我国权证上市对标的股票影响的实证分析  

Empirical Analysis on Impact of Warrants Issue on Underlying Stocks in China

作　　者：刘敏[1] 赵守国[1] 

机构地区：[1]西北大学经济管理学院,陕西西安710127

出　　处：《西安财经学院学报》2008年第1期38-42,共5页Journal of Xi’an University of Finance & Economics

摘　　要：本文通过检验在沪市上市的5只股票在以其为标的的权证上市日前后60个交易日的收益率、β值以及波动性的变化情况,分析权证上市事件对标的股票收益和风险水平的影响。结果显示,我国内地权证上市对标的股票收益率无显著影响,而对标的股票系统风险及波动性影响不尽相同,并未形成一致的统计结论。造成这一结果的原因在于,我国内地权证市场刚刚起步,与国外成熟市场相比还有较大的差距。The study took five stocks with warrants listed on the SHSE as sample, analyzed the rate of return, beta and the volatility of underlying stocks 60 days before and after the issuance of warrants. The conclusion shows： the issuance of warrants had no significant effect on the rate of return for the underlying stocks, the impacts on the volatility and beta are uncertain. So, there is no consistent conclusion about the impact of risk for the underlying stocks. The reason is that, compared with other mature markets abroad, the warrants are a kind of new financial derivatives, which just begin in China.

关 键 词：权证 收益率 虚拟变量 β值 波动性 股票 

分 类 号：F832[经济管理—金融学]