【摘要】 沪深证券市场权证理论价格与权证市场价格的偏离现象主要不是理论定价公式的输入变量误差导致的,而是因为股票收益率与权证收益率之间的相关系数与理论预期不一致,乃至相冲突所导致的。权证理论价格与市场价格偏离的主要原因是在当前的交易制度安排下,由于市场限制(摩擦)抑制了套利交易,导致权证市场投机交易占主导,以致权证市场价格偏离长期均衡水平。更多还原

【Abstract】 This paper analyzes the deviation between the theoretical price and the market prices of warrants in Shanghai and Shenzhen stock markets.It’s found that the deviation is not typically caused by input variables in the pricing formula.And the correlation coefficient between the returns of the warrant and the underlying is inconsistent with theoretical value,even in conflict with the latter.The main reason why this deviation exists is that in current trading system,market limitations(friction) depresses arbitrage transactions,which makes the market price of warrants deviate from its long-term equilibrium.更多还原