中国权证市场高开效应行为金融学研究

探讨中国权证市场全部55只权证的高开效应，从行为金融学视角分析了影响权证高开效应的主要因素，建立了回归模型，并进行实证检验，检验结果统计上显著地支持高开效应的普遍存在性以及理论分析和回归模型的合理性。高开效应及相应的无风险套利机会的长期存在表明大陆证券市场还不是一个弱有效市场。对于市场的监管决策，监管部门需要降低模糊性，提高透明度。

Research on Open-high Effect in China Warrants Market

This paper discovers and investigated open-high effect of all the 55 warrants of China mainland stock market to the date April 2011. The paper analyzes the main factors which have an impact on open-high effect. After theoretical analysis, the paper sets up several regression models, and uses daily transaction panel data and cross section data to run the empirical tests. The empirical tests results statistically significantly support the universal existence of open-high effect, the theoretical analysis and the regression models. The long-time and significant existence of open-high effect and the resulting risk-free arbitrage opportunity indicate that China mainland stock market is not yet an efficient market. The market supervisor needs to improve the transparency of its decision making mechanic and process.