我国权证及标的证券日内交易模式研究——以五粮液为例

本文对五粮液正股(000858)及权证日内交易模式进行了实证研究,结果表明五粮液正股的波动率(L型)和交易量(U型)日内模式不同,认购权证均呈L型模式,认沽权证均呈U型模式;对正股和权证日内波动率进行的GRANGER检验表明,正股波动率是导致认购权证日内波动率形成的原因,但不是导致认沽权证的原因。文中对我国市场呈现这种日内交易模式的原因进行了初步探讨,认为主要是由于中国股票市场和权证市场所执行交易制度的不同和较高的交易成本。     

认股权证及其定价分析

2005年5月，我国开始了解决股权分置的进程，在所采取的众多方案中认股权证的方式备受瞩目。8月22日，宝钢认购权证上市，标志着我国认股权证市场的开始。11月23日，武钢认购权证和认沽权证同时在上海证券交易所上市交易，再次大规模地为权证市场注入了新鲜血液。11月28日，武钢创设权证上市，让人们再次看到了新的事物。本文对权证进行一个简要介绍。     

中国石化认股权证实证分析

运用考虑稀释效应的B-S模型研究中国石化认股权证定价时使用公司股权价值波动率更为合理。中国石化股价的变化、存续期的减少及波动率的变化对权证价值的影响非常明显。对中国石化认股权证的估值应侧重于对中国石化长期投资价值的判断和波动率的估计。并充分考虑存续期减少的影响。     

权证定价分析：极端之间的游移

本文采用Black-Scholes模型分析了中国权证市场存在的定价错误和价格泡沫现象。发现在牛市阶段有近30％的认购权证定价低于其内在价值,同时还发现权证隐含波动率显著超过正股实际波动率。通过对市场因素、正股因素及权证因素的回归分析,本文认为造成两种对立现象并存的原因在于套利机制的缺失造成的正股市场和权证市场脱节,以及权证交易者显著的非理性行为。     

个股价格波动的一个嵌套模型：ARCH-M-交易量－期权隐含波动率

对个股的收益波动进行拟合，对于预测股价与波动时很有意义的。ARCH—M（GAKCH—M）模型还反应了风险升水状况。因此，文章力图构建一个把交易量、隐含波动率等信息揉进ARCH—M（GAKCH—M）的波动率嵌套模型，以便于波动率反映更多的市场信息。用包钢股票及权证价格数据作为实例．对嵌套模型进行了筛选，该例表明：交易量信息在波动率拟合中，既无开关效应，本身对波动率影响也不显著，隐含波动率对股价波动率有显著影响。     

浅谈权证创设制度

权证创设制度自推出以来,就一直受到市场的非议。尤其是招行认洁权证与南航认沽权证的超规模创设,更是引发投资者的不满。本文试图从权证创设制度实施的作用以及其对市场发展昕产生的影响来研究权证创设制度。     

后权证时代的投机策略

宝钢认购权证和万科认沽权证到期,标志着一个权证时代的结束,未来的权证市场将如何演绎宝钢认购权证是中国内地市场第一只权证,已于8月底到期,从它的走势我们更能清晰地看到一年来权证市场的兴与衰。2005年8月22日,宝钢JTB1登陆上     

中国权证市场的发展路径

随着股权分置改革进程的推进,认股权证作为市场参与各方共同接受的“对价”开启了权证类产品创新的大门,也正式拉开了中国证券市场衍生产品创新的大幕。本文对国内权证市场的发展特点及存在的问题进行了分析与阐述,在比较了国际权证市场的最新发展趋势与发展动态之后,提出了规范与发展我国权证市场的政策建议。     

权证交易影响标的股票的一般单期最优决策模型

本文建立了适应于一般证券市场情况的单期最优决策模型,导出了权证上市交易前后标的股票的最优投资量及其价格变动的一般性结论,揭示出权证上市交易后标的股票资产定价机制必然发生根本性改变。基于本文得出的一般单期最优决策价格模型,建立了适应我国权证上市交易影响标的股票收益率及其波动率的实证模型,以我国股市的钢铁板块为主,具体分析了权证上市交易对标的股票收益率及其波动性的影响特征,从而验证了理论结果。最后得出我国权证上市交易总体上加大标的股票条件波动率的结论,与国际上一些学者研究的结果是不同的。据此,本文为我国证券市场建设提出了一些相应的建议。     

从期权定价分析中国权证的投资价值

在对期权定价的理论基础上，本文结合中国证券市场中的认股权证进行实证分析，认为中国的权证市场投机因素比较大，权证的价格背离了理论价值。     

中国权证市场涨跌幅限制效应的实证研究

涨跌幅限制制度作为金融体系中稳定价格,防范价格过度波动的措施之一,被许多国家所采用。一直以来,理论界和实务界对涨跌停机制的实施效应存在争议,焦点集中在制度实施过程中可能存在的流动性干扰效应、波动性溢出效应、价格滞后发现效应和磁吸效应等。自2005年中国权证市场采用涨跌幅限制以来已近五年,其实施效果和对权证市场的发展产生的影响值得我们进行研究和探讨。本文选取截至目前我国已经和正在上市交易的55只权证日交易数据进行分析,检验涨跌幅限制对权证非理性波动的影响,以及流动性干扰效应、波动溢出效应和价格发现延迟效应是否存在,来考察我国权证市场中涨跌幅限制制度的实施效果和效应。     

