中国权证定价效率及其市场风险管理研究
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摘要
当前,权证已成为世界金融衍生市场中最为活跃的产品种类之一。中国内地权证市场起步虽然较晚,但发展迅猛。不过和国外成熟的权证市场相比,我国权证市场依然存在着诸多问题。其中,制约着权证市场进一步发展的重要因素有二:一是权证定价效率较低,二是券商的风险管理技术落后。
而目前国内关于以上两个方面的研究并不多见,在已有的研究文献中,更多的是定性分析,缺乏定量研究,甚至某些研究领域基本上还是空白。譬如:如何对权证进行合理定价?现有的定价模型是合理的吗?如何对权证的市场风险进行度量?如何规避和控制风险?如何对权证进行监管?诸如此类一系列的问题,目前还没有十分明确的定论。本文在前人研究的基础上,试图对我国权证定价效率和权证市场风险管理进行更为深入的研究,解决以上所述的诸多疑难也是本文的主要目的之一。
首先,本文对中国权证市场的定价效率进行了实证分析:运用协整检验和Granger检验方法对权证理论价格和市场价格之间的关系进行了实证分析,结论是:在短期内,权证理论价格和市场价格之间无协整关系,但是在长期内,权证理论价格和市场价格之间有协整关系,二者之间存在Granger因果关系。运用显著性t检验方法对权证在不同波动率下的B-S模型定价效率进行了实证比较并分析了定价效率出现差异的原因,实证结果是:对认购权证而言,运用隐含波动率定价的效率更高;对认沽权证而言,运用历史波动率定价的效率更高。随后,还对创设机制对权证定价效率的影响进行了实证分析,发现当前的创设机制并未显著提高权证定价效率。
其次,本文对权证市场与正股市场之间的关系进行了实证分析,从侧面分析了权证市场的定价效率:运用相关性分析、协整检验及Granger检验对权证与其正股、权证与股票指数之间的动态关系进行了实证分析,结论是:认购权证与正股价格之间具有协整关系,且二者之间具有双向的价格引导关系,但正股的价格引导作用更强;认购权证与股票指数之间具有协整关系,且二者之间具有双向的价格引导关系,而认沽权证的价格走势相对独立。运用t检验对权证的上市日效应和到期日效应进行了实证检验,结论是:中国权证的上市日效应和到期日效应在一日的时间间隔内并不显著。运用t检验对权证对正股波动性的影响进行了实证检验,结论是:认购权证在某种程度上增加了正股的波动性,而认沽权证对正股的波动性无影响。
最后,着眼于未来备兑权证的发行,从权证发行人的角度,研究发行人如何用VaR模型来度量权证的市场风险,并通过情景假设来模拟权证市场风险的VaR数值和对冲策略的选择。同时也对如何进行市场监管提出了若干建议。
本文运用了诸如显著性t检验、相关性分析、协整检验、Granger因果关系检验等多种经济计量方法,也采用了模拟的定量计算方法,虽然使用的方法均是利用较为成熟的研究成果,但这些方法运用在国内权证市场均是首次,而且本文研究的广度与深度也较为突出。总的来说,虽然在理论和研究方法上没有什么创新之处,但以上研究成果均在一定程度上填补了国内研究的空白,对研究当前权证市场和指导未来权证市场发展有一定的借鉴意义。
At present, warrant has become one of the most active financial derivatives product types in the world market. Although China warrants market start late, but developing rapidly. Compared with the overseas mature market, China warrants market stilly has many problems. Among them, which restrict the further development of warrants market are these two important factors: First, the low efficiency of warrants pricing. The second is that the risk management technology of Securities Traders is backward.
But presently, domestic researches about above two aspects are not so much. In those researches, many of them are the qualitative analysis; the quantitative analysis is very lacks. There even are still some blanks in many research realms. Such as: How to price reasonablly on the warrants? Is the existing model pricing reasonable? How to measure the market risk of the warrants? How to evade and control maket risk? How to supervise the warrants issurers? Such as the problems of this kind didn't yet have very explicit hard conclusion currently. Based on the predecessor’s investigations, this article have made more thorough study on warrants pricing efficiency and its market risk management in our contury. This article’s one main purpose is to solve many difficulties above.
First, this article has made an empirical analysis of the pricing efficiency of warrants in china market.This article has made an empirical analysis of the relationship between warrants market price and the theoretical price, using cointegration test and Granger causality test method. The conclusion is that there isn’t a cointegration relationship between them in short term, but a cointegration relationship and Granger causality relationship between them in long term.This article has made an empirical analysis of warrants pricing efficiency using t-test method on B-S model with different volatility and analysed the diffrrent between them. It discovered that more efficient to call warrants with implied volatility and more efficient to pull warrants with historical volatility. Afterwords, this article has made an empirical analysis of influence on pricing efficiency from the Establishment Mechanism. It discovered that the Establishment Mechanism do not improve the pricing efficiency of warrants.
