purpose of this paper is to verify the validity of the hypothesis and to improve the deficiency in its research. Finally, we try to find an observable variable as the proxy variable of warrant price deviation to avoid the theoretical pricing errors in previous studies of financial asset bubbles. The empirical analysis further verifies the validity of convenience return hypothesis to explain the price deviation of warrant market in China. This paper is divided into six chapters. The first chapter is a literature review. Firstly, it introduces the domestic and foreign research on the market price deviation of warrants in China, then focuses on the introduction of Xiong and Yu (2009) and Eric Powers,. Gang Xiao and Hong Yan (2009). In the second chapter, we will demonstrate the price deviation of warrant market from three angles: the comparison between warrant market price and theoretical price, the creation and cancellation of warrant, and the correlation between warrant price and underlying stock price. In the third chapter, we will use the standard option pricing model to calculate the theoretical price of warrants in China. In the fourth chapter, we will analyze the market price deviation of warrants in China according to the research results of Xiong and Yu (2009 and Eric Powers, Gang Xiao and Hong Yan (2009. In the fifth chapter, we will verify the research results of Eric Powers, Gang Xiao and Hong Yan (2009 according to the theoretical analysis of warrant price deviation in Chapter 4, and improve the shortcomings of the research. In the sixth chapter, we first find the proxy variable of warrant price deviation through the decomposition of warrant price, and then prove the correctness of convenience return hypothesis to explain the market price deviation of warrant market through empirical analysis.
【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
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