权证上市对标的股票影响的实证研究
|
摘要
随着股权分置改革的逐步推进,权证作为一种全新的股改对价支付方式引起了市场广泛关注。权证的复出不仅仅作为非流通股为实现流通的一种对价补偿方案,更重要的是作为我国资本市场金融工具创新的尝试,是衍生金融产品市场发展的突破口。作为一种金融衍生工具,权证的上市与交易必然会对标的资产产生影响。本文的研究目的是运用事件研究法,实证分析我国权证上市对标的股票的影响。
本文在介绍权证价值构成以及各国权证市场发展情况的基础上,选取截止2007年5月30日上市的33只权证对应的27只股票为研究样本,分析了权证上市日前后各15个交易日相应标的股票收益率、交易量和波动率的变化情况,并根据上市权证的类型对标的股票进行了分组研究。
我们发现,权证上市前标的股票累计超额收益率先达到峰值,在上市前一个交易日或第二个交易日会下跌;权证上市后标的股票的交易量上升;标的股票波动率的上升。分组研究发现,备兑权证标的股票累计超额收益率在权证上市前逐步上升,而股本权证标的股票累计超额收益率在权证上市前逐步下降;认沽权证标的股票累计超额收益率在权证上市前逐步上升,而认购权证标的股票累计超额收益率在权证上市前逐步下降,蝶式权证由于其复杂性,未形成一个统一的结论;沪市权证和深市权证标的股票的累计超额收益率变化趋势基本相同。
Along with the process of equity division reform,stock warrants were back again and caused widespread concern . The introduction of warrants is not only a compensation program for investors to allow non-tradable shares in circulation,but also a try to the innovation of financial tools which will help the development of derivative financial products markets.As a finance derivative,the listing of warrants would influence the underlying assets.With event study method this research aims to discuss and prove the effects of warrants listing on underlying stocks .
After introducing factors affecting the value of warrant and the development of warrant market both in China and abroad,this study selects 27 stocks with warrants listed on the SHSE and SZSE as of 30th may in 2007 as sample,compares the price,return,trading volume,volatility of underlying stocks 15 days before and after the warrants listing generally and then analyzes stocks grouped by the type of listing warrants,explains the market response to the event,and estimate the effects of the listing of warrants.
The empirical results indicate that peak value of Cumulative Abnormal Return occurs before the Warrant listing,and then falls before the second listing day;the trading volume and volatility of stocks increases after warrant listing.Group study finds that Cumulative Abnormal Return of stocks rises before covered warrants listing,and has a fall effects before equity warrants listing;Cumulative Abnormal Return of Stocks rises before puttable warrants listing, and has a fall effects before callable warrants listing,but for butterfly warrants,there’s no consistent conclusion statistically;Cumulative Abnormal Return of Stocks shared the same trend according to warrant listing on both SHSE and SZSE.
本文在介绍权证价值构成以及各国权证市场发展情况的基础上,选取截止2007年5月30日上市的33只权证对应的27只股票为研究样本,分析了权证上市日前后各15个交易日相应标的股票收益率、交易量和波动率的变化情况,并根据上市权证的类型对标的股票进行了分组研究。
我们发现,权证上市前标的股票累计超额收益率先达到峰值,在上市前一个交易日或第二个交易日会下跌;权证上市后标的股票的交易量上升;标的股票波动率的上升。分组研究发现,备兑权证标的股票累计超额收益率在权证上市前逐步上升,而股本权证标的股票累计超额收益率在权证上市前逐步下降;认沽权证标的股票累计超额收益率在权证上市前逐步上升,而认购权证标的股票累计超额收益率在权证上市前逐步下降,蝶式权证由于其复杂性,未形成一个统一的结论;沪市权证和深市权证标的股票的累计超额收益率变化趋势基本相同。
Along with the process of equity division reform,stock warrants were back again and caused widespread concern . The introduction of warrants is not only a compensation program for investors to allow non-tradable shares in circulation,but also a try to the innovation of financial tools which will help the development of derivative financial products markets.As a finance derivative,the listing of warrants would influence the underlying assets.With event study method this research aims to discuss and prove the effects of warrants listing on underlying stocks .
