本文選題：權(quán)證 + 證券市場(chǎng)�。� 參考：《華東師范大學(xué)》2012年碩士論文

【摘要】：權(quán)證是一種契約關(guān)系,它是有發(fā)行人和投資者約定的在未來(lái)的某一個(gè)時(shí)間,權(quán)證的持有人有權(quán)利,但并非義務(wù)的向權(quán)證發(fā)行人以事先約定的價(jià)格購(gòu)入或售出一定數(shù)量的金融資產(chǎn)。當(dāng)然持有人也可以放棄行使權(quán)利。由于權(quán)證有很多的優(yōu)點(diǎn),所以它成為了成熟證券市場(chǎng)中比較流行的一種金融衍生工具,受到了國(guó)外投資者的熱烈追捧。 權(quán)證在中國(guó)經(jīng)過(guò)了二次發(fā)展,歷經(jīng)十幾年時(shí)間,經(jīng)歷過(guò)非常輝煌的階段,但是隨著2011年8月20日長(zhǎng)虹權(quán)證的到期,權(quán)證在中國(guó)市場(chǎng)全部落下帷幕。很多學(xué)者對(duì)權(quán)證在中國(guó)發(fā)展的困境做過(guò)學(xué)術(shù)研究,他們總結(jié)出了很多導(dǎo)致權(quán)證在中國(guó)失敗的原因,其中二個(gè)非常重要的原因得到學(xué)者們一致的同意---即中國(guó)的投資者對(duì)權(quán)證產(chǎn)品的實(shí)質(zhì)沒(méi)有足夠的了解以及權(quán)證在中國(guó)的定價(jià)不科學(xué)。本文主要是研究權(quán)證在中國(guó)的定價(jià)模型及效果,希望可以對(duì)未來(lái)權(quán)證以及其它金融衍生品的定價(jià)有所啟示和參考。從這個(gè)層面對(duì)權(quán)證進(jìn)行實(shí)證研究不但具有重要的理論意義,而且還有很大的實(shí)際意義---即可以為中國(guó)證券市場(chǎng)的監(jiān)管層提出一些政策建議,可以為我國(guó)未來(lái)若再次發(fā)展權(quán)證市場(chǎng)提供一些針對(duì)性的引導(dǎo),同時(shí)也有助于我國(guó)證券市場(chǎng)的發(fā)展。 本文首先從權(quán)證的定義、特征、功能、發(fā)展歷程、經(jīng)典定價(jià)模型對(duì)權(quán)證進(jìn)行基礎(chǔ)理論概述,然后選取了在我國(guó)發(fā)行的9只代表性的權(quán)證產(chǎn)品的交易數(shù)據(jù)作為樣本,運(yùn)用B-S模型對(duì)這些權(quán)證的價(jià)格進(jìn)行實(shí)證分析,從定價(jià)機(jī)制方面分析我國(guó)權(quán)證產(chǎn)品走向沒(méi)落的原因,最后結(jié)合實(shí)證研究得到的結(jié)果提出完善措施和建議。 本文通過(guò)運(yùn)用B-S模型對(duì)選取的9只樣本權(quán)證的定價(jià)實(shí)證分析,得出結(jié)論：中國(guó)權(quán)證市場(chǎng)的定價(jià)不合理,權(quán)證市場(chǎng)價(jià)格與標(biāo)的資產(chǎn)價(jià)格的相關(guān)性較弱,運(yùn)用歷史波動(dòng)率對(duì)權(quán)證定價(jià)計(jì)算出來(lái)的理論價(jià)格與市場(chǎng)價(jià)格偏離度非常大,而運(yùn)用隱含波動(dòng)率計(jì)算出來(lái)的權(quán)證理論價(jià)格與權(quán)證市場(chǎng)價(jià)格的偏離度較小,對(duì)市場(chǎng)定價(jià)有一定的指導(dǎo)意義。 權(quán)證在海外發(fā)展的非常迅猛,得到了國(guó)外金融投資者的強(qiáng)烈偏好,非常的受歡迎。而它在中國(guó)卻不能很好的發(fā)展,所以本文研究目的在于通過(guò)對(duì)權(quán)證的基礎(chǔ)理論和定價(jià)方法進(jìn)行研究,來(lái)分析權(quán)證在我國(guó)發(fā)展的過(guò)去十幾年間所產(chǎn)生的積極作用以及遇到的瓶頸和阻礙,希望未來(lái)我國(guó)證券市場(chǎng)在發(fā)展其他金融衍生類產(chǎn)品時(shí)能夠有所借鑒。
[Abstract]:A warrant is a contractual relationship in which the issuer and the investor agree that the holder of the warrant will have the right at a certain time in the future. But it is not an obligation to purchase or sell a certain amount of financial assets to the warrant issuer at a predetermined price. Of course, the holder may also waive the exercise of the right. Because warrant has many advantages, it has become a popular financial derivative in mature securities market, and has been enthusiastically sought after by foreign investors. The warrant has been developed twice in China. After more than ten years, it has experienced a very brilliant stage. However, with the expiration of the warrant in Changhong on August 20, 2011, the warrant has come to an end in the Chinese market. Many scholars have done academic research on the plight of warrant development in China. They have summed up many reasons for the failure of warrants in China. Two of the most important reasons for this are that Chinese investors do not have a good understanding of the substance of warrant products and the pricing of warrants in China is unscientific. This paper mainly studies the pricing model and effect of warrants in China, hoping to give some enlightenment and reference to the pricing of warrants and other financial derivatives in the future. Empirical research on warrants from this level is not only of great theoretical significance, but also of great practical significance-that is, we can put forward some policy recommendations for the regulatory level of China's securities market. It can provide some targeted guidance for the future development of warrant market in China, and also contribute to the development of China's securities market. This paper first summarizes the basic theory of warrants from the definition, characteristics, functions, development process and classical pricing model of warrants, and then selects the transaction data of 9 representative warrant products issued in China as a sample. This paper uses B-S model to analyze the price of these warrants, analyzes the reasons for the decline of warrant products in China from the pricing mechanism, and finally puts forward some measures and suggestions based on the results of empirical research. By using B-S model to analyze the pricing of 9 sample warrants, this paper draws a conclusion that the pricing of warrant market in China is unreasonable, and the correlation between the price of warrant market and the price of underlying assets is weak. The deviation between the theoretical price and the market price calculated by using the historical volatility is very large, but the deviation between the theoretical price of warrant and the market price of warrant calculated by the implied volatility is relatively small. Market pricing has a certain guiding significance. Warrants in overseas development is very rapid, the strong preference of foreign financial investors, very popular. But it does not develop very well in China, so the purpose of this paper is to study the basic theory and pricing methods of warrants. To analyze the positive role of warrants in the past ten years of development in our country, as well as the bottlenecks and obstacles encountered in the past decade, we hope that in the future, the securities market will be able to learn from the development of other financial derivatives.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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