本文選題：權(quán)證 + 證券市場��； 參考：《華東師范大學》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的某一個時間,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格購入或售出一定數(shù)量的金融資產(chǎn)。當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,所以它成為了成熟證券市場中比較流行的一種金融衍生工具,受到了國外投資者的熱烈追捧。 權(quán)證在中國經(jīng)過了二次發(fā)展,歷經(jīng)十幾年時間,經(jīng)歷過非常輝煌的階段,但是隨著2011年8月20日長虹權(quán)證的到期,權(quán)證在中國市場全部落下帷幕。很多學者對權(quán)證在中國發(fā)展的困境做過學術(shù)研究,他們總結(jié)出了很多導致權(quán)證在中國失敗的原因,其中二個非常重要的原因得到學者們一致的同意---即中國的投資者對權(quán)證產(chǎn)品的實質(zhì)沒有足夠的了解以及權(quán)證在中國的定價不科學。本文主要是研究權(quán)證在中國的定價模型及效果,希望可以對未來權(quán)證以及其它金融衍生品的定價有所啟示和參考。從這個層面對權(quán)證進行實證研究不但具有重要的理論意義,而且還有很大的實際意義---即可以為中國證券市場的監(jiān)管層提出一些政策建議,可以為我國未來若再次發(fā)展權(quán)證市場提供一些針對性的引導,同時也有助于我國證券市場的發(fā)展。 本文首先從權(quán)證的定義、特征、功能、發(fā)展歷程、經(jīng)典定價模型對權(quán)證進行基礎(chǔ)理論概述,然后選取了在我國發(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,運用B-S模型對這些權(quán)證的價格進行實證分析,從定價機制方面分析我國權(quán)證產(chǎn)品走向沒落的原因,最后結(jié)合實證研究得到的結(jié)果提出完善措施和建議。 本文通過運用B-S模型對選取的9只樣本權(quán)證的定價實證分析,得出結(jié)論：中國權(quán)證市場的定價不合理,權(quán)證市場價格與標的資產(chǎn)價格的相關(guān)性較弱,運用歷史波動率對權(quán)證定價計算出來的理論價格與市場價格偏離度非常大,而運用隱含波動率計算出來的權(quán)證理論價格與權(quán)證市場價格的偏離度較小,對市場定價有一定的指導意義。 權(quán)證在海外發(fā)展的非常迅猛,得到了國外金融投資者的強烈偏好,非常的受歡迎。而它在中國卻不能很好的發(fā)展,所以本文研究目的在于通過對權(quán)證的基礎(chǔ)理論和定價方法進行研究,來分析權(quán)證在我國發(fā)展的過去十幾年間所產(chǎn)生的積極作用以及遇到的瓶頸和阻礙,希望未來我國證券市場在發(fā)展其他金融衍生類產(chǎn)品時能夠有所借鑒。
[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.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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