After introducing factors affecting the value of warrant and the development of warrant market both in China and abroad,this study selects 27 stocks with warrants listed on the SHSE and SZSE as of 30th may in 2007 as sample,compares the price,return,trading volume,volatility of underlying stocks 15 days before and after the warrants listing generally and then analyzes stocks grouped by the type of listing warrants,explains the market response to the event,and estimate the effects of the listing of warrants.
The empirical results indicate that peak value of Cumulative Abnormal Return occurs before the Warrant listing,and then falls before the second listing day;the trading volume and volatility of stocks increases after warrant listing.Group study finds that Cumulative Abnormal Return of stocks rises before covered warrants listing,and has a fall effects before equity warrants listing;Cumulative Abnormal Return of Stocks rises before puttable warrants listing, and has a fall effects before callable warrants listing,but for butterfly warrants,there’s no consistent conclusion statistically;Cumulative Abnormal Return of Stocks shared the same trend according to warrant listing on both SHSE and SZSE.
引文
[1] Don M.Chance.An Introduction to Derivatives. the Dryden Press Harcourt,Brace College Publishers,1995,56-60
[2] Noreen,E.and M.Wolfson,“Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options.”Journal of Accounting Research,1981,1:384-398
[3] Ferri,M.G.,Kremer J.W., and Oberhelman H.D.An Analysis of Models for Pricing Corporate Warrants.Advances in Futures and Options Research,1986,1:201-226
[4] Lin,W.J.and Naka,A.the Nikkei index call and put warrants traded in the US:pricing biases and implications.Journal of Multinational Financial Management,1995,5:43-56
[5] Duan,J.C.and Yan, H. Semi-parametric pricing of derivative warrants,Working Paper,Hong Kong University of Science and Technology,1999
[6] Chan,H.W-H., Pinder,S.M.The value of liquidity:evidence from the derivatives market.Pacific-Basin Finance Journal, 2000,8:483-503
[7] 周延.认股权证的定价模型及其应用.预测,1998,5:15-20
[8] 王志成,何树红.认股权证的定价因素.华东经济管理,2002,3:118-120
[9] 祁向前,赵会军,贾利玲.认股权证与国有股减持.中央财经大学学报,2002,7:33-36
[10] 姜诚.认股权证定价的简单思路及考虑因素.社会学家,2005,5:357-358.
[11] Officer,D.T.and Trennepohl G.L.Price Behavior of Corporate Equities Near Option Expiration Dates.Financial Management,1981,6:75-80
[12] Conrad,J.The Price Effect of Option Introduction.Journal of finance,1989,6:487-498
[13] Detemple,J.and Jorion,P.Option Listing and Stock Returns An Empirical Analysis. Journal of Banking and Finance,1990,14:781-801
[14] Mahmoud,M.Haddad and Frank L.Voorheis.Initial Option Trading and Security Risk and Return.Journal of Business Finance and Accounting,1991:903-913
[15] Watt,W.H.,Yadav,P.K.and Draper,P.The Impact of Option Listing on Underlying Stock Return:The UK Evidence.Journal of Business Finance and Accounting ,1992,19(4):485-503
[16] Bartunek,K.S.Option Delisting of Stocks That Continue Trading:an Examination of Welfare Effects.The Financial Review,1996,31:565-583
[17] Chan,Y.C. Wei,K.C.J.Price and volume effects associated with derivativewarrant issuance on the Stock Exchange of Hong Kong.Journal of Banking and Finance,2001,25 (8): 1401-1426
