【摘要】 本文回答了权证在上市后是否能提高正股定价效率这一问题。以正股的收益率为研究对象,本文用EGARCH模型分析了日收益率的大小及其方差的变动情况在权证上市前后是否有显著差异,实证结果表明,从整体看权证尽管不会显著降低正股的定价效率,但是作为一种金融衍生品,权证并没有对正股定价效率的提高发挥显著作用。本文认为原因可能来自我国权证制度本身,包括卖方资格的限制以及创设保证金的要求所导致的套期保值和套利成本过高。因此,保证金融衍生品套期保值和套利功能的实现,是提高标的资产定价效率的必要条件。更多还原

【Abstract】 This paper addresses the capability of China-listed warrants to enhance pricing efficiency of underlying stocks.The author uses profit margin of underlying stocks and EGARCH Model for an analysis of disparity of daily profit margin before and after listing of warrants.Studies reveal that,as a financial instrument,the effect of warrants to enhance pricing efficiency of underlying stocks is not obvious.This might be attributed to the current warrant system including issues like qualification of buyers, and high cost of spreading and arbitrage resulted from margin deposit.It is therefore believed that launching financial derivatives is essential to enhancing the pricing efficiency of underlying assets.更多还原