基于互谱分析的权证与标的证券收益率波动溢出研究  

A Study on the Interrelationship between Warrants and the Underlying Securities Based on Cross Spectral Analysis

作　　者：曾志坚[1] 范丽[1] 周竞东[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《财经理论与实践》2010年第6期38-43,共6页The Theory and Practice of Finance and Economics

基　　金：教育部人文社会科学规划青年基金项目(09YJC630063);湖南省社会科学基金项目(09YBA037)

摘　　要：通过互谱分析实证研究了中国权证市场具有代表性的权证与其标的证券之间的波动溢出效应。结果表明,权证收益率波动与标的证券收益率波动之间的相干性较低,波动溢出效应不明显,但是二者之间存在一定的领先——滞后关系,在权证最后交易日存在从权证收益率波动到标的证券收益率波动的领先关系。The volatility spillover effect between representative warrants in China warrants market and the underlying securities is examined using cross-spectral analysis.The results show that low coherence between warrants volatility and their underlying securities volatility,the volatility spillover effect is not obvious.But there is a certain lead-lag relationship between them and in the last trading day there is lead relationship from warrants volatility to underlying securities volatility.

关 键 词：权证 标的证券 互谱分析 波动溢出 

分 类 号：F830.9[经济管理—金融学]