本文選題：認(rèn)購權(quán)證定價 + 牛市　； 參考：《統(tǒng)計與決策》2011年07期

【摘要】：文章選取滬深兩市當(dāng)中橫跨牛市和熊市的鋼鐵行業(yè)認(rèn)購權(quán)證為樣本,運用時間序列相關(guān)方法實證研究了B-S模型、投資者情緒對認(rèn)購權(quán)證的定價影響,結(jié)果發(fā)現(xiàn):無論是在牛市還是熊市中,B-S定價模型對中國證券市場中的認(rèn)購權(quán)證定價均有一定的適用性。但其定價的效果要受到投資者的情緒影響,在牛市中投資者的樂觀情緒使實際價格較于理論價格高估,而在熊市中投資者的悲觀情緒則使之表現(xiàn)為低估,投資者情緒對權(quán)證的定價具有著正向的影響。
[Abstract]:This paper selects the iron and steel industry subscription warrants across bull and bear markets in Shanghai and Shenzhen stock markets as samples, and empirically studies B-S model by using time series correlation method. The influence of investor sentiment on the pricing of warrants is studied. The results show that the B-S pricing model is applicable to the pricing of warrants in China's securities market, both in bull and bear markets. However, the effect of pricing is influenced by investor sentiment. In a bull market, the optimism of the investors makes the real price overvalued compared with the theoretical price, while in the bear market, the pessimism of the investors makes it undervalued. Investor sentiment has a positive impact on the pricing of warrants.
【作者單位】： 西安交通大學(xué)經(jīng)濟與金融學(xué)院;
【基金】：西安交通大學(xué)“985工程”二期重點項目(07200701) 中國博士后科學(xué)基金資助項目(20080441099)
【分類號】：F224;F832.5

【參考文獻】

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本文編號：1939309