关于我国证券市场认股权证价格波动的实证分析
摘要
伴随着股权分置改革的进程,认股权证一推出便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。权证的推出不仅仅只是非流通股为实现流通支付的一种补偿对价方案,而且是我国证券市场金融工具创新的开端,是衍生产品市场发展的突破口。作为一种类似于期权的金融衍生产品,认股权证的价格会具有什么样的规律,并且其发行和交易必然也会对标的资产产生影响。本文研究的目的是通过实证分析,探讨我国权证价格的自身的波动规律,以及其发行对标的股票的交易活动产生的短期和长期影响。
本文在介绍当前我国权证市场发展概况的基础上,首先阐明了本文的研究背景、研究意义、目前本领域的研究现状、及本文的创新之处。第二部分介绍了权证的相关知识,包括权证的相关概念;认股权证与股票、期权的联系和区别;权证的作用、发展历史、定价原理及价值评价。第三部分,介绍权证价格波动的相关理论,包括波动率的定义;GARCH模型的定义及估计方法。第四部分,进行了本文的实证研究,主要分为两部分,第一部分选取马钢权证及其标的股票马钢股份作为研究样本,通过对马钢权证自2006年11月29日发行到2008年4月14日每日的最高价、最低价、日波动率,建立GARCH模型、GARCH-M模型、EGARCH模型进行分析,得出结论:认股权证自身价格波动呈随机游走模型,波动剧烈;其波动率序列相对稳定,有明显的集簇性;存在正的风险溢价及显著的杠杆效应和反馈效应。第二部分通过事件研究法,比较权证发行前后10个交易日和前后60个交易日标的股票交易量、价格、收益率,了解市场对权证发行事件的反应,评价权证发行产生的效果。得出结论:权证发行前后数日会出现标的股票交易量峰值,之后成交量会回落,但会高于发行前水平;短期内对股价有支撑作用,标的股票交易剧增,并且这种对交易的活跃效应会持续到中长期;发行前数日标的股票会取得正的收益率,但中长期收益率并未发生显著变化。第五部分,总结归纳了本文的研究结论,并提出了相关政策建议。
Along with the process of equity division reform, the redivious stock warrants, which aroused broad attention and attracted plenty funds, became the focus of domestic stock market immediately. The introduction of warrants is not only a plan to compensate investors for allowing the company's non-tradable shares to be listed on the securities market, but also a start of financial innovation in our securities market, which will help open a new market for the derivative instruments. As a finance derivative similar to option, what is the regular of its price volatility; Meanwhile the initiation and transaction of warrant would influence the underlying assets. This research aims to discuss and prove the regulation, the short-term and long-term effects of warrants issue on underlying stocks through empirical analysis.
After introducing the general situation of recent domestic warrants market, firstly, it clarifies the background, the significance and the status of the research and also the paper's innovation. Secondly, it introduces the related knowledge of the warrants, which including the concept, the value, the history, the pricing principle and the evaluation of the warrants, and the relationship and difference in warrants, stocks and the options. Thirdly it introduces the theory about the pricing fluctuation, which including the concept of volatility, the concept and the estimate method of GARCH model.
Fourthly, it's the empirical research of this paper. This study selects MaGang Warrant and the underlying stock- MaGang stock as sample, and has done two parts reach of it. The first part: it through building GARCH model, GARCH-M model, EGARCH model, compares the day highest price, day lowest price and the volatility from Dec.29~(th), 2006 to Alp. 14~(th), 2008. Getting the conclusion, the regularity of price fluctuations is not obvious; it is volatile; The sequence of its volatility is relatively stable. There are clear set of clusters and has the risk premium, significant leverage and feedback effects.
The second part: Through event research method, compares the trading volume, price, return, volatility of the underlying stocks 10 days or 60 days before and after the warrants issue, explains the market response to the event, and estimate the effect of the listing of warrants. The empirical results indicate that peak value of trading volume occurs near the warrant listing, and then falls gradually to a level higher than it before the warrant listing; the price gains a short-term supportive effect; the trading volume has increased before the warrant listing and this will continue to the long term; Before the listing it gains a positive Yield rate but in the long term it's not obvious.
The fifth part is the conclusion of this paper; Meanwhile it also gives out the suggestions about the policy.