On the predictability of realized volatility using feasible GLS

This study deals with the out-of-sample predictability of realized volatility induced by implied volatility using FGLS. The original dataset was collected from Bloomberg and includes price and implied volatility indices from the US, Hong Kong, China, South Korea and India. Prices were then transformed into realized volatility indices. The relation between realized and implied volatility is important insofar as market expectations about future turbulence may affect the investor's behavior in advance. However, there are some features of the financial data which turn problematic the choice of the OLS estimator. These features include endogeneity and persistence of the predictor, and also conditional heteroskedasticity of the predicted innovations. Consequently, OLS becomes biased and inefficient. The FGLS estimator accounts for these characteristics and, therefore, performs better than OLS-based estimators, as indicated by many of our results.     

基于期指随机定价模型的A股市场风险度量研究

本文从期权定价模型的理论基础出发,首先介绍我国股指期货市场的发展情况,并引出股指期货理论研究的进展情况,然后从逆向思维的角度,通过运用期货随机定价模型对我国唯一的沪深300指数期货进行实证分析研究,试图推算出股指期货中的隐含波动率,获得该隐含波动率在反映未来市场波动风险方面的特性,为将来构造VIX指标寻找到适合的因子。     

Shipment frequency of exporters and demand uncertainty

This paper examines how exporting firms adapt to the uncertainty stemming from demand volatility. By using monthly customs data from France, we decompose exports into different extensive and intensive margins including two novel margins: the number of months the firms exported (frequency) and the average export value per month. We establish four empirical patterns. First, firms export less to markets with higher demand volatility. Second, this effect is mainly explained by the frequency margin. Third, volatility affects the frequency margin through two channels: indirectly through lower trade volume and directly through logistics re-optimization. In particular, our results suggest that firms send less frequent, larger shipments to more uncertain markets conditional on total exports. Fourth, the effect of demand volatility is magnified on markets with longer time-to-ship. We propose that these observations are in line with simple stochastic inventory management approaches.     

备兑权证定价方法的务实改进与实现

为使备兑权证的定价更加贴近现实,文章以t分布代替原假设标的股票收益率服从的正态分布,以随机波动率代替历史波动率,通过GARCH模型来消除金融时间序列的异方差性,并考虑交易费用、红利等因素对权证价格的影响,在此优化了传统的定价模型。然后用Monte Carlo模拟的定价思路,并利用对偶方差减少技术提高其效率,最后编辑程序在Eviews中成功运行得出权证的定价.     

我国A股市场中的波动性之谜与市场情绪

本文使用Campbell和Shiller(1988)基于对数线性RVF的VAR非线性Wald检验方法对我国A股1994-2009期间的数据进行实证研究,结果表明样本期间我国A股股价相对其基础价值表现出"过度波动"的迹象,无论是常数超额收益率模型还是V-CAPM模型都无法对此进行解释。通过进一步定义市场情绪指数来分析这种"波动性之谜"现象的原因,结果发现市场情绪和股市"过度波动"之间存在相互作用机制,市场情绪能够对股价波动提供额外的解释。     

Real financial market exchange rate volatility and portfolio flows

This paper studies the relationship between real financial market exchange rate volatility and US cross-border equity flows. We found strong evidence that causality goes from real financial market exchange rate volatility to equity flows. According to our results, real financial market exchange rate volatility negatively influences purchases of foreign equity. This finding is in line with the portfolio optimization theory. The impact of real financial market exchange rate volatility on sales of foreign equity is also negative. This result can be explained by the theory of behavioral finance which states that investors are reluctant to realize losses of their portfolios. This is why investors decrease sales of assets when riskiness of the assets increases. The impact of real financial market exchange rate on net purchases of foreign equity is positive. It follows from these results that sales of foreign equity decrease more strongly than purchases of foreign equity when riskiness of foreign assets increases.     

Volatility expectations and asymmetric effects of direct interventions in the FX market

In this paper, I investigate the effects of central bank interventions (CBI) on ex-ante exchange rate volatility. I measure volatility expectations by implied volatilities estimated from at-the-money currency options prices. Using a Markov switching model, I estimate the effects of CBI which depend on market conditions. The results suggest that the effects of CBI depend on the prevailing volatility regime. It is found that CBI on the DEM–USD market were not necessarily destabilizing after the Louvre Agreement when expected volatility was relatively high.     

Money growth volatility and the demand for money in Germany: Friedman’s volatility hypothesis revisited

Money Growth Volatility and the Demand for Money in Germany: Friedman’s Volatility Hypothesis Revisited. — Recently, the Bundesbank claimed that monetary targeting has become considerably more difficult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman’s money growth volatility hypothesis. Granger-causality tests provide some evidence for a velocity/volatility linkage. However, the estimation of volatility-augmented money demand functions reveals that — in contrast to Friedman’s hypothesis — increased money growth volatility lowered the demand for money.