【作者】 王雪婷；

【导师】 李卫东；

【作者基本信息】 北京交通大学 ， 统计学， 2008， 硕士

【摘要】 伴随着股权分置改革的进程,认股权证一推出便成为我国资本市场的焦点,引起了广泛的关注和大量资金的涌入。权证的推出不仅仅只是非流通股为实现流通支付的一种补偿对价方案,而且是我国证券市场金融工具创新的开端,是衍生产品市场发展的突破口。作为一种类似于期权的金融衍生产品,认股权证的价格会具有什么样的规律,并且其发行和交易必然也会对标的资产产生影响。本文研究的目的是通过实证分析,探讨我国权证价格的自身的波动规律,以及其发行对标的股票的交易活动产生的短期和长期影响。本文在介绍当前我国权证市场发展概况的基础上,首先阐明了本文的研究背景、研究意义、目前本领域的研究现状、及本文的创新之处。第二部分介绍了权证的相关知识,包括权证的相关概念;认股权证与股票、期权的联系和区别;权证的作用、发展历史、定价原理及价值评价。第三部分,介绍权证价格波动的相关理论,包括波动率的定义;GARCH模型的定义及估计方法。第四部分,进行了本文的实证研究,主要分为两部分,第一部分选取马钢权证及其标的股票马钢股份作为研究样本,通过对马钢权证自2006年11月29日发行到2008年4月14日每日的最高价、最低价、日波动率,建立GARCH模型、GARCH-M模型、EGARCH模型进行分析,得出结论:认股权证自身价格波动呈随机游走模型,波动剧烈;其波动率序列相对稳定,有明显的集簇性;存在正的风险溢价及显著的杠杆效应和反馈效应。第二部分通过事件研究法,比较权证发行前后10个交易日和前后60个交易日标的股票交易量、价格、收益率,了解市场对权证发行事件的反应,评价权证发行产生的效果。得出结论:权证发行前后数日会出现标的股票交易量峰值,之后成交量会回落,但会高于发行前水平;短期内对股价有支撑作用,标的股票交易剧增,并且这种对交易的活跃效应会持续到中长期;发行前数日标的股票会取得正的收益率,但中长期收益率并未发生显著变化。第五部分,总结归纳了本文的研究结论,并提出了相关政策建议。更多还原

【Abstract】 Along with the process of equity division reform, the redivious stock warrants, which aroused broad attention and attracted plenty funds, became the focus of domestic stock market immediately. The introduction of warrants is not only a plan to compensate investors for allowing the company’s non-tradable shares to be listed on the securities market, but also a start of financial innovation in our securities market, which will help open a new market for the derivative instruments. As a finance derivative similar to option, what is the regular of its price volatility; Meanwhile the initiation and transaction of warrant would influence the underlying assets. This research aims to discuss and prove the regulation, the short-term and long-term effects of warrants issue on underlying stocks through empirical analysis.After introducing the general situation of recent domestic warrants market, firstly, it clarifies the background, the significance and the status of the research and also the paper’s innovation. Secondly, it introduces the related knowledge of the warrants, which including the concept, the value, the history, the pricing principle and the evaluation of the warrants, and the relationship and difference in warrants, stocks and the options. Thirdly it introduces the theory about the pricing fluctuation, which including the concept of volatility, the concept and the estimate method of GARCH model.Fourthly, it’s the empirical research of this paper. This study selects MaGang Warrant and the underlying stock- MaGang stock as sample, and has done two parts reach of it. The first part: it through building GARCH model, GARCH-M model, EGARCH model, compares the day highest price, day lowest price and the volatility from Dec.29^th, 2006 to Alp. 14^th, 2008. Getting the conclusion, the regularity of price fluctuations is not obvious; it is volatile; The sequence of its volatility is relatively stable. There are clear set of clusters and has the risk premium, significant leverage and feedback effects.The second part: Through event research method, compares the trading volume, price, return, volatility of the underlying stocks 10 days or 60 days before and after the warrants issue, explains the market response to the event, and estimate the effect of the listing of warrants. The empirical results indicate that peak value of trading volume occurs near the warrant listing, and then falls gradually to a level higher than it before the warrant listing; the price gains a short-term supportive effect; the trading volume has increased before the warrant listing and this will continue to the long term; Before the listing it gains a positive Yield rate but in the long term it’s not obvious.The fifth part is the conclusion of this paper; Meanwhile it also gives out the suggestions about the policy.更多还原