本文在介绍当前我国权证市场发展概况的基础上,首先阐明了本文的研究背景、研究意义、目前本领域的研究现状、及本文的创新之处。第二部分介绍了权证的相关知识,包括权证的相关概念;认股权证与股票、期权的联系和区别;权证的作用、发展历史、定价原理及价值评价。第三部分,介绍权证价格波动的相关理论,包括波动率的定义;GARCH模型的定义及估计方法。第四部分,进行了本文的实证研究,主要分为两部分,第一部分选取马钢权证及其标的股票马钢股份作为研究样本,通过对马钢权证自2006年11月29日发行到2008年4月14日每日的最高价、最低价、日波动率,建立GARCH模型、GARCH-M模型、EGARCH模型进行分析,得出结论:认股权证自身价格波动呈随机游走模型,波动剧烈;其波动率序列相对稳定,有明显的集簇性;存在正的风险溢价及显著的杠杆效应和反馈效应。第二部分通过事件研究法,比较权证发行前后10个交易日和前后60个交易日标的股票交易量、价格、收益率,了解市场对权证发行事件的反应,评价权证发行产生的效果。得出结论:权证发行前后数日会出现标的股票交易量峰值,之后成交量会回落,但会高于发行前水平;短期内对股价有支撑作用,标的股票交易剧增,并且这种对交易的活跃效应会持续到中长期;发行前数日标的股票会取得正的收益率,但中长期收益率并未发生显著变化。第五部分,总结归纳了本文的研究结论,并提出了相关政策建议。
Along with the process of equity division reform, the redivious stock warrants, which aroused broad attention and attracted plenty funds, became the focus of domestic stock market immediately. The introduction of warrants is not only a plan to compensate investors for allowing the company's non-tradable shares to be listed on the securities market, but also a start of financial innovation in our securities market, which will help open a new market for the derivative instruments. As a finance derivative similar to option, what is the regular of its price volatility; Meanwhile the initiation and transaction of warrant would influence the underlying assets. This research aims to discuss and prove the regulation, the short-term and long-term effects of warrants issue on underlying stocks through empirical analysis.
After introducing the general situation of recent domestic warrants market, firstly, it clarifies the background, the significance and the status of the research and also the paper's innovation. Secondly, it introduces the related knowledge of the warrants, which including the concept, the value, the history, the pricing principle and the evaluation of the warrants, and the relationship and difference in warrants, stocks and the options. Thirdly it introduces the theory about the pricing fluctuation, which including the concept of volatility, the concept and the estimate method of GARCH model.
Fourthly, it's the empirical research of this paper. This study selects MaGang Warrant and the underlying stock- MaGang stock as sample, and has done two parts reach of it. The first part: it through building GARCH model, GARCH-M model, EGARCH model, compares the day highest price, day lowest price and the volatility from Dec.29~(th), 2006 to Alp. 14~(th), 2008. Getting the conclusion, the regularity of price fluctuations is not obvious; it is volatile; The sequence of its volatility is relatively stable. There are clear set of clusters and has the risk premium, significant leverage and feedback effects.
The second part: Through event research method, compares the trading volume, price, return, volatility of the underlying stocks 10 days or 60 days before and after the warrants issue, explains the market response to the event, and estimate the effect of the listing of warrants. The empirical results indicate that peak value of trading volume occurs near the warrant listing, and then falls gradually to a level higher than it before the warrant listing; the price gains a short-term supportive effect; the trading volume has increased before the warrant listing and this will continue to the long term; Before the listing it gains a positive Yield rate but in the long term it's not obvious.
The fifth part is the conclusion of this paper; Meanwhile it also gives out the suggestions about the policy.
