权证发行对标的资产交易行为的影响研究  

Impact of Warrant Introduction on Trade Behavior of Underlying Stocks

作　　者：张爱玲[1] 吴冲锋[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：《管理工程学报》2008年第4期137-139,145,共4页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金项目(70331001)

摘　　要：本文用事件研究方法分析了内陆认股权证上市对标的股价和交易量的影响。检验上市交易的总体认股权证样本,发现权证上市后短时期内股价下降和交易量增加;可创设权证的标的资产价格和交易量在发行后短时期内上升。原因可认为权证上市向市场传递了一个利空信息,导致股价在权证上市前大幅下跌;其次卖空限制使股价下降风险得不到有效规避;最后市场规章制度的变化也是其中原因。异常收益检验结果证明内陆资本市场是不完全的。The effect of stock warrants issue on price and volume of underlying stocks around the listing date in China had been analyzed with event-study methodology. The overall issued warrant samples had been examined. The examining results indicated that stocks prices declined and volumes increased at the beginning of warrants issue. Furthermore, prices and volumes of underlying stocks of warrants created by financial instruments had increased but only lasted for a short term. The causes could be ： firstly, the issue of warrant conveyed negative information to the market, this led to deep decline of stocks prices prior to the issue; secondly, the short-sale constrains made that the risk of stocks price couldn＇t be avoided effectively ; Finally, the changes of control and regulations brought some effect. Examining results of abnormal revenue had proven that the capital market in China is incomplete.

关 键 词：权证 交易行为 事件研究 权证创设 

分 类 号：F830.9[经济管理—金融学]