【摘要】：在股權(quán)分置改革的背景下，權(quán)證作為非流通股東對(duì)流通股東對(duì)價(jià)賠償?shù)墓ぞ咴跈?quán)證市場(chǎng)上發(fā)行交易。2005年8月寶鋼權(quán)證在滬市證券交易所上市交易，預(yù)示著在1996年被迫關(guān)閉的權(quán)證市場(chǎng)得以再次發(fā)展。權(quán)證是金融衍生工具的一種，具有完善證券市場(chǎng)的功能，其發(fā)行有利于標(biāo)的股票價(jià)格的上漲及風(fēng)險(xiǎn)的降低，這在理論及成熟市場(chǎng)上都得到了認(rèn)可。我國(guó)權(quán)證市場(chǎng)經(jīng)過(guò)幾年的發(fā)展，權(quán)證對(duì)標(biāo)的股票影響是否符合理論及成熟市場(chǎng)認(rèn)可的影響值得研究。 本文首先從理論上闡述了權(quán)證對(duì)標(biāo)的股票的影響，包括價(jià)格壓力說(shuō)、風(fēng)險(xiǎn)態(tài)度、完全市場(chǎng)、信息傳遞、權(quán)證定義分類及到期交易等。其次，選取自2005年以來(lái)發(fā)行的權(quán)證為樣本，對(duì)權(quán)證發(fā)行及到期對(duì)標(biāo)的股票價(jià)格和風(fēng)險(xiǎn)的影響進(jìn)行了研究。通過(guò)實(shí)證研究得到以下結(jié)論:第一，認(rèn)購(gòu)權(quán)證發(fā)行對(duì)標(biāo)的股票價(jià)格和風(fēng)險(xiǎn)不存在顯著正效應(yīng)影響；第二，認(rèn)沽權(quán)證發(fā)行前一段時(shí)間標(biāo)的股票價(jià)格呈現(xiàn)上漲趨勢(shì)，但價(jià)格上漲并不顯著；認(rèn)沽權(quán)證發(fā)行有利于標(biāo)的股票系統(tǒng)性風(fēng)險(xiǎn)的減弱；第三，權(quán)證到期對(duì)標(biāo)的股票風(fēng)險(xiǎn)沒(méi)有明顯影響。 總體上來(lái)說(shuō)，鑒于我國(guó)權(quán)證市場(chǎng)在股權(quán)分置改革背景下推出，以及權(quán)證交易制度、權(quán)證發(fā)行量等原因，推出權(quán)證沒(méi)有起到促進(jìn)標(biāo)的股票價(jià)格上漲、降低風(fēng)險(xiǎn)等穩(wěn)定股票市場(chǎng)的作用。因此，，通過(guò)豐富權(quán)證產(chǎn)品、完善權(quán)證交易制度、加強(qiáng)投資者教育、加強(qiáng)監(jiān)管等措施，完善我國(guó)權(quán)證市場(chǎng)發(fā)展非常必要。
[Abstract]:In the context of the reform of split share structure, warrants are issued and traded in the warrants market as an instrument for non-circulating shareholders to compensate for consideration. In August 2005, Baosteel warrants were listed on the Shanghai Stock Exchange. Foreshadowing the forced closure in 1996, the warrants market to develop again. Warrant is a kind of financial derivative, which has the function of perfecting the securities market, and its issuance is conducive to the rise of the underlying stock price and the reduction of the risk, which has been recognized in both the theory and the mature market. After several years' development of warrant market in China, it is worth studying whether the influence of warrant on the underlying stock is in accordance with the theory and the recognition of mature market. In this paper, the influence of warrants on underlying stocks is discussed theoretically, including price pressure theory, risk attitude, complete market, information transmission, the definition and classification of warrants and maturing transactions, etc. Secondly, the influence of issue and maturity of warrants on the price and risk of underlying stocks is studied. The conclusions are as follows: first, the issue of warrants has no significant positive effect on the underlying stock price and risk; Second, the price of the underlying stock is rising in the period before the issue of the warrant, but the price rise is not significant, and the issuance of the warrant is conducive to the weakening of the systemic risk of the underlying stock. Thirdly, the maturity of warrants has no obvious effect on underlying stock risk. Generally speaking, in view of the fact that the warrants market in our country was launched under the background of the reform of the split share structure, as well as the warrant trading system and warrant issuance volume, the introduction of warrants did not promote the rise of the underlying stock prices. The role of reducing risk and stabilizing the stock market. Therefore, it is necessary to improve the development of warrant market in China by enriching warrant products, perfecting warrant trading system, strengthening investor education, strengthening supervision and so on.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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