【摘要】：自2005年上交所重啟權(quán)證交易之后，權(quán)證成為中國證券市場最有活力的金融衍生品。對權(quán)證進(jìn)行合理定價是近年金融領(lǐng)域的研究熱點之一，而目前權(quán)證市場的低定價效率以及高價格波動引起監(jiān)管者的極大關(guān)注，從而推出權(quán)證創(chuàng)設(shè)機制以期提高定價效率以及抑制過度投機。 本文首先在已有研究的基礎(chǔ)上對權(quán)證創(chuàng)設(shè)機制有效性的內(nèi)涵進(jìn)行歸納定義，從4個方面出發(fā)選取總共11個指標(biāo)采用主成分分析構(gòu)造中國權(quán)證市場創(chuàng)設(shè)機制有效性度量指標(biāo)，在此基礎(chǔ)上進(jìn)行創(chuàng)設(shè)機制有效性檢驗以及影響因素的實證研究，，包括創(chuàng)設(shè)組權(quán)證與無創(chuàng)設(shè)組權(quán)證、創(chuàng)設(shè)組權(quán)證在創(chuàng)設(shè)前后各指標(biāo)的比較檢驗和權(quán)證創(chuàng)設(shè)機制有效性影響因素回歸模型的建立。實證結(jié)果表明，權(quán)證創(chuàng)設(shè)機制對權(quán)證定價效率、標(biāo)的證券價格波動以及權(quán)證投資風(fēng)險的影響顯著，但對權(quán)證價格波動的抑制作用不明顯。整體而言，權(quán)證創(chuàng)設(shè)機制是有效的。并且權(quán)證創(chuàng)設(shè)機制對權(quán)證定價效率的作用受到認(rèn)購/認(rèn)沽以及剩余期限的影響；權(quán)證創(chuàng)設(shè)機制對權(quán)證價格波動的作用受到剩余期限以及創(chuàng)設(shè)前權(quán)證價內(nèi)外深度的影響；權(quán)證創(chuàng)設(shè)機制對標(biāo)的證券價格波動的作用受到杠桿比率以及創(chuàng)設(shè)前權(quán)證價內(nèi)外深度的影響；權(quán)證創(chuàng)設(shè)機制對權(quán)證投資風(fēng)險的作用受到創(chuàng)設(shè)前權(quán)證價內(nèi)外深度、創(chuàng)設(shè)前2日平均換手率、創(chuàng)設(shè)力度以及認(rèn)購/認(rèn)沽的影響；權(quán)證創(chuàng)設(shè)機制的有效性受到剩余期限以及認(rèn)購/認(rèn)沽的影響。
[Abstract]:Since Shanghai Stock Exchange resumed trading warrants in 2005, warrants have become the most dynamic financial derivatives in China's securities market. The reasonable pricing of warrants is one of the hotspots in the field of finance in recent years. However, the low pricing efficiency and high price fluctuation of warrant market have aroused great concern of regulators. Thus, the establishment mechanism of warrant is put forward in order to improve pricing efficiency and restrain excessive speculation. In this paper, based on the existing research, the connotation of the validity of warrant creation mechanism is summarized and defined, and a total of 11 indicators are selected from four aspects to construct the index of effectiveness of the mechanism of creation of warrant market in China by principal component analysis (PCA). On this basis, the validity test of the creation mechanism and the empirical study of the influencing factors are carried out, including the creation of the group warrant and the non-creation of the group warrant. The comparative test of each index before and after the creation of the group warrant and the establishment of the regression model of the influencing factors of the validity of the creation mechanism of the warrant. The empirical results show that the mechanism of warrant creation has a significant effect on the pricing efficiency of warrant, the fluctuation of underlying securities price and the risk of warrant investment, but the inhibition effect on the volatility of warrant price is not obvious. Overall, warrant creation mechanism is effective. And the effect of warrant creation mechanism on the pricing efficiency of warrant is affected by subscription / sell and surplus period, and the effect of warrant creation mechanism on the price fluctuation of warrant is affected by the residual period and the depth inside and outside the warrant price before the creation of warrant. The effect of warrant creation mechanism on the fluctuation of underlying securities price is affected by leverage ratio and the depth inside and outside the price of warrant before the creation of warrant, and the effect of warrant creation mechanism on investment risk of warrant is affected by the depth inside and outside of the price of the former warrant. The average turnover rate of the first 2 days, the strength of creation and the influence of subscription / sell; the validity of the warrant creation mechanism is affected by the remaining period and the subscription / sell.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

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