【摘要】 金融衍生产品的出现提高了证券市场信息传递的速度,知情交易者通过对衍生品的投资提高传递的效率。本文通过对我国权证市场和相应标的股票市场交易高频数据的研究,探讨知情交易者在权证市场出现后是否改变了投资的对象。实证结果表明,尽管有部分知情交易者投资了认购权证,但是并没有证据表明知情交易者偏好认沽权证。造成这一结果的原因可能是权证制度自身的缺陷。更多还原

【Abstract】 Financial derivatives speed up information dissemination in securities market. The dissemination efficiency is in turn enhanced by involvement of informed investors. Through the research on the heavy trading of warrants and underlying securities in China market, the author aims to find out whether investment portfolio is affected as a result of involvement of informed investors. Studies have not found clear proof that informed investors have marked preference for put warrants. This may help explain the inherent setback in the design of the warrant system in China.更多还原