中国权证市场创设注销制度研究

【作者】 喻伟；

【导师】 邓光军；

【作者基本信息】 电子科技大学 ， 工商管理， 2008， 硕士

【摘要】 我国的证券市场经过十余年的发展,虽已初具规模,但仍处于转轨阶段。在中国大陆的资本市场中主要以股票市场为主,债券市场极不发达,金融衍生产品缺乏,资本市场整体结构还很不完善。与发达的金融市场相比,中国大陆金融市场仍有很大差距。随着中国加入WTO,为了应对国际金融市场带来的机遇和挑战,中国金融市场势必需要更加开放、需要更加多样化的金融产品,因此中国的金融市场需加大金融创新的力度。然而,在近几年中国金融市场创新过程中,证券市场上出现了各种认沽权证被疯狂炒作、券商天量创设认沽权证、注销权证的现象,并极大地影响了市场权证价格形成机制,降低了资本市场融资效率,减弱了市场风险对冲的功能,最终阻碍了中国金融市场的健康发展。鉴于中国金融市场上认沽权证在创设和注销过程中出现的问题,本文首先对国内外金融市场上的权证的创设和注销制度进行了分析,并同中国金融市场中权证创设和注销制度进行了对比研究,并给出了政策建议。然后,重点对中国金融市场上认沽权证的创设和注销制度对券商、投资者和股票原有股东三方利益的影响进行了分析,结果发现在现有创设、注销机制下,股改流通股东获得的权证对价的价值下降,中小股民的利益也受到券商创设行为的严重侵害。现有权证创设、注销机制已不能适应中国证券市场发展的需要。再后,以南航认沽权证为例,采用Black-Scholes期权定价模型,在得到南航认沽权证理论价格基础上,与实际市场价格进行了对比分析,结果表明理论价值与实际价格相差甚大,结论说明现有权证创设、注销机制不仅不能平抑价格,可能还会造成更大的投机行为。最后,对全文进行总结,并提出论文的不足。只是粗浅的探讨了权证市场的创设、注销制度与理论之间的关系,没有深度挖掘很多影响因素的作用。相信未来的研究将进一步丰富权证的创设、注销制度关系,并对揭示各利益方的投资和融资行为具有重要的理论和现实意义。更多还原

【Abstract】 It has been making great improvement in financial market of China over the past two decades, especially in its capital market. At the same time, there are many unsolvable problems in Chinese financial market comparing to the developed financial market. With the entry into WTO, it is necessary for China to build up an open financial market with reasonable structure and various products, so as to deal with the opportunity and challenge. Further financial innovation is in need for Chinese financial market.In recent years, a number of different warrants of the put option had been insanely traded, and it had been almost infinitely created and wrote off. And to be affected the pricing of the warrant greatly. It has decreased sharply the financing efficiency of the capital market and declined the inspirited mechanism of the capital market and lessened the hedged function of the market’s risk.To begin with, the problem of put option was brought by between the creating and writing-off In Chinese financial market. The paper will analyze firstly the mechanism of both creating and writing-off of warrant for the overseas financial market. Finally, by contrast with the mechanism of both creating and writing-off of the Chinese warrant, we will make policy suggestions.Besides, we analyze the effect of the interest of the investment bank and investor and stockholder in the Chinese financial market, and find that the current stockholder’s value of the stock reforming has been declined and that the interest of the middling-small stockholder has been infracted seriously by the creating behavior of the investment bank. The mechanism of warrant’s creating and write-off have not adapted to the developing need of the Chinese financial market.Moreover, by the Black-Scholes’ model of option price-fixed, we calculated the theoretic value of the warrant of China Southern AIRLINES. By comparison with the real market’s pricing, we find that the creating and write-off of warrant neither can restrain the pricing, nor solve the problem of the Chinese market’s liquidity.In the end, we summarized the paper and indicated the disadvantages of the thesis.We simply discussed the relation of both created– write off and the theory of Warrant, we did not look for the function of many influencing factors. There are the important significance of both the theory and the real life to unveil the action of both investment and financing for everybody.更多还原