认购权证“到期”对标的证券影响研究  

A Study on the Call Warrants Expiration's Impact on the Underlying Securities

作　　者：谢赤[1,2] 周竟东[1] 欧辉生[1] 赵亦军[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与投资管理研究中心,湖南长沙410082

出　　处：《湖南大学学报（社会科学版）》2010年第6期40-45,共6页Journal of Hunan University(Social Sciences)

基　　金：国家社会科学基金重点资助项目(07AJL005);全国高校青年教师奖励基金资助项目(教人司2002[123]);教育部博士点专项科研基金资助项目(20070532091);教育部人文社会科学规划项目(10JA790015)

摘　　要：权证作为一种金融衍生工具,其到期必将对标的证券的价格与流动性产生重要影响。文章采用事件研究法分别就价内权证与价外权证到期对标的证券的影响进行研究。实证结果表明,在中国资本市场上权证到期对标的证券的影响具有一定特殊性,其中价内权证与价外权证到期前均对标的证券价格产生正效应,到期日后产生负效应;价内权证到期日后风险增加,流动性增强,价外权证则相反。As a financial derivative instrument,the expiration of the warrants will have a significant impact on the price and liquidity of the underlying securities.In this paper,the impacts the call warrants have（both in-the money and out-of-the-money） on the underlying securities are explored using the method of event study.The empirical results demonstrate that the expiration of the warrants has some particular influence on the underlying securities in China＇s capital market.Specifically,before the expiration date,both in-the money warrants and out-of-the-money warrants will have a positive impact on the underlying securities＇ price,while after the expiration date,the impact turns negative.In addition,the risk and liquidity of in-the money warrants increase after the expiration date,and vice versa for the out-of-the-money warrants.

关 键 词：认购权证 标的证券 权证到期 事件研究法 

分 类 号：F830.91[经济管理—金融学]