引文
[1]Fischer Black and Myron Scholes,,The pricing of options and corporate liabilities[J],The Journal of Political Economy,1973,(81)
[2]Bachelier,L,《Theories de la speculation.Coonter P.H.Annales de I'ecole Normal Superieure》[M],English translation in the Random Character of Stock Market Price.Cambridge:MIT Press,1964,17-78
[3]Sprenkle,C.M.,Warrant prices as indicators of expectations and preferences[J],Yale Economic Essays,1961,(1)
[4]Samuelson,P.A.,Rational theory of warrant pricing[J],Industrial Management Review,1965,(6)
[5]MacBeth,J.and L.Merville,An empirical examination of the Black-Scholes call option pricing model[J],Journal of Finance,1979,(34)
[6]Whalley,A.E.and Wilmott,P,An asymptotic analysis of an optimal hedging model for option pricing with transaction costs[J],Mathematical Finance,1997,(7)
[7]John C.Cox,S.A.Ross & Mark Rubinstein,Option pricing.,a simplified approach[J],Journal of Financial Economics,1979,(3)
[8]Merton,R.C.,Option pricing when underlying stock returns are discontinuous[J],Journal of Financial Economics,1976,(4)
[9]Jarrow,R.,Derivative Securities Markets,Market Manipulation and Option Pricing Theory[J],Journal of Financial and Quantitative Analysis,1994,(29)
[10]Naik,V.and M.Lee,General equilibrium pricing of options on the market portfolio with discontinuous returns[J],Review of Financial Studies,1990,(3)
[11]Madan,Dilip B.and Eugene Seneta,The variance gamma(V.G.)model for share market returns[J].Journal of Business,1990,(63)
[12]Madan,Dilip B.and Frank Milne,Option pricing with VG martingale components[J],Mathematical Finance,1991,(1)
[13]Barndorff-Nielson,O.E.,Processes of normal inverse Gaussian type[J],Finance and Stochastics,1998,(2)
[14]Dupire,B.,Pricing with A smile[J],Risk,1994,(2)
[15]Dumas,B.J.Fleming,& R.Whaley,Implied volatility functions:empirical tests[J],Journal of Finance,1997,(53)
[16]John C.Hull,张陶伟译,《期权、期货和其他衍生产品》[M],北京:华夏出版社, 2000
[17]Hagelin H.,Index option market activity and cash market volatility under different market conditions:an empirical study from Sweden[J],Applied Financial Economics,2000,(28)
[18]Lee,MingChih & Chun-Da Chen,The intraday behaviors and relationships with its underlying assets:Evidence on option market in Taiwan[J],International Review of Financial Analysis.2005,(51)
[19]邹平,《金融计量学》[M],上海:上海财经大学出版社,2005
[20]付罗龙、陈鹏,宝钢股份权证投资策略及定价[J],证券导刊,2005年,(31)
[21]宣昌能、张自力,《现代金融投资概论》[M],合肥:中国科技大学出版社,2000.
[22]姚兴涛,《金融衍生品市场论》[M],北京:立信会计出版社,1999.
[23]郑文华,《衍生工具与股票投资》[M],香港:香港商务印书馆,2000
[24]李玲,我国内地认股权证发行对标的股票的影响[J],中南大学,2006
[25]钟珍,我国权证发行对标的股票影响的实证分析[J],对外经济贸易大学,2005
[26]陈工孟、芮萌,《中国股票市场实证研究》[M],大连:东北财经大学出版社,2003
[27]史代敏,《中国股票市场波动与效率研究》[M],成都:西南财经大学出版社,2003
[28]刘忠海,金融产品创新下的投资机会[J],国信证券金融工程研究报告,2006
[29]杨正洪,《认股权证及其在国内证券市场的应用(上)》[J],证券市场导报,2006
[30]王志诚,何树红,认股权证的定价因素[J],华东经济管理,2002,(6)
[31]茅宁,《期权分析一理论与应用》[M],南京:南京大学出版社,2000
[32]埃里克·布里斯等著,史树中等译,《期权、期货和特种衍生证券理论、应用与实践》[M],机械工业出版社,2002
[33]陈支左,王永宏,董鹏飞,张汉飞,我国发展权证产品的现实意义[J],上海证券报,2005,(6)
[34]陈毅恒,《时间序列与金融数据分析》[M],北京:中国统计出版社,2004
[35]缪恒生,陈晓升等,《我国权证发行、上市及监管制度研究与设计》,申银万国证券股份有限公司课题组,2005
[36]王莹,黄文卿,马家驹,《权证的交易制度研究》,国泰君安证券股份有限公司新产品开发部课题组,2005
[37]王永宏,董鹏飞,张汉飞,《我国证券市场发展权证产品的现实意义》,嘉实基金公司课题组,2005
[38]房振明、王春峰、李晔、卢涛:我国股票与权证市场之间的线性及非线性因果关系[J],《系统工程》 2006,(7)
[39]吴谦,权证发行对标的股票价格风险影响的实证研究[J],商业研究,2007,(8)
[40]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[J],管理学报 2006,(6)
[41]谭利勇,权证影响正股的定价效率吗[J],证券市场导报,2006,(8)
