权证净需求对隐含波动率的影响

权证市场价格严重偏离理论价值，其隐含波动率远远大于基础股票的历史波动率。文章从供给和需求视角探索隐含波动率偏大的原因。实证结果发现：统计上，净需求对权证隐含波动率有显著的正影响：权证净需求对认股权证隐含波动率变化的影响强于对认沽权证的；认沽权证与基础资产的相关性弱于认股权证。本研究结果有助于市场监管者建立更完善的权证供给制度；有助于投资者根据隐舍波动率与历史波动率偏差建立套利策略。

The Effects of Net Buying Demand on Implied Volatility of Warrants

The paper uses the net buying pressure hypothesis to examine the relation between net buying demand and change of the implied volatility for stock warrants of mainland of China.We discover that changes in implied volatility are directly and significantly related to net buying demand.We find that the effect of net buying demand adjusted by size of issue on call warrants is most strongly than on put warrants in average.The imbalance of supply and demand and missing of system(institution) in asset market are k...