权证上市对股票波动性影响的实证分析  

The Empirical Analysis on Stock Volatility for the Issue of Warrants

作　　者：杨屈利[1] 方杰[1] 

机构地区：[1]东北财经大学研究生部,辽宁大连116023

出　　处：《福建商业高等专科学校学报》2008年第4期28-31,共4页Journal of Fujian Commercial College

摘　　要：通过使用GARCH类模型,以中国证券市场上发行的钢铁类股票的认股和认沽权证为研究对象,从实证的角度分析权证的发行对股票波动性的影响。模型结果表明,部分权证的上市对均值方程构成影响,反映为指数的平均收益率随权证上市而发生改变;认股权证的发行减少了市场的波动性,而认沽权证的上市则加剧了市场的波动;当市场上股票收益率受到冲击时,其影响在短期内难以消除。In this paper,we discuss the influence of the stock volatility in the empirical aspect when warrants issue by analyzing the call and put options of steel stocks issued in the stock market of China in the model of GARCH.The result is that the issue of call option mitigates the volatility of the market while the issue of put option does the inverse;when there is a strike on the stock return,the influence is not easy to eliminate.

关 键 词：权证 波动性 GARCH类模型 

分 类 号：F830.91[经济管理—金融学]