中国权证市场投资组合的套利机会分析  

The Arbitrage of Portfolio in Chinese Warrant Market

作　　者：韦亚琼[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《管理评论》2008年第7期15-20,共6页Management Review

基　　金：国家自然科学基金项目资助(70471025)

摘　　要：首先介绍几类著名的权证投资组合,由于中国权证市场在品种、卖空、创设等方面的限制,本文只研究宽跨式组合,保护性认购权证组合,保护性认沽权证组合以及熊市价差组合。已有33只权证实证结果表明:只有保护性认沽权证组合和熊市价差组合存在套利机会。华菱和上海机场的保护性认沽权证组合分别有2个、4个交易日存在无风险套利,武钢、雅戈尔和包钢的熊市价差组合分别有76.17%、89.10%和66.48%的交易日存在无风险套利。这说明中国权证市场有效性不高,标的股票和权证之间的相对定价不合理。After giving a brief review of some well-known warrant portfolios,we begin to study the strangle, covered call, covered put and bear spread portfolio in Chinese warrant market, which is problematic in some aspects such as short sell or warrant creation. The empirical studies on 33 warrants show that covered put and bear spread can trace the risk-free arbitrage. Risk-free arbitrage exists in 2 and 4 trading days in the covered put of Hua Ling and Shanghai Jichang. Beside, Wugang, Yager, Baogang bear spread have arbitrage opportunities in respectively 76.17%, 89.10% and 66.48% of the trading days. The phenomena indicate the low-efficiency of Chinese warrant market and the unreasonable pricing between the warrant and the underlying equity.

关 键 词：保护性认购(认沽)权证组合 熊市价差组合 无风险套利 

分 类 号：F832.51[经济管理—金融学]