中国权证市场高开效应行为金融学研究  

Research on Open-high Effect in China Warrants Market

作　　者：卓丽洪[1] 

机构地区：[1]中国社会科学院信息情报研究院

出　　处：《数量经济技术经济研究》2014年第10期69-83,共15页Journal of Quantitative & Technological Economics

摘　　要：探讨中国权证市场全部55只权证的高开效应,从行为金融学视角分析影响权证高开效应的主要因素,建立回归模型,并进行实证检验,检验结果统计上显著地支持高开效应的普遍存在性以及理论分析和回归模型的合理性。高开效应及相应的无风险套利机会的长期存在表明,中国证券市场还不是一个弱有效市场。作为应对之策,监管部门需要降低监管决策的模糊性,提高透明度,加强投资者教育,完善证券市场基础制度。This paper discovers and investigates open-high effect of all the 55 warrants of China mainland stock market to the date April 2011. The paper analyzes the main factors which have an impact on open-high effect. After theoretical a- nalysis, the paper sets up several regression models, and uses daily transaction pan- el data and cross section data to run the empirical tests. The empirical tests results statistically significantly support the universal existence of open-high effect, the theoretical analysis and the regression models. The long-time and significant exist- ence of open-high effect and the resulting risk-free arbitrage opportunity indicate that China mainland stock market is not yet an efficient market. The market supervisor needs to improve the transparency of its decision making mechanic and process.

关 键 词：权证 间隔效应 高开效应 印花税 T+0交易 

分 类 号：F830.91[经济管理—金融学]