中国内地权证的实证研究

【作者】 焦凯；

【导师】 刘红忠；

【作者基本信息】 复旦大学 ， 金融学， 2007， 博士

【摘要】 在全球证券市场，权证被越来越多的投资者应用作为投资、对冲、投资和套利的工具。在中国内地，最初的股票权证于1992年10月引入。权证可以是说伴随着中国证券市场的出现而出现的，“股票认购证”是中国内地证券市场发展初期发行股票采用的主要发行方式，而“股票认购证”已具备了股本权证的雏形，它的出现象征着中国内地股份制改革新的开端，自此中国内地证券市场进入了前所未有的高速增长期。后来因为过度投机，权证市场于1996年被禁，该证券品种逐步退出历史舞台。中国内地市场为了发展衍生品市场，帮助公司对冲风险，于2005年8月再次开设权证市场。这次重建的机遇来源于政府为了推动资本市场发展进行了股权分置改革，沪深交易所也藉此机会再次推出权证产品。股权分置是指可上市交易股票和不可上市股票同时存在。为使所有股票可以上市交易，进行股权分置改革的上市公司必须给私人投资者额外的股权或资金作为当国有非流通股票流通后对其手头的投资组合产生可能损失的补偿。对于不能提供现金或股票补偿的上市公司，发行权证成了首选方式。在中国内地，权证是由大股东发行，一经引入，权证就备受投资者追捧。权证作为衍生产品的一个重要分支，因此，从现有交易机制的前提下考察权证定价和风险管理问题日益成为研究的关注焦点。从现状来看，目前学术界缺乏对现有权证市场交易机制方面，诸如日内回转交易、创设注销制度和做市商制度等等问题的深入探讨和系统研究，另外，从中国证券市场实践的角度来看，从权证价格模拟误差和避险交易为着眼点，完善市场风险管理和提升交易质量，也缺乏中国内地市场权证交易的相关深入实证研究作为依据。中国是目前国际上刚刚引入权证交易的最大新兴市场之一。另外，与国外市场相比，作为转型经济的产物和历史发展的原因，中国内地权证市场存在一些非常有趣的特征：权证价格波动激烈；权证交易制度与基础证券交易制度差异。这些特征都为深入研究中国内地权证市场提供非常好的素材。因此，以“中国内地权证实证研究”为选题开展研究，无论从学术研究还是指导实践的角度都很有意义和可行性。本文首先研究了境外市场(包括香港、台湾、德国、澳大利亚)和中国内地的权证交易机制；然后重点选择了国外市场研究中基本成熟的权证模型，以中国内地权证市场(包括沪深证券市场)权证为主要研究对象，利用所有中国内地市场上权证全样本的交易和报价高频数据，借助统计和计量等方法，对中国内地权证在现有交易制度下的定价效率、避险交易、日内回转交易特征进行全面深入的实证分析和比较研究。我们发现：中国内地权证存在着定价方面的显著差异。与境外投资者相比较，中国内地权证投资者承担了更多的权证定价效率误差：为何定义中国内地权证的定价效率误差，论文从以下几个方面进行思考和实证分析。首先，考察权证的引入对基础证券的价格、波动率、交易量、买卖差价和贝塔产生的影响；其次，研究权证价格和基础证券价格之间存在的相关性。通过实证分析，我们发现权证价格严重地偏离基本研究，采用历史标准差计算的B-S公式的定价误差平均是-48.59％。论文展示了定价误差与权证的价内外性质、到期前事件及权利金有密切的关系。同时我们发现权证的定价误差显示了很强的自相关。论文还发现并展示了权证的交易对基础证券的风险、流动性和交易量都有不可忽视的影响。我们的结论支持额外的权证供应会减少基础证券波动率的理论。相关性结论还显示了权证市场为股票价格起到了价格发现器的作用。更多还原

