【作者】 张国武； 田益祥；

【Author】 ZHANG Guo-wu TIAN Yi-xiang (School of Management and Economics,UESTC Chengdu 610054)

【机构】 电子科技大学经济与管理学院；

【摘要】 随着金融危机全球蔓延,各国金融市场异常动荡,权证等金融衍生产品的风险加剧。了解权证和股票市场的相互关系,使交易主体能更好地全面认识和把握交易环境,以便避免风险就显得尤为重要。本文在对我国权证及其标的股票的收益率进行Granger因果关系分析的基础上,采用"成对比较检验"的方法,检验权证市场与标的股票市场之间的Granger因果关系是否显著。实证结果表明认沽权证市场与股票市场存在较为显著的单向影响。认沽权证在我国没有卖空机制的情况下,发挥了其与标的资产组合以对冲风险的作用。更多还原

【Abstract】 As the financial crisis spreading all over the world,the economic environment in many countries is getting worse and the warrant market is faced with grater risk.It seems especially important to study the relationship between the markets of warrant and stock in order to get avoid of unnecessarily risk.On the basis of Granger Causality Test between the warrant and stock earning rate,this article uses the paired comparison test approach to testify if the Granger Causality relationship between them is obviously or not.The results tell a one-way influence only between the markets of stock and Card of authority identifying buy in our country.Since short selling is not accepted in our country, Card of authority identifying buy plays a role of counteracting risks when combined with underlying assets.更多还原