【摘要】：自2005年我國第一只權(quán)證—寶鋼權(quán)證上市后,權(quán)證市場交易一直非�；钴S。而且權(quán)證交易呈現(xiàn)出不依賴于其標(biāo)的股票交易的特征。我們通過統(tǒng)計(jì)分析發(fā)現(xiàn)權(quán)證價(jià)格長期偏離與其理論價(jià)格,認(rèn)沽權(quán)證市場價(jià)格平均高出其理論價(jià)格0.87元,而認(rèn)購權(quán)證市場價(jià)格平均高出其理論價(jià)格1.8元。合格的金融機(jī)構(gòu)分別在認(rèn)沽權(quán)證和認(rèn)購權(quán)證的創(chuàng)設(shè)中獲得了230億元和17億元的豐厚回報(bào)。這些都表明在我國權(quán)證市場上存在明顯的價(jià)格偏離現(xiàn)象。那么是什么原因?qū)е铝宋覈鴻?quán)證市場上的價(jià)格偏離現(xiàn)象呢?Eric Powers、Gang Xiao and Hong Yan(2009)通過分析認(rèn)為,我國權(quán)證市場的這種價(jià)格偏離是由于我國權(quán)證市場相對于股票市場的特殊交易機(jī)制,使得我國權(quán)證市場存在便利性收益,而權(quán)證價(jià)格偏離正是對這種便利性收益的溢價(jià)。本文旨在驗(yàn)證該假設(shè)的正確性,并將其研究中的不足加以改進(jìn)。最后我們嘗試通過尋找一個(gè)可觀測的變量作為權(quán)證價(jià)格偏離的代理變量,進(jìn)而規(guī)避以往金融資產(chǎn)泡沫研究中的理論定價(jià)誤差,并通過實(shí)證分析進(jìn)一步驗(yàn)證便利性收益假設(shè)對我國權(quán)證市場價(jià)格偏離原因解釋的正確性。 本文共分為六章,第一章文獻(xiàn)綜述,首先介紹國內(nèi)外關(guān)于我國權(quán)證市場價(jià)格偏離的相關(guān)研究,然后著重介紹Xiong and Yu(2009)和Eric Powers、Gang Xiao and Hong Yan(2009)的研究成果并分析其研究中不足；第二章我們將從權(quán)證市場價(jià)格與理論價(jià)格的比較、權(quán)證創(chuàng)設(shè)與注銷和權(quán)證價(jià)格與標(biāo)的股票價(jià)格的相關(guān)性三個(gè)角度論證我國權(quán)證市場的價(jià)格偏離現(xiàn)象；第三章我們將采用標(biāo)準(zhǔn)的期權(quán)定價(jià)模型計(jì)算我國權(quán)證的理論價(jià)格；第四章,我們將根據(jù)Xiong and Yu(2009)和Eric Powers、 Gang Xiao and Hong Yan(2009)的研究成果,對我國權(quán)證市場價(jià)格偏離進(jìn)行理論分析；第五章,我們將根據(jù)第四章中權(quán)證價(jià)格偏離的理論分析,對Eric Powers、 Gang Xiao and Hong Yan(2009)的研究結(jié)果進(jìn)行再驗(yàn)證,并將其研究中的不足加以改進(jìn)；第六章,我們首先通過權(quán)證價(jià)格分解,尋找權(quán)證價(jià)格偏離的代理變量,然后通過實(shí)證分析進(jìn)一步論證便利性收益假設(shè)對我國權(quán)證市場價(jià)格偏離解釋的正確性。
[Abstract]:Since 2005, the first warrant-Baosteel warrants listed, the warrants market has been very active. Moreover, warrant trading shows the characteristics that it does not depend on the underlying stock trading. Through statistical analysis, we find that the price of warrants deviates from its theoretical price for a long time. The market price of put warrants is 0.87 yuan higher than its theoretical price on average, while the market price of warrants is 1.8 yuan higher on average than its theoretical price. Qualified financial institutions received 23 billion yuan and 1.7 billion yuan in the creation of warrants and warrants respectively. All of these indicate that there is an obvious price deviation in the warrant market of our country. So what is the reason for the price deviation in the warrant market in China? Eric Powers,Gang Xiao and Hong Yan (2009 believes that The price deviation of warrant market in our country is due to the special trading mechanism of warrant market relative to stock market, which makes the warrant market of our country have convenience income, and the deviation of warrant price is the premium to this kind of convenience income. The purpose of this paper is to verify the validity of the hypothesis and to improve the deficiency in its research. Finally, we try to find an observable variable as the proxy variable of warrant price deviation to avoid the theoretical pricing errors in previous studies of financial asset bubbles. The empirical analysis further verifies the validity of convenience return hypothesis to explain the price deviation of warrant market in China. This paper is divided into six chapters. The first chapter is a literature review. Firstly, it introduces the domestic and foreign research on the market price deviation of warrants in China, then focuses on the introduction of Xiong and Yu (2009) and Eric Powers,. Gang Xiao and Hong Yan (2009). In the second chapter, we will demonstrate the price deviation of warrant market from three angles: the comparison between warrant market price and theoretical price, the creation and cancellation of warrant, and the correlation between warrant price and underlying stock price. In the third chapter, we will use the standard option pricing model to calculate the theoretical price of warrants in China. In the fourth chapter, we will analyze the market price deviation of warrants in China according to the research results of Xiong and Yu (2009 and Eric Powers, Gang Xiao and Hong Yan (2009. In the fifth chapter, we will verify the research results of Eric Powers, Gang Xiao and Hong Yan (2009 according to the theoretical analysis of warrant price deviation in Chapter 4, and improve the shortcomings of the research. In the sixth chapter, we first find the proxy variable of warrant price deviation through the decomposition of warrant price, and then prove the correctness of convenience return hypothesis to explain the market price deviation of warrant market through empirical analysis.
【學(xué)位授予單位】：復(fù)旦大學(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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本文編號(hào)：2390638