【Abstract】 Total warrant turnover on the Shanghai and Shenzhen Stock Exchanges reached 1720 billion RMB in 2006. It exceeds that of Hong Kong and German becomes the largest warrant market around the world.Warrants are introduced to promote its state-shareholding reform in China. Warrants are issued by the large shareholder. Warrants in China are different from equity warrants and derivative warrants in other markets. Several firms issue the put warrants. However, the large shareholders are not able to hedge their risk without the short-selling. Put warrant becomes a zero-sum game between the large shareholder and warrant investors. The large shareholder controls the daily operation of the company and can manipulate the stock price through investment, financing and earnings management. The market in China has accumulated enough experience during the past 17 months.This paper addresses the following three research questions: Whether the warrants pricing model used in the western can be applied in China? What is the impact of warrant introductions on the underlying stocks (price, volatility, volume, bid-ask spread and beta)? Whether there exist causality relations between warrant prices and underlying stock prices? We find the warrant price is significantly deviated from the fundamentals and the average pricing error based on the Black-Scholes formula using the historical standard deviation is -48. 59%. We show the pricing errors are strongly associated with the moneyness.of a warrant, the time to maturity, the warrant price premium. The pricing errors exhibit very high autocorrelation. We show that warrant trading has negligible impact on the risk, liquidity and trading volume of underlying stocks. Our results support that the additional supply of warrants can reduce the volatility of underlying stocks. The causality results suggest warrant market serves as price discovery vehicle for the stock prices. Based the above findings, we have the following recommendations on the development of the warrant market in China.The short-selling mechanism will be implemented in China according the CSRC. We think it is appropriate time to introduce derivative warrants to the market because warrants can be as tools for investment, hedging, or arbitrage and can serve as a price discovery vehicle. To implement the plan, we suggest introducing ETF warrant as the first step and gradually extending derivative warrants to stock market index and then to blue-chip stocks.Investors in derivative warrants are exposed to credit risk in respect of the issuer. Derivative warrant issuers should be subject to a set of entry criteria. To set up a credit rating system for the institutional investors become an imminent task. For derivative warrants, the other important issue is liquidity provider. Following the practice in Hong Kong, a Liquidity Provider (LP) mechanism should be introduced. Under this mechanism, issuers are required to appoint LPs for their derivative warrants. They may appoint different LPs for different warrant issues. However, for each derivative warrant issue, there can only be one LP. An LP should provide liquidity for the derivative warrant issue it supports by either providing continuous quotes or responding to quote requests.Up to June 2005, 1.85 million out of 37 million brokerage accounts participate in the transaction of warrants at the Shanghai Stock Exchange. It implies that only 5% of investors are involved in warrants market. Large investors, whose daily trading amounts exceeding 0. 5 million RMB, are the major player in the warrants market. There are 8, 177 large investors at the Shanghai Stock Exchange. They accounts for 2% of total trading accounts. However, their transaction accounts for 62% of total trading amount. They trade about 1. 57 million RMB every day. 80% of large investors trade at least 10 times per week and contribute 337.3 billion RMB of transaction. It accounts for 80% of the total trading volume. They fully take advantage of T+0 settlement rule. We believe large investors have advantage over small investors in terms of information acquiring and transaction efficiency. In order to enhance the market transparency, we suggest the stock exchange to disclose the transaction information of different investor types on the daily basis. We also recommend changing T+0 settlement rule to T+2 settlement rule so as to reduce the speculative trading activities in the warrant market.Based on the statistics from the Shanghai Stock Exchange, 49,000 accounting holding 8.9 million units of Baosteeling call warrants have not made any transaction until the end of July, 2006. The maturity date of Baosteeling call warrants is August 30, 2006. The majority of these accounts are held by individual investors. We suggest the stock exchange to devote more resources on investor education.Price limits are artificial boundaries that are imposed by exchange regulators to restrict extreme daily security price movements. The argument on price limits is inconclusive. The proponents suggest that price limits would protect the market from overreaction to noise trading and other disturbance, while the opponents argue that they serve no purpose other than to slow down price change. Since there is no theoretical basis for determining whether the imposition of price limits will have the desired effect, the whole argument becomes an empirical issue to be tested. Our results show that the price limits have no impact on the pricing error. We think the price limit may not be necessary.更多还原