我国权证上市对标的股票的波动性影响研究  

The Volatility Influence of the Warrants Listing Underlying Stock in China

作　　者：孙晓惠[1] 

机构地区：[1]南京航空航天大学,南京211100

出　　处：《价值工程》2011年第16期156-156,共1页Value Engineering

摘　　要：权证是基于标的股票产生的一种金融衍生产品,其与标的股票之间存在联动关系,因此,权证上市会对标的股票产生一定的影响。本文将通过EGARCH模型研究权证上市前后标的股票波动性的变化,据此探讨权证上市给标的股票波动性带来何种影响。Warrant is one of the financial derivative products based on object and connected with underlying stock.Therefore,the entrance of warrant into the market will have some effect on the underlying stock.In order to study the impact of warrants listing on the volatility of the underlying stocks,I use the EGARCH model introducing a dummy variables to estimate it.

关 键 词：权证上市 标的股票 波动性 

分 类 号：F82[经济管理—财政学]