权证上市对标的股票的影响--基于中国股市的分析与实证  

The Effectiveness of Warrant Issuance on the Underlying Stock

作　　者：胡志鹏[1] 

机构地区：[1]复旦大学经济学院国际金融系,上海200433

出　　处：《金融研究》2008年第1期100-118,共19页Journal of Financial Research

摘　　要：本文基于连续时间动态资产定价模型,推导出权证作为一种新的、依赖于标的股票的风险资产上市交易后,标的股票均衡价格变动的一般性结果,揭示出标的股票资产定价机制必然发生根本性改变;通过建立标的股票收益率与波动率的计量模型验证理论结果;实证考察,在中国,权证上市交易后对标的股票收益率及其波动性的影响,最后得出关于标的股票收益率各方面特征变化的完整结论,作为监管部门与投资者决策的参考依据。Based upon the classical dynamic asset pricing model in continuous time, this paper deduces the general form of the change in underlying stock＇s equilibrium return brought about by warrant＇s issuance. Then the author establishes an econometric model for underlying stock＇s return and volatility to test the theoretic conclusion, as well as empirically researching the respective conditional and unconditional volatility and the asymmetrical characteristics. The conclusion of all aspects of changes in underlying stock＇s return could form a valuable basis for decision making of both investors and governing institutions.

关 键 词：权证 动态资产定价模型 WALD检验 似非相关回归方程组模型(SUR) TGARCH-M 

分 类 号：F832.5[经济管理—金融学]