【作者】 杨艳彬；

【导师】 陈敏；

【作者基本信息】 湖南大学 ， 会计学， 2007， 硕士

【摘要】 随着股权分置改革的逐步推进,权证作为一种全新的股改对价支付方式引起了市场广泛关注。权证的复出不仅仅作为非流通股为实现流通的一种对价补偿方案,更重要的是作为我国资本市场金融工具创新的尝试,是衍生金融产品市场发展的突破口。作为一种金融衍生工具,权证的上市与交易必然会对标的资产产生影响。本文的研究目的是运用事件研究法,实证分析我国权证上市对标的股票的影响。本文在介绍权证价值构成以及各国权证市场发展情况的基础上,选取截止2007年5月30日上市的33只权证对应的27只股票为研究样本,分析了权证上市日前后各15个交易日相应标的股票收益率、交易量和波动率的变化情况,并根据上市权证的类型对标的股票进行了分组研究。我们发现,权证上市前标的股票累计超额收益率先达到峰值,在上市前一个交易日或第二个交易日会下跌;权证上市后标的股票的交易量上升;标的股票波动率的上升。分组研究发现,备兑权证标的股票累计超额收益率在权证上市前逐步上升,而股本权证标的股票累计超额收益率在权证上市前逐步下降;认沽权证标的股票累计超额收益率在权证上市前逐步上升,而认购权证标的股票累计超额收益率在权证上市前逐步下降,蝶式权证由于其复杂性,未形成一个统一的结论;沪市权证和深市权证标的股票的累计超额收益率变化趋势基本相同。更多还原

【Abstract】 Along with the process of equity division reform,stock warrants were back again and caused widespread concern . The introduction of warrants is not only a compensation program for investors to allow non-tradable shares in circulation,but also a try to the innovation of financial tools which will help the development of derivative financial products markets.As a finance derivative,the listing of warrants would influence the underlying assets.With event study method this research aims to discuss and prove the effects of warrants listing on underlying stocks .After introducing factors affecting the value of warrant and the development of warrant market both in China and abroad,this study selects 27 stocks with warrants listed on the SHSE and SZSE as of 30th may in 2007 as sample,compares the price,return,trading volume,volatility of underlying stocks 15 days before and after the warrants listing generally and then analyzes stocks grouped by the type of listing warrants,explains the market response to the event,and estimate the effects of the listing of warrants.The empirical results indicate that peak value of Cumulative Abnormal Return occurs before the Warrant listing,and then falls before the second listing day;the trading volume and volatility of stocks increases after warrant listing.Group study finds that Cumulative Abnormal Return of stocks rises before covered warrants listing,and has a fall effects before equity warrants listing;Cumulative Abnormal Return of Stocks rises before puttable warrants listing, and has a fall effects before callable warrants listing,but for butterfly warrants,there’s no consistent conclusion statistically;Cumulative Abnormal Return of Stocks shared the same trend according to warrant listing on both SHSE and SZSE.更多还原