[18] Chiu,C.L.,Lee,M.C.Lin,C.M.and Chen,C.D.Study on the effect of trading volume and return volatility on call underlying stocks in Taiwan,Quarterly Journal of Business and Economics,2005:44
[19] Michael Aitken and Reuben Segara.Impact of warrant introductions on the behavior of underlying stocks:Australian evidence. Accounting and Finance,2005,45:127-144
[20] 刘忠海.金融产品创新下的投资机会.国信证券金融工程研究报告,2006
[21] 金明琦.对中国权证市场价格定位的合理分析.时代金融,2006,4:36-37
[22] 金立浩,罗 凯.认股权证与股价的相关性分析[J].金融经济,2006:4-6
[23] 钟珍.我国权证发行对标的股票影响的实证研究.对外经济贸易大学硕士学位论文,2006
[24] 杨慧梅.认股权证的定价与协整分析.东华大学硕士学位论文.2006
[25] 朱华成.权证的各种分类.http://finance.sina.com.cn,2006-03-01
[26] IOMA/IOCA.derivatives market survey 2005.2006,5:8-10
[27] 王丽安.香港的认股权证市场与借鉴.南方经济,2005,11:109
[28] Hong Kong Exchange and Clearing Limited.derivative market transaction survey 2005/06,2006,12:5-7
[29] 陈斌,于延超.深沪权证市场发展的历史研究.深圳证券交易所综合研究所,2006,10:27-28
[30] Michael Aitken,Reuben Segara.Impact of warrant introductions on the behavior of underlying stocks:Australian evidence.Accounting and Finance,2005,45:135
[31] John C.Hull.Options,Futures and other Derivatives.Pearson Prentice Hall,6th Edition
[32] 陈工孟,芮萌.中国股票市场实证研究,东北财经大学出版社,2003
[33] 段亚林.聚焦权证市场发展九大焦点问题.投资与证券,2006,2
[34] 杨璨,周珠玲.权证与我国资本市场的发展.中国金融, 2005,11:45-46
[35] 上海证券交易所,权证服务中心http://www.sse.com.cn/sseportal/ps/zhs/sjs/jth/qzzl_2_s.html
[36] Frans de Roon and Chris Veld.Announcement effects of convertible bond loans and warrant-bond loans:An empirical analysis for the Dutch market .Journal of Banking & finance,1998,22:1481-1569
[37]Pericli,A.and G.Koutmos.Index Futures and Options and Stock Market Volatility.The Journal of Futures Markets,1997,17:957-974
[38] Donald Lien and Li Yang.Availability and settlement of individual stock futures and options expiration-day effects:evidence from high-frequency data.Quarterly Review of Economics and Finance,2005,45 (4-5):730-747
[39] A.R.Admati and P.Pfleiderer.A theory of intraday patterns:Volume and price variability.The Review of Financial Studies,1998,I:3–40
[40] P.B.Bollen and R.Whaley.Do expirations of Hang Seng Index derivatives affect stock market volatility?Pacific-Basin Finance Journal,1999,7:453-470
[41] Y.F.Chow,H.Yung and H.Zhang.Expiration day effects:The case of Hong Kong.Journal of Futures Markets,2003,23:67–86
[42] C.N.Kan.Expiration-day effect:Evidence from high-frequency data in the Hong Kong stock market,Applied Financial Economics,2001,II:107-118
[2] Noreen,E.and M.Wolfson,“Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options.”Journal of Accounting Research,1981,1:384-398
[3] Ferri,M.G.,Kremer J.W., and Oberhelman H.D.An Analysis of Models for Pricing Corporate Warrants.Advances in Futures and Options Research,1986,1:201-226
[4] Lin,W.J.and Naka,A.the Nikkei index call and put warrants traded in the US:pricing biases and implications.Journal of Multinational Financial Management,1995,5:43-56
[5] Duan,J.C.and Yan, H. Semi-parametric pricing of derivative warrants,Working Paper,Hong Kong University of Science and Technology,1999
[6] Chan,H.W-H., Pinder,S.M.The value of liquidity:evidence from the derivatives market.Pacific-Basin Finance Journal, 2000,8:483-503
[7] 周延.认股权证的定价模型及其应用.预测,1998,5:15-20
[8] 王志成,何树红.认股权证的定价因素.华东经济管理,2002,3:118-120
[9] 祁向前,赵会军,贾利玲.认股权证与国有股减持.中央财经大学学报,2002,7:33-36
[10] 姜诚.认股权证定价的简单思路及考虑因素.社会学家,2005,5:357-358.
