基于函数型数据分析的沪深权证市场研究
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摘要
权证，是发行人与持有人之间的一种契约，持有人在约定的时间有权以约定的价格购买或卖出标的资产，它是期权的一种特殊形式。权证是金融市场上历史悠久、交易非常活跃的一种金融衍生产品，纵观海外资本市场金融衍生产品的发展历程，它以其独特的产品设计，成为各个国家或地区推出金融衍生产品的首选。
我国证券市场上的权证是为配合股权分置改革而推出的。当时，权证作为一种对价方式，使得非流通股取得流通权。我国将权证产品与股权分置改革结合起来，很好地解决了改革试点中金融工具不足、改革方案单一的问题，为试点公司和投资者提供了更多的可选择的工具。因此权证一重新推出，就成为我国资本市场的焦点，引起了广泛的关注和大量资金的涌入。
蝶式权证作为在我国上市权证中的新品种，具有其独特的魅力。蝶式权证是由同一标的股票发行的认购权证和认沽权证的组合，这样的组合可以使得投资者当股价波动在一定区间内获得一定的收益，如果价格波动超出范围，则投资者也不会遭受损失。蝶式权证因其为投资者提供了灵活多样的投资选择，一推出就得到了市场的广泛欢迎。
目前国内蝶式权证的发展还刚刚开始，权证数量较少，沪深两市总共仅上市了五只蝶式权证，因此对其的研究还处于起步阶段。本文以我国沪深两市的蝶式权证作为研究对象，对下列问题进行分析研究：
1．国外对期权定价的理论研究已经形成了比较完善的体系，其中最为成熟的是Black和Scholes的期权定价模型。该定价模型具有简洁的形式和较准确的计算结果，因此在实践中得到广泛地应用。本文利用Black-Scholes期权定价模型，对沪深两市的五只蝶式权证进行定价研究，对沪深权证市场存在的实际价格与由Black-Scholes模型计算出的理论价格相分离的情况做详细地研究，并分析造成这一现象的原因。
2．函数型数据分析是把观测数据看作一个整体，从函数的角度对其进行分析。在金融市场中，各种交易一直不间断的进行着，资产价格及其它相关指标始终以高频率不断更新，因此金融市场产生的数据可以视为连续的函数型数据。本文基于函数型数据的主成分分析理论，将蝶式权证的周收益率看作函数型数据，根据提炼出的主成分对权证的周收益率建立模型，进一步分析和预测蝶式权证的变化趋势。
3．最后本文对实证分析中发现的我国沪深市场存在的问题进行了分析，并针对这些问题提出了相应的政策建议。
Warrants , as a special form of options, are a contract between the issuer and the holder, which the holder have the right to buy or sell the underlying asset in the agreement time. It is a financial derivative with long history and active trading market in the whole financial market. In the progress of overseas capital market development, warrants are the first choice to introduce financial derivative products because of its unique product design.
Warrants' introduction is the result of solutions of shareholder structure reform in the securities market of our country. As a way of pricing, warrants make the non-tradable shares obtain the right to trade at that time. In our country, the way of combining warrant products with shareholder structure reform solved the problems of shortage of financial tools and singleness of reform plan, which provided pilot corporations and investors more optional tools. As soon as its being re-launched, warrants have become the focus of capital market and aroused widespread concern and the massive influx of funds.
Butterfly warrants, as the new product of our national listed warrants, have some unique properties. Butterfly warrants are the combination of call warrant and put warrant which are issued by the same underlying stock, and they make the investors get certain profits when the stock price fluctuates within certain interval and suffer no losses if the price waves out of range. As providing investors versatile and flexible investment options, butterfly warrants are well welcomed when they are introduced into market.
In our country, as the development of butterfly warrants are just in the period of beginning and the number of listed butterfly warrants is only five in stock market of Shanghai and Shenzhen, the study of butterfly warrants is in the initial stage. The paper uses the butterfly warrants in stock market of Shanghai and Shenzhen as the object of study and study the problems as followed.
1. A relatively complete theory system has been set up now about option pricing theory in developed western world. The most mature model is the option pricing model which was developed by Black and Scholes. Because of Black-Scholes option pricing model's simple formation and relative accuracy, it has been widely used in practice. The paper uses Black-Scholes option pricing model to study the pricing of five butterfly warrants in stock market of Shanghai and Shenzhen, and analyzes the reasons in detail of the diviation between the actual price and the theoretical price computed by Black-Scholes option pricing model.
2. In functional data analysis, data is analyzed from a functional perspective with viewing the data as a whole. In financial market, as various transactions are carried out consecutively and asset prices and its other index of correlation continually update with high frequency, the data from financial market can be viewed as continuous functional data. Based on the theory of principal components analysis of functional data, the paper which regards the weekly return of butterfly warrants as functional data, analyzes and predicts the variation tendency of butterfly warrants through modelling the weekly return refined by principal components analysis.
