沪市认购权证与标的股票的高频数据协整分析  

Co-integration of High-Frequency Data Between the Call Warrants and Their Underlying Target Stocks on Shanghai Stock Market

作　　者：刘洋[1] 陈思思[2] 庄新田[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004 [2]中国农业大学国际学院,北京100083

出　　处：《东北大学学报（自然科学版）》2007年第11期1660-1664,共5页Journal of Northeastern University(Natural Science)

基　　金：教育部高等学校博士学科点专项科研基金资助项目(20060145001)

摘　　要：权证定价常采用Black-Scholes期权定价模型,但Black-Scholes期权定价模型有很多严格的假设条件,标的资产对定价的影响较大.当权证与标的股票之间不存在协整关系时,Black-Scholes期权定价模型不能有效确定权证的价格.应用EG两步检验法和Johansen检验法对沪市认购权证和其标的股票进行协整检验,检验结果表明权证和其标的股票之间不存在协整关系.认购权证的价格走势脱离其标的股票而独立运动,这使得应用Black-Scholes期权定价模型为权证定价具有一定的局限性.我国的权证市场有很大的投机性.The Black-Scholes option pricing model is often applied to pricing the warrant, which has some strict hypotheses and therefore the underlying target assets affect greatly the pricing practice. When there is no co-integration relationship between warrants and underlying target stocks, the Black-Scholes option model can not confirm the price of warrants efficiently. EG test and Johansen test are used to analyze the co-integration between the call warrants in Shanghai Stock Market and its underlying target stocks, and the result shows no co-integration between them. Moreover, the price trend of the call warrants will deviate from their underlying stocks, thus limiting the pricing practice to a certain extent when using the Black-Scholes option pricing model. It reveals the serious speculation in our warrant market.

关 键 词：认购权证 协整检验 EG两步检验法 Johansen检验法 单整检验 

分 类 号：F830.91[经济管理—金融学]