认购权证与标的股票间的价格相关关系实证研究

为系统分析我国认购权证市场与其标的股票市场间的价格相关关系，发现权证市场与股票市场间的联系。本文以12组样本认购权证目收盘价和标的股票的目收盘价为观测对象，运用ADF单位根检验、Johansen协整检验、向量误差修正模型（VECM）、Granger因果检验和Hasbrouck方差分解方法，考察了两个时序数列间的长期均衡关系、短期动态关系、Granger因果关系和两市在价格发现功能中作用的大小、反映信息的效率，得出了研究结论。

The Demonstration Research on the Interrelationship of the Prices between Call Warrants and the Underlying Stocks

In order to analyze the interrelationship between warrant market and the underlying stock market, this paper chooses 12 shares of call warrants and their underlying stocks as samples, and use ADF Unit Root Test, Johansen Co-integration Test, Vector Error Correct Model （VECM）, Granger Causality Test, and Hasbrouck Variance Decompose Test to study the relationship of the prices between call warrants and their underlying stocks, including the long-term balanced relationship, the short-term dynamic relationship, the Granger Causality, and the price-finding function of warrant market and stock market, and gets a detailed conclusion shown in the paper.