权证创设机制有效性的影响因素研究  

Empirical Studies on the Affecting Factors of Warrant Creation Institution Validity

作　　者：姚铮[1] 金列[1] 戴颖[1] 

机构地区：[1]浙江大学管理学院,杭州310058

出　　处：《管理学家（学术版）》2010年第2期29-35,共7页

摘　　要：我国权证市场的兴起是伴随着2005年股权分置改革而来的,由于缺乏供求平衡机制,权证市场存在一定的过度投机现象。本文把创设前后市场价与B-S理论价偏离度的变化率作为权证创设机制有效性的代理变量,实证分析了权证创设机制有效性的影响因素,主要得到以下结论:创设力度与偏离度变化率之间存在负相关的线性关系,对创设有效性的影响程度最大;换手率也与偏离度变化率之间存在负相关的线性关系,创设机制能有效稳定投机行为产生的市价剧烈波动;剩余期限与偏离度变化率之间存在正相关的线性关系,创设机制将有助于权证在到期前提前向理论价值回归。In 2005,accompanied with share-trading reform,Chinese warrant market rise.Due to the lack of supply and demand balance mechanism,some excessive speculations exist in the warrant market.This paper,takes change rate of the bias between market price B-S price as surrogate variables of the warrant creation institution validity.According to the empirical study on affecting factors of warrant creation institution validity,we find out some conclusions as follows：the creation quantity have negative linear relation with the change rate of the bias between market price B-S price.It has greatest impact on the warrant creation institution validity.The turnover also has negative linear relation with the change rate of the bias between market price B-S price.Warrant creation could stabilize the volatility that created by excessive speculations.The residual time has positive linear relation with the change rate of the bias between market price B-S price.Warrant creation institution will help the warrant return to its theoretical value advanced.

关 键 词：权证创设 市场价与B-S理论价偏离度 创设力度 

分 类 号：F830.9[经济管理—金融学]