| 我国权证对正股波动性影响的实证研究 |
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| 引用本文： | 黄宇红.我国权证对正股波动性影响的实证研究[J].价值工程,2009,28(7):163-165. |
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| 作者姓名： | 黄宇红 |
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| 作者单位： | 武汉工程大学法商学院,武汉,430073 |
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| 基金项目： | 武汉工程大学人文社科基金资助项目 |
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| 摘 要： | 选取我国市场的6只权证为研究对象,并以其日收益率和日均方差为指标,考察了我国资本市场中权证对正股波动性的影响。结论是:权证的上市对正股日收益率的影响并不显著,但对正股日收益率的波动性有显著影响,其中认购权证比认沽权证的影响更大。
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| 关 键 词： | 权证 波动性 正股 收益率 |
The Empirical Study on Impacting of Chinese Warrants to Underlying Stares |
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| Huang Yuhong.The Empirical Study on Impacting of Chinese Warrants to Underlying Stares[J].Value Engineering,2009,28(7):163-165. |
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| Authors: | Huang Yuhong |
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| Institution: | Huang Yuhong(School of Law and Business, Wuhan University of Engineering, Wuhan 430073, China) |
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| Abstract: | This paper selects six China＇s warrants and investigates their impact on the underlying shares＇ volatility in China capital market, with the indicators of their day rates of return and the day variance of day rates of return. The conclusion is that the listing of warrants＇ impact on the underlying shares＇ day rates of return is not significant, but significant to the underlying shares＇ volatility of day rates of return. And call warrants＇ influence is greater than put warrants＇ influence. |
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| Keywords: | warrant volatility underlying share rate of return |
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