上市公司权证发行及对标的证券收益率的影响研究

发布时间：2018-08-30 09:48

【摘要】：权证是基于标的证券而形成的一种金融衍生产品，其与标的证券之间必然存在某种相关关系。因此，权证的发行将对标的证券产生一定的影响。20世纪90年代初，中国证券市场曾引入过具有认股权证性质的权证，但由于存在发行量过小、价格易于操纵和信息披露不充分等原因而被恶意炒作，导致其价格暴涨暴跌，监管层被迫终止沪深权证交易。2005年，在股权分置改革背景下，中国权证市场重新启动，，但随着这批权证的陆续到期，权证又再次消失。然而，本文相信这只是暂时的，作为国际市场上一种普遍和成熟的投资工具，权证迟早还会再现于中国证券市场。在权证市场的发展过程中，上市公司权证发行对其标的证券收益率有何影响，权证与其标的证券收益率的波动溢出关系如何？这些一直是业界和学界关注的问题。探讨权证上市会对标的股票产生怎样的影响以及影响程度如何，对投资者、发行人以及市场政策制定者和监管者而言，都有着深刻的现实意义。本文以“上市公司权证发行及对标的证券收益率的影响研究”为题，探讨中国权证的发行对其标的证券收益率的影响。论文首先回顾中国权证市场的发展历程，并对权证发行、交易、行权和监管四个方面的制度进行分析，形成对权证市场交易的整体认识。接着讨论权证定价的经典模型，利用跳跃GARCH模型研究中国权证市场定价问题，并与传统的Black-Scholes模型的定价效果进行比较。然后，采用事件研究法分析权证上市对标的证券收益率的影响。接着，探讨权证收益率波动及其度量问题，构建GARCH模型和SV模型对权证收益率波动进行度量，并比较两者的度量效果。在此基础上，分别利用Copula函数和互谱分析方法考察交易期间权证与标的证券收益率的波动溢出。最后，实证研究权证到期对标的证券收益率的具体影响。研究发现：在权证定价方面，跳跃GARCH定价模型以及Black-Scholes期权定价模型的定价与权证市场价格存在一定的偏差。其中，Black-Scholes模型的定价效果较差，而跳跃GARCH定价模型，尤其是NGARCH-Jump模型的定价效果最好。在权证收益率的波动度量方面，GARCH模型和SV模型都能较好地刻画权证收益率序列的波动性，但SV模型在总体上比GARCH模型更能捕捉权证收益率序列的波动信息。在权证发行对标的证券的影响方面，发现权证在有效期的不同时期对标的证券产生的影响有所不同。在权证上市前后，样本标的证券分别存在显著的负向和正向超额累计收益率。在权证总持续期间、发行上市时期以及权证最后交易日权证收益率与其标的证券收益率之间的波动溢出程度较低，但是权证收益率波动与标的证券收益率波动之间存在一定的领先—滞后关系。在中国资本市场上权证到期对标的证券的影响具有一定特殊性，其中价内权证与价外权证到期前均对标的证券价格产生正效应，到期日后产生负效应。
[Abstract]:Warrant is a kind of financial derivative product based on the underlying securities, and there must be a certain correlation between it and the underlying securities. Therefore, the issuance of warrants will have a certain impact on the underlying securities. In the early 1990s, the Chinese securities market once introduced warrants with the nature of warrants, but due to the existence of a small amount of issuance, The price is easily manipulated and the information disclosure is not fully disclosed and so on, which is malicious and hyped, resulting in its price soaring and plummeting, and the regulators being forced to terminate the trading of warrants in Shanghai and Shenzhen. In 2005, under the background of the split share structure reform, China's warrants market was restarted. However, as this batch of warrants expired, warrants again disappeared. However, this paper believes that this is only temporary, as a common and mature investment tool in the international market, warrants will be reproduced in China's securities market sooner or later. In the course of the development of warrants market, how does the issuance of warrants of listed companies affect the return rate of underlying securities, and how does the volatility spillover relationship between warrants and the return rate of underlying securities? These have been the industry and academic attention. It is of great practical significance for investors, issuers, market policy makers and regulators to explore the impact and extent of warrants listing on underlying stocks. This paper discusses the influence of the issuance of warrants on the return rate of underlying securities in China under the title of "Research on the issue of warrants of listed companies and their impact on the return rate of underlying securities". Firstly, the paper reviews the development of China's warrant market, and analyzes the four aspects of warrant issuance, trading, exercise and supervision, forming the overall understanding of warrants market transactions. Then the classical model of warrant pricing is discussed, and the pricing problem of Chinese warrant market is studied by using the jump GARCH model, and the pricing effect of the traditional Black-Scholes model is compared with that of the traditional Black-Scholes model. Then, the influence of warrants listing on the return rate of underlying securities is analyzed by event study method. Then, the paper discusses the volatility of warrant return and its measurement problem, constructs GARCH model and SV model to measure the volatility of warrant return, and compares their measurement effects. On this basis, we use Copula function and cross-spectral analysis method to investigate the volatility spillover of warrants and underlying securities returns during trading. Finally, empirical research on the specific impact of warrants maturity on the return of underlying securities. It is found that in the pricing of warrants, there is a certain deviation between the pricing model of jumping GARCH and the pricing model of Black-Scholes options and the market price of warrants. The Black-Scholes model has a poor pricing effect, while the jump GARCH model, especially the NGARCH-Jump model, has the best pricing effect. Both GARCH model and SV model can describe volatility of warrant return series well, but SV model can capture volatility information of warrant return series better than GARCH model on the whole. In terms of the influence of warrant issuance on underlying securities, it is found that the influence of warrants on underlying securities is different in different periods of validity. Before and after the warrants are listed, there are significant negative and positive accumulative returns respectively. During the period of the total duration of warrants, the volatility spillover between warrant yield and return rate on the last trading day of warrants and the return rate of underlying securities is relatively low, However, there is a leading-lag relationship between the volatility of warrant return and the volatility of return on underlying securities. In China's capital market, the maturity of warrants has a certain particularity, in which both intra- and extra-valored-warrants have positive effects on the underlying securities prices before expiration, and negative effects after maturity.
【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F275;F832.51

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