上市公司權(quán)證發(fā)行及對標的證券收益率的影響研究
發(fā)布時間：2018-08-30 09:48
【摘要】：權(quán)證是基于標的證券而形成的一種金融衍生產(chǎn)品，其與標的證券之間必然存在某種相關(guān)關(guān)系。因此，權(quán)證的發(fā)行將對標的證券產(chǎn)生一定的影響。20世紀90年代初，中國證券市場曾引入過具有認股權(quán)證性質(zhì)的權(quán)證，但由于存在發(fā)行量過小、價格易于操縱和信息披露不充分等原因而被惡意炒作，導(dǎo)致其價格暴漲暴跌，監(jiān)管層被迫終止滬深權(quán)證交易。2005年，在股權(quán)分置改革背景下，中國權(quán)證市場重新啟動，，但隨著這批權(quán)證的陸續(xù)到期，權(quán)證又再次消失。然而，本文相信這只是暫時的，作為國際市場上一種普遍和成熟的投資工具，權(quán)證遲早還會再現(xiàn)于中國證券市場。 在權(quán)證市場的發(fā)展過程中，上市公司權(quán)證發(fā)行對其標的證券收益率有何影響，權(quán)證與其標的證券收益率的波動溢出關(guān)系如何？這些一直是業(yè)界和學(xué)界關(guān)注的問題。探討權(quán)證上市會對標的股票產(chǎn)生怎樣的影響以及影響程度如何，對投資者、發(fā)行人以及市場政策制定者和監(jiān)管者而言，都有著深刻的現(xiàn)實意義。本文以“上市公司權(quán)證發(fā)行及對標的證券收益率的影響研究”為題，探討中國權(quán)證的發(fā)行對其標的證券收益率的影響。論文首先回顧中國權(quán)證市場的發(fā)展歷程，并對權(quán)證發(fā)行、交易、行權(quán)和監(jiān)管四個方面的制度進行分析，形成對權(quán)證市場交易的整體認識。接著討論權(quán)證定價的經(jīng)典模型，利用跳躍GARCH模型研究中國權(quán)證市場定價問題，并與傳統(tǒng)的Black-Scholes模型的定價效果進行比較。然后，采用事件研究法分析權(quán)證上市對標的證券收益率的影響。接著，探討權(quán)證收益率波動及其度量問題，構(gòu)建GARCH模型和SV模型對權(quán)證收益率波動進行度量，并比較兩者的度量效果。在此基礎(chǔ)上，分別利用Copula函數(shù)和互譜分析方法考察交易期間權(quán)證與標的證券收益率的波動溢出。最后，實證研究權(quán)證到期對標的證券收益率的具體影響。 研究發(fā)現(xiàn)：在權(quán)證定價方面，跳躍GARCH定價模型以及Black-Scholes期權(quán)定價模型的定價與權(quán)證市場價格存在一定的偏差。其中，Black-Scholes模型的定價效果較差，而跳躍GARCH定價模型，尤其是NGARCH-Jump模型的定價效果最好。在權(quán)證收益率的波動度量方面，GARCH模型和SV模型都能較好地刻畫權(quán)證收益率序列的波動性，但SV模型在總體上比GARCH模型更能捕捉權(quán)證收益率序列的波動信息。在權(quán)證發(fā)行對標的證券的影響方面，發(fā)現(xiàn)權(quán)證在有效期的不同時期對標的證券產(chǎn)生的影響有所不同。在權(quán)證上市前后，樣本標的證券分別存在顯著的負向和正向超額累計收益率。在權(quán)證總持續(xù)期間、發(fā)行上市時期以及權(quán)證最后交易日權(quán)證收益率與其標的證券收益率之間的波動溢出程度較低，但是權(quán)證收益率波動與標的證券收益率波動之間存在一定的領(lǐng)先—滯后關(guān)系。在中國資本市場上權(quán)證到期對標的證券的影響具有一定特殊性，其中價內(nèi)權(quán)證與價外權(quán)證到期前均對標的證券價格產(chǎn)生正效應(yīng)，到期日后產(chǎn)生負效應(yīng)。
[Abstract]:Warrant is a kind of financial derivative product based on the underlying securities, and there must be a certain correlation between it and the underlying securities. Therefore, the issuance of warrants will have a certain impact on the underlying securities. In the early 1990s, the Chinese securities market once introduced warrants with the nature of warrants, but due to the existence of a small amount of issuance, The price is easily manipulated and the information disclosure is not fully disclosed and so on, which is malicious and hyped, resulting in its price soaring and plummeting, and the regulators being forced to terminate the trading of warrants in Shanghai and Shenzhen. In 2005, under the background of the split share structure reform, China's warrants market was restarted. However, as this batch of warrants expired, warrants again disappeared. However, this paper believes that this is only temporary, as a common and mature investment tool in the international market, warrants will be reproduced in China's securities market sooner or later. In the course of the development of warrants market, how does the issuance of warrants of listed companies affect the return rate of underlying securities, and how does the volatility spillover relationship between warrants and the return rate of underlying securities? These have been the industry and academic attention. It is of great practical significance for investors, issuers, market policy makers and regulators to explore the impact and extent of warrants listing on underlying stocks. This paper discusses the influence of the issuance of warrants on the return rate of underlying securities in China under the title of "Research on the issue of warrants of listed companies and their impact on the return rate of underlying securities". Firstly, the paper reviews the development of China's warrant market, and analyzes the four aspects of warrant issuance, trading, exercise and supervision, forming the overall understanding of warrants market transactions. Then the classical model of warrant pricing is discussed, and the pricing problem of Chinese warrant market is studied by using the jump GARCH model, and the pricing effect of the traditional Black-Scholes model is compared with that of the traditional Black-Scholes model. Then, the influence of warrants listing on the return rate of underlying securities is analyzed by event study method. Then, the paper discusses the volatility of warrant return and its measurement problem, constructs GARCH model and SV model to measure the volatility of warrant return, and compares their measurement effects. On this basis, we use Copula function and cross-spectral analysis method to investigate the volatility spillover of warrants and underlying securities returns during trading. Finally, empirical research on the specific impact of warrants maturity on the return of underlying securities. It is found that in the pricing of warrants, there is a certain deviation between the pricing model of jumping GARCH and the pricing model of Black-Scholes options and the market price of warrants. The Black-Scholes model has a poor pricing effect, while the jump GARCH model, especially the NGARCH-Jump model, has the best pricing effect. Both GARCH model and SV model can describe volatility of warrant return series well, but SV model can capture volatility information of warrant return series better than GARCH model on the whole. In terms of the influence of warrant issuance on underlying securities, it is found that the influence of warrants on underlying securities is different in different periods of validity. Before and after the warrants are listed, there are significant negative and positive accumulative returns respectively. During the period of the total duration of warrants, the volatility spillover between warrant yield and return rate on the last trading day of warrants and the return rate of underlying securities is relatively low, However, there is a leading-lag relationship between the volatility of warrant return and the volatility of return on underlying securities. In China's capital market, the maturity of warrants has a certain particularity, in which both intra- and extra-valored-warrants have positive effects on the underlying securities prices before expiration, and negative effects after maturity.