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权证影响正股的定价效率吗
引用本文:谭利勇.权证影响正股的定价效率吗[J].证券市场导报,2006(8):8-12.
作者姓名:谭利勇
作者单位:上海财经大学金融学院,上海,200439
摘    要:本文回答了权证在上市后是否能提高正股定价效率这一问题,以正股的收益率为研究对象,本文用EGARCH模型分析了日收益率的大小及其方差的变动情况在双证上市前后是否有显著差异,实证结果表明,从整体看双证尽管不会显著降低正股的定价效率,但是作为一种金融衍生品,权证并没有对正股定价效率的提高发挥显著作用。本文认为原因可能来自我国权证制度本身,包括卖方资格的限制以及创设保证金的要求所导致的套期保值和套利成本过高。因此,保证金融衍生品套期保证值和套利功能的实现,是提高标的资产定价效率的必要条件。

关 键 词:权证  EGARCH模型  杠杆效应  定价效率

Do Warrants Effect Pricing Efficiency of Underlying Stocks
Tan Liyong.Do Warrants Effect Pricing Efficiency of Underlying Stocks[J].Securities Market Herald,2006(8):8-12.
Authors:Tan Liyong
Abstract:This paper addresses the capability of China-listed warrants to enhance pricing efficiency of underlying stocks. The author uses profit margin of underlying stocks and EGARCH Model for an anadysis of disparity of daily profit rnanrgin before and after listing of warrants. Studies reveal that, as a financial inat,roment, the effect of warrants to enhance pricing efficiency of underiying stocks is not obvious. This might be attributed to the current wattant systero including issues like qualification of buyers, and high cost of spreading and arbitrage resulted from margin deposit. It is therefore believed that latmching financial derivatives is essential to enhancing the pricing efficiency of underlying assets.
Keywords:warrants  EGARCH roodel  leverage effects  pricing etticiency
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