[11] Officer,D.T.and Trennepohl G.L.Price Behavior of Corporate Equities Near Option Expiration Dates.Financial Management,1981,6:75-80
[12] Conrad,J.The Price Effect of Option Introduction.Journal of finance,1989,6:487-498
[13] Detemple,J.and Jorion,P.Option Listing and Stock Returns An Empirical Analysis. Journal of Banking and Finance,1990,14:781-801
[14] Mahmoud,M.Haddad and Frank L.Voorheis.Initial Option Trading and Security Risk and Return.Journal of Business Finance and Accounting,1991:903-913
[15] Watt,W.H.,Yadav,P.K.and Draper,P.The Impact of Option Listing on Underlying Stock Return:The UK Evidence.Journal of Business Finance and Accounting ,1992,19(4):485-503
[16] Bartunek,K.S.Option Delisting of Stocks That Continue Trading:an Examination of Welfare Effects.The Financial Review,1996,31:565-583
[17] Chan,Y.C. Wei,K.C.J.Price and volume effects associated with derivativewarrant issuance on the Stock Exchange of Hong Kong.Journal of Banking and Finance,2001,25 (8): 1401-1426
[18] Chiu,C.L.,Lee,M.C.Lin,C.M.and Chen,C.D.Study on the effect of trading volume and return volatility on call underlying stocks in Taiwan,Quarterly Journal of Business and Economics,2005:44
[19] Michael Aitken and Reuben Segara.Impact of warrant introductions on the behavior of underlying stocks:Australian evidence. Accounting and Finance,2005,45:127-144
[20] 刘忠海.金融产品创新下的投资机会.国信证券金融工程研究报告,2006
[21] 金明琦.对中国权证市场价格定位的合理分析.时代金融,2006,4:36-37
[22] 金立浩,罗 凯.认股权证与股价的相关性分析[J].金融经济,2006:4-6
[23] 钟珍.我国权证发行对标的股票影响的实证研究.对外经济贸易大学硕士学位论文,2006
[24] 杨慧梅.认股权证的定价与协整分析.东华大学硕士学位论文.2006
[25] 朱华成.权证的各种分类.http://finance.sina.com.cn,2006-03-01
[26] IOMA/IOCA.derivatives market survey 2005.2006,5:8-10
[27] 王丽安.香港的认股权证市场与借鉴.南方经济,2005,11:109
[28] Hong Kong Exchange and Clearing Limited.derivative market transaction survey 2005/06,2006,12:5-7
[29] 陈斌,于延超.深沪权证市场发展的历史研究.深圳证券交易所综合研究所,2006,10:27-28
[30] Michael Aitken,Reuben Segara.Impact of warrant introductions on the behavior of underlying stocks:Australian evidence.Accounting and Finance,2005,45:135
[31] John C.Hull.Options,Futures and other Derivatives.Pearson Prentice Hall,6th Edition
[32] 陈工孟,芮萌.中国股票市场实证研究,东北财经大学出版社,2003
[33] 段亚林.聚焦权证市场发展九大焦点问题.投资与证券,2006,2
[34] 杨璨,周珠玲.权证与我国资本市场的发展.中国金融, 2005,11:45-46
[35] 上海证券交易所,权证服务中心http://www.sse.com.cn/sseportal/ps/zhs/sjs/jth/qzzl_2_s.html
[36] Frans de Roon and Chris Veld.Announcement effects of convertible bond loans and warrant-bond loans:An empirical analysis for the Dutch market .Journal of Banking & finance,1998,22:1481-1569
[37]Pericli,A.and G.Koutmos.Index Futures and Options and Stock Market Volatility.The Journal of Futures Markets,1997,17:957-974
[38] Donald Lien and Li Yang.Availability and settlement of individual stock futures and options expiration-day effects:evidence from high-frequency data.Quarterly Review of Economics and Finance,2005,45 (4-5):730-747
[39] A.R.Admati and P.Pfleiderer.A theory of intraday patterns:Volume and price variability.The Review of Financial Studies,1998,I:3–40
[40] P.B.Bollen and R.Whaley.Do expirations of Hang Seng Index derivatives affect stock market volatility?Pacific-Basin Finance Journal,1999,7:453-470
[41] Y.F.Chow,H.Yung and H.Zhang.Expiration day effects:The case of Hong Kong.Journal of Futures Markets,2003,23:67–86
[42] C.N.Kan.Expiration-day effect:Evidence from high-frequency data in the Hong Kong stock market,Applied Financial Economics,2001,II:107-118