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F275;F832.51
本文編號：2212712
[Abstract]:Warrant is a kind of financial derivative product based on the underlying securities, and there must be a certain correlation between it and the underlying securities. Therefore, the issuance of warrants will have a certain impact on the underlying securities. In the early 1990s, the Chinese securities market once introduced warrants with the nature of warrants, but due to the existence of a small amount of issuance, The price is easily manipulated and the information disclosure is not fully disclosed and so on, which is malicious and hyped, resulting in its price soaring and plummeting, and the regulators being forced to terminate the trading of warrants in Shanghai and Shenzhen. In 2005, under the background of the split share structure reform, China's warrants market was restarted. However, as this batch of warrants expired, warrants again disappeared. However, this paper believes that this is only temporary, as a common and mature investment tool in the international market, warrants will be reproduced in China's securities market sooner or later. In the course of the development of warrants market, how does the issuance of warrants of listed companies affect the return rate of underlying securities, and how does the volatility spillover relationship between warrants and the return rate of underlying securities? These have been the industry and academic attention. It is of great practical significance for investors, issuers, market policy makers and regulators to explore the impact and extent of warrants listing on underlying stocks. This paper discusses the influence of the issuance of warrants on the return rate of underlying securities in China under the title of "Research on the issue of warrants of listed companies and their impact on the return rate of underlying securities". Firstly, the paper reviews the development of China's warrant market, and analyzes the four aspects of warrant issuance, trading, exercise and supervision, forming the overall understanding of warrants market transactions. Then the classical model of warrant pricing is discussed, and the pricing problem of Chinese warrant market is studied by using the jump GARCH model, and the pricing effect of the traditional Black-Scholes model is compared with that of the traditional Black-Scholes model. Then, the influence of warrants listing on the return rate of underlying securities is analyzed by event study method. Then, the paper discusses the volatility of warrant return and its measurement problem, constructs GARCH model and SV model to measure the volatility of warrant return, and compares their measurement effects. On this basis, we use Copula function and cross-spectral analysis method to investigate the volatility spillover of warrants and underlying securities returns during trading. Finally, empirical research on the specific impact of warrants maturity on the return of underlying securities. It is found that in the pricing of warrants, there is a certain deviation between the pricing model of jumping GARCH and the pricing model of Black-Scholes options and the market price of warrants. The Black-Scholes model has a poor pricing effect, while the jump GARCH model, especially the NGARCH-Jump model, has the best pricing effect. Both GARCH model and SV model can describe volatility of warrant return series well, but SV model can capture volatility information of warrant return series better than GARCH model on the whole. In terms of the influence of warrant issuance on underlying securities, it is found that the influence of warrants on underlying securities is different in different periods of validity. Before and after the warrants are listed, there are significant negative and positive accumulative returns respectively. During the period of the total duration of warrants, the volatility spillover between warrant yield and return rate on the last trading day of warrants and the return rate of underlying securities is relatively low, However, there is a leading-lag relationship between the volatility of warrant return and the volatility of return on underlying securities. In China's capital market, the maturity of warrants has a certain particularity, in which both intra- and extra-valored-warrants have positive effects on the underlying securities prices before expiration, and negative effects after maturity.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F275;F832.51
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