3. At the last part of paper, the problems of warrant market of Shanghai and Shenzhen which are found by the empirical analysis are analyzed and some policies and suggestions to the problems are proposed.
我国证券市场上的权证是为配合股权分置改革而推出的。当时，权证作为一种对价方式，使得非流通股取得流通权。我国将权证产品与股权分置改革结合起来，很好地解决了改革试点中金融工具不足、改革方案单一的问题，为试点公司和投资者提供了更多的可选择的工具。因此权证一重新推出，就成为我国资本市场的焦点，引起了广泛的关注和大量资金的涌入。
蝶式权证作为在我国上市权证中的新品种，具有其独特的魅力。蝶式权证是由同一标的股票发行的认购权证和认沽权证的组合，这样的组合可以使得投资者当股价波动在一定区间内获得一定的收益，如果价格波动超出范围，则投资者也不会遭受损失。蝶式权证因其为投资者提供了灵活多样的投资选择，一推出就得到了市场的广泛欢迎。
目前国内蝶式权证的发展还刚刚开始，权证数量较少，沪深两市总共仅上市了五只蝶式权证，因此对其的研究还处于起步阶段。本文以我国沪深两市的蝶式权证作为研究对象，对下列问题进行分析研究：
1．国外对期权定价的理论研究已经形成了比较完善的体系，其中最为成熟的是Black和Scholes的期权定价模型。该定价模型具有简洁的形式和较准确的计算结果，因此在实践中得到广泛地应用。本文利用Black-Scholes期权定价模型，对沪深两市的五只蝶式权证进行定价研究，对沪深权证市场存在的实际价格与由Black-Scholes模型计算出的理论价格相分离的情况做详细地研究，并分析造成这一现象的原因。
2．函数型数据分析是把观测数据看作一个整体，从函数的角度对其进行分析。在金融市场中，各种交易一直不间断的进行着，资产价格及其它相关指标始终以高频率不断更新，因此金融市场产生的数据可以视为连续的函数型数据。本文基于函数型数据的主成分分析理论，将蝶式权证的周收益率看作函数型数据，根据提炼出的主成分对权证的周收益率建立模型，进一步分析和预测蝶式权证的变化趋势。
3．最后本文对实证分析中发现的我国沪深市场存在的问题进行了分析，并针对这些问题提出了相应的政策建议。
Warrants , as a special form of options, are a contract between the issuer and the holder, which the holder have the right to buy or sell the underlying asset in the agreement time. It is a financial derivative with long history and active trading market in the whole financial market. In the progress of overseas capital market development, warrants are the first choice to introduce financial derivative products because of its unique product design.
Warrants' introduction is the result of solutions of shareholder structure reform in the securities market of our country. As a way of pricing, warrants make the non-tradable shares obtain the right to trade at that time. In our country, the way of combining warrant products with shareholder structure reform solved the problems of shortage of financial tools and singleness of reform plan, which provided pilot corporations and investors more optional tools. As soon as its being re-launched, warrants have become the focus of capital market and aroused widespread concern and the massive influx of funds.
Butterfly warrants, as the new product of our national listed warrants, have some unique properties. Butterfly warrants are the combination of call warrant and put warrant which are issued by the same underlying stock, and they make the investors get certain profits when the stock price fluctuates within certain interval and suffer no losses if the price waves out of range. As providing investors versatile and flexible investment options, butterfly warrants are well welcomed when they are introduced into market.
In our country, as the development of butterfly warrants are just in the period of beginning and the number of listed butterfly warrants is only five in stock market of Shanghai and Shenzhen, the study of butterfly warrants is in the initial stage. The paper uses the butterfly warrants in stock market of Shanghai and Shenzhen as the object of study and study the problems as followed.
1. A relatively complete theory system has been set up now about option pricing theory in developed western world. The most mature model is the option pricing model which was developed by Black and Scholes. Because of Black-Scholes option pricing model's simple formation and relative accuracy, it has been widely used in practice. The paper uses Black-Scholes option pricing model to study the pricing of five butterfly warrants in stock market of Shanghai and Shenzhen, and analyzes the reasons in detail of the diviation between the actual price and the theoretical price computed by Black-Scholes option pricing model.
2. In functional data analysis, data is analyzed from a functional perspective with viewing the data as a whole. In financial market, as various transactions are carried out consecutively and asset prices and its other index of correlation continually update with high frequency, the data from financial market can be viewed as continuous functional data. Based on the theory of principal components analysis of functional data, the paper which regards the weekly return of butterfly warrants as functional data, analyzes and predicts the variation tendency of butterfly warrants through modelling the weekly return refined by principal components analysis.
3. At the last part of paper, the problems of warrant market of Shanghai and Shenzhen which are found by the empirical analysis are analyzed and some policies and suggestions to the problems are proposed.
引文
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