| 沪深权证价格偏离分析 |
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| 引用本文： | 王安兴,丁峰.沪深权证价格偏离分析[J].广东金融学院学报,2007,22(4):57-63. |
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| 作者姓名： | 王安兴 丁峰 |
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| 作者单位： | 上海财经大学,金融学院,上海,200433 |
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| 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。
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| 关 键 词： | 欧式权证 价格差异 股票收益率 权证收益率 |
The Analysis of Warrant Market in Shanghai and Shenzhen |
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| Wang Anxin,Ding Feng.The Analysis of Warrant Market in Shanghai and Shenzhen[J].Journal of Guangdong University of Finance,2007,22(4):57-63. |
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| Authors: | Wang Anxin Ding Feng |
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| 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. |
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| Keywords: | European Warrants Price Deviation Stock Income Ratio Warrant Income Ratio |
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