Next, this article has carried on an empirical analysis of the relationship between the warrants market with stock market. It has analyzed the warrants price efficiency from the side: Using therelevant analysis, cointegration test and the Granger causality test method, the article has carried on an empirical analysis of dynamic relationship within the stock, the warrants and the stock index relations. The conclusion is that there is a cointegration relationship and Granger causality relationship between call warrants and their underlying stock price, and the function of price guidance of underlying stock is stronger than call warrants, but the price trend of the pull warrants is relative independence. This article has made an empirical analysis of issue date effect and the due date effect using t-test method. The conclusion is that the effect of warrants issue date and due date is not certainly remarkable in one day in China. Then, the article has carried on an empirical analysis of infuluence of warrants on their underlying stocks.The conclusion is that the call warrants increase the stocks volatility in some kind of degree, but not the pull warrants too.
Finally, recognized the release of warrants in future, according to the situation of warrants publisher, this article has studied how the publisher to use the VaR model to measue the market risk of warrants, simulate the warrants’VaR and how to choice the market risk hedge strategy using scene supposition method. And put forward the proposal on how to carry on market supervising.
This article has utilized the diversified econometrics method such as the significance T-test, the relevant analysis, the cointegration test, the Granger causal relation test, also has used the simulation quantitative evaluation method. Although the method uses the maturer research results, but the method utilization in the domestic warrants market is for the first time, moreover this article studies the breadth and the depth are also prominent. Generally speaking, although it does not have innovation in the theory and the research technique, but these research results have filled the domestic research blank, and have a certain model significance to study present warrants market and instruct future development of warrants maket in China.
而目前国内关于以上两个方面的研究并不多见,在已有的研究文献中,更多的是定性分析,缺乏定量研究,甚至某些研究领域基本上还是空白。譬如:如何对权证进行合理定价?现有的定价模型是合理的吗?如何对权证的市场风险进行度量?如何规避和控制风险?如何对权证进行监管?诸如此类一系列的问题,目前还没有十分明确的定论。本文在前人研究的基础上,试图对我国权证定价效率和权证市场风险管理进行更为深入的研究,解决以上所述的诸多疑难也是本文的主要目的之一。
首先,本文对中国权证市场的定价效率进行了实证分析:运用协整检验和Granger检验方法对权证理论价格和市场价格之间的关系进行了实证分析,结论是:在短期内,权证理论价格和市场价格之间无协整关系,但是在长期内,权证理论价格和市场价格之间有协整关系,二者之间存在Granger因果关系。运用显著性t检验方法对权证在不同波动率下的B-S模型定价效率进行了实证比较并分析了定价效率出现差异的原因,实证结果是:对认购权证而言,运用隐含波动率定价的效率更高;对认沽权证而言,运用历史波动率定价的效率更高。随后,还对创设机制对权证定价效率的影响进行了实证分析,发现当前的创设机制并未显著提高权证定价效率。
其次,本文对权证市场与正股市场之间的关系进行了实证分析,从侧面分析了权证市场的定价效率:运用相关性分析、协整检验及Granger检验对权证与其正股、权证与股票指数之间的动态关系进行了实证分析,结论是:认购权证与正股价格之间具有协整关系,且二者之间具有双向的价格引导关系,但正股的价格引导作用更强;认购权证与股票指数之间具有协整关系,且二者之间具有双向的价格引导关系,而认沽权证的价格走势相对独立。运用t检验对权证的上市日效应和到期日效应进行了实证检验,结论是:中国权证的上市日效应和到期日效应在一日的时间间隔内并不显著。运用t检验对权证对正股波动性的影响进行了实证检验,结论是:认购权证在某种程度上增加了正股的波动性,而认沽权证对正股的波动性无影响。
最后,着眼于未来备兑权证的发行,从权证发行人的角度,研究发行人如何用VaR模型来度量权证的市场风险,并通过情景假设来模拟权证市场风险的VaR数值和对冲策略的选择。同时也对如何进行市场监管提出了若干建议。
本文运用了诸如显著性t检验、相关性分析、协整检验、Granger因果关系检验等多种经济计量方法,也采用了模拟的定量计算方法,虽然使用的方法均是利用较为成熟的研究成果,但这些方法运用在国内权证市场均是首次,而且本文研究的广度与深度也较为突出。总的来说,虽然在理论和研究方法上没有什么创新之处,但以上研究成果均在一定程度上填补了国内研究的空白,对研究当前权证市场和指导未来权证市场发展有一定的借鉴意义。
At present, warrant has become one of the most active financial derivatives product types in the world market. Although China warrants market start late, but developing rapidly. Compared with the overseas mature market, China warrants market stilly has many problems. Among them, which restrict the further development of warrants market are these two important factors: First, the low efficiency of warrants pricing. The second is that the risk management technology of Securities Traders is backward.