[42]刘维奇、谢黎旭,权证市场和基础市场关系研究--基于二元GARCH模型的实证分析[J],数量经济技术经济研究,2008,(1)
[2]Bachelier,L,《Theories de la speculation.Coonter P.H.Annales de I'ecole Normal Superieure》[M],English translation in the Random Character of Stock Market Price.Cambridge:MIT Press,1964,17-78
[3]Sprenkle,C.M.,Warrant prices as indicators of expectations and preferences[J],Yale Economic Essays,1961,(1)
[4]Samuelson,P.A.,Rational theory of warrant pricing[J],Industrial Management Review,1965,(6)
[5]MacBeth,J.and L.Merville,An empirical examination of the Black-Scholes call option pricing model[J],Journal of Finance,1979,(34)
[6]Whalley,A.E.and Wilmott,P,An asymptotic analysis of an optimal hedging model for option pricing with transaction costs[J],Mathematical Finance,1997,(7)
[7]John C.Cox,S.A.Ross & Mark Rubinstein,Option pricing.,a simplified approach[J],Journal of Financial Economics,1979,(3)
[8]Merton,R.C.,Option pricing when underlying stock returns are discontinuous[J],Journal of Financial Economics,1976,(4)
[9]Jarrow,R.,Derivative Securities Markets,Market Manipulation and Option Pricing Theory[J],Journal of Financial and Quantitative Analysis,1994,(29)
[10]Naik,V.and M.Lee,General equilibrium pricing of options on the market portfolio with discontinuous returns[J],Review of Financial Studies,1990,(3)
[11]Madan,Dilip B.and Eugene Seneta,The variance gamma(V.G.)model for share market returns[J].Journal of Business,1990,(63)
[12]Madan,Dilip B.and Frank Milne,Option pricing with VG martingale components[J],Mathematical Finance,1991,(1)
[13]Barndorff-Nielson,O.E.,Processes of normal inverse Gaussian type[J],Finance and Stochastics,1998,(2)
[14]Dupire,B.,Pricing with A smile[J],Risk,1994,(2)
[15]Dumas,B.J.Fleming,& R.Whaley,Implied volatility functions:empirical tests[J],Journal of Finance,1997,(53)
[16]John C.Hull,张陶伟译,《期权、期货和其他衍生产品》[M],北京:华夏出版社, 2000
[17]Hagelin H.,Index option market activity and cash market volatility under different market conditions:an empirical study from Sweden[J],Applied Financial Economics,2000,(28)
[18]Lee,MingChih & Chun-Da Chen,The intraday behaviors and relationships with its underlying assets:Evidence on option market in Taiwan[J],International Review of Financial Analysis.2005,(51)
[19]邹平,《金融计量学》[M],上海:上海财经大学出版社,2005
[20]付罗龙、陈鹏,宝钢股份权证投资策略及定价[J],证券导刊,2005年,(31)
[21]宣昌能、张自力,《现代金融投资概论》[M],合肥:中国科技大学出版社,2000.
[22]姚兴涛,《金融衍生品市场论》[M],北京:立信会计出版社,1999.
[23]郑文华,《衍生工具与股票投资》[M],香港:香港商务印书馆,2000
[24]李玲,我国内地认股权证发行对标的股票的影响[J],中南大学,2006
[25]钟珍,我国权证发行对标的股票影响的实证分析[J],对外经济贸易大学,2005
[26]陈工孟、芮萌,《中国股票市场实证研究》[M],大连:东北财经大学出版社,2003
[27]史代敏,《中国股票市场波动与效率研究》[M],成都:西南财经大学出版社,2003
[28]刘忠海,金融产品创新下的投资机会[J],国信证券金融工程研究报告,2006
[29]杨正洪,《认股权证及其在国内证券市场的应用(上)》[J],证券市场导报,2006
[30]王志诚,何树红,认股权证的定价因素[J],华东经济管理,2002,(6)
[31]茅宁,《期权分析一理论与应用》[M],南京:南京大学出版社,2000
[32]埃里克·布里斯等著,史树中等译,《期权、期货和特种衍生证券理论、应用与实践》[M],机械工业出版社,2002
[33]陈支左,王永宏,董鹏飞,张汉飞,我国发展权证产品的现实意义[J],上海证券报,2005,(6)
[34]陈毅恒,《时间序列与金融数据分析》[M],北京:中国统计出版社,2004
[35]缪恒生,陈晓升等,《我国权证发行、上市及监管制度研究与设计》,申银万国证券股份有限公司课题组,2005
[36]王莹,黄文卿,马家驹,《权证的交易制度研究》,国泰君安证券股份有限公司新产品开发部课题组,2005
[37]王永宏,董鹏飞,张汉飞,《我国证券市场发展权证产品的现实意义》,嘉实基金公司课题组,2005
[38]房振明、王春峰、李晔、卢涛:我国股票与权证市场之间的线性及非线性因果关系[J],《系统工程》 2006,(7)
[39]吴谦,权证发行对标的股票价格风险影响的实证研究[J],商业研究,2007,(8)
[40]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[J],管理学报 2006,(6)
[41]谭利勇,权证影响正股的定价效率吗[J],证券市场导报,2006,(8)
[42]刘维奇、谢黎旭,权证市场和基础市场关系研究--基于二元GARCH模型的实证分析[J],数量经济技术经济研究,2008,(1)