| 权证价格的趋势特征及其投资策略 |
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| 引用本文： | 金虎斌. 权证价格的趋势特征及其投资策略[J]. 河南金融管理干部学院学报, 2008, 26(4): 89-91 |
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| 作者姓名： | 金虎斌 |
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| 作者单位： | 郑州大学升达经贸管理学院,河南,郑州,451191 |
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| 摘 要： | 以沪深两市中的全部权证为研究对象，运用溢价率和隐含波动率这两个反映权证价格趋势特征的工具对我国权证的二级市场进行实证分析。研究发现：权证的溢价率和隐含波动率呈现一定的变化趋势，认购权证和认沽权证的溢价率呈反方向变化，认购权证的隐含波动率高于认沽权证的隐含波动率。用这两个工具可以引导投资者挖掘权证的内在价值。
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| 关 键 词： | 权证 隐含波动率 溢价率 |
Tendency Features of Warrants Prices and Investment Policy |
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| JIN Hu-bin. Tendency Features of Warrants Prices and Investment Policy[J]. Journal of Henan College of Financial Management Cadres, 2008, 26(4): 89-91 |
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| Authors: | JIN Hu-bin |
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| Affiliation: | JIN Hu-bin(Shengda Economics Trade Management College of Zhengzhou University,Zhengzhou,Henan 451191,China) |
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| Abstract: | An empirical analysis is made on the secondary market for warrants in China by using premium ratio and hidden volatility ratio,two tools reflecting the tendency features of warrants prices,taking all warrants in Shanghai Stock Exchange and Shenzhen Stock Exchange as research object.The research results premium ratio and hidden volatility ratio show a regular changing tendency,the premium ratios for the subscribing warrants and selling warrants take on a reversing tendency,the hidden volatility ratio of subs... |
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| Keywords: | warrants hidden volatility ratio premium ratio |
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