But presently, domestic researches about above two aspects are not so much. In those researches, many of them are the qualitative analysis; the quantitative analysis is very lacks. There even are still some blanks in many research realms. Such as: How to price reasonablly on the warrants? Is the existing model pricing reasonable? How to measure the market risk of the warrants? How to evade and control maket risk? How to supervise the warrants issurers? Such as the problems of this kind didn't yet have very explicit hard conclusion currently. Based on the predecessor’s investigations, this article have made more thorough study on warrants pricing efficiency and its market risk management in our contury. This article’s one main purpose is to solve many difficulties above.
First, this article has made an empirical analysis of the pricing efficiency of warrants in china market.This article has made an empirical analysis of the relationship between warrants market price and the theoretical price, using cointegration test and Granger causality test method. The conclusion is that there isn’t a cointegration relationship between them in short term, but a cointegration relationship and Granger causality relationship between them in long term.This article has made an empirical analysis of warrants pricing efficiency using t-test method on B-S model with different volatility and analysed the diffrrent between them. It discovered that more efficient to call warrants with implied volatility and more efficient to pull warrants with historical volatility. Afterwords, this article has made an empirical analysis of influence on pricing efficiency from the Establishment Mechanism. It discovered that the Establishment Mechanism do not improve the pricing efficiency of warrants.
Next, this article has carried on an empirical analysis of the relationship between the warrants market with stock market. It has analyzed the warrants price efficiency from the side: Using therelevant analysis, cointegration test and the Granger causality test method, the article has carried on an empirical analysis of dynamic relationship within the stock, the warrants and the stock index relations. The conclusion is that there is a cointegration relationship and Granger causality relationship between call warrants and their underlying stock price, and the function of price guidance of underlying stock is stronger than call warrants, but the price trend of the pull warrants is relative independence. This article has made an empirical analysis of issue date effect and the due date effect using t-test method. The conclusion is that the effect of warrants issue date and due date is not certainly remarkable in one day in China. Then, the article has carried on an empirical analysis of infuluence of warrants on their underlying stocks.The conclusion is that the call warrants increase the stocks volatility in some kind of degree, but not the pull warrants too.
Finally, recognized the release of warrants in future, according to the situation of warrants publisher, this article has studied how the publisher to use the VaR model to measue the market risk of warrants, simulate the warrants’VaR and how to choice the market risk hedge strategy using scene supposition method. And put forward the proposal on how to carry on market supervising.
This article has utilized the diversified econometrics method such as the significance T-test, the relevant analysis, the cointegration test, the Granger causal relation test, also has used the simulation quantitative evaluation method. Although the method uses the maturer research results, but the method utilization in the domestic warrants market is for the first time, moreover this article studies the breadth and the depth are also prominent. Generally speaking, although it does not have innovation in the theory and the research technique, but these research results have filled the domestic research blank, and have a certain model significance to study present warrants market and instruct future development of warrants maket in China.
引文
①见上海证券交易所《权证:一个全球成功的产品》第1-2页。
②见上海证券交易所《我国权证发行、上市及监管制度研究与设计》第3-4页。
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[70]刘洋,庄新田.沪市认购权证与其标的股票价格走势的Granger因果检验.管理学报,2006(11):697-702.
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[72] Philippe Jorion.VAR:风险价值——金融风险管理新标准.中信出版社,2000.
[73]宋逢明.金融工程原理——无套利均衡分析.清华大学出版社,2003.
[74]邵宇.微观金融学及其数学基础.清华大学出版社,2003.
[75]王春峰.金融市场风险管理.天津大学出版社,2000.
[76]王志诚,何树红.认股权证的定价因素.华东经济管理,2002(16):34-38.
[77]香港证监会.认股证投资者调查.香港证监会网站,2006.
[78]香港证监会.完善市场,精明投资——香港的衍生权证市场报告.香港证监会网站,2005.
[79]杨朝军.现代证券金融理论前沿与中国实证.上海交通大学出版社,2004.
[80]约翰·赫尔著,张陶伟译.期权?期货和其它衍生产品.华夏出版社,2000.
[81]郑振龙.各国衍生金融市场监管比较研究.中国金融出版社,2003.
[82]朱康平.权证定价模型实证研究.上海申银万国证券研究所报告,2005(12).
[83]滋维·博迪.投资学.机械工业出版社,2003.
②见上海证券交易所《我国权证发行、上市及监管制度研究与设计》第3-4页。
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