权证创设机制有效性的实证研究
摘要
目前权证作为衍生金融工具中的一项基础性产品,已成为国际证券市场中不可或缺、充满活力的一员。1992年我国证券市场曾有过短暂的权证交易历史,但由于过度投机扰乱了市场秩序,1996年12月之后,管理层叫停了权证交易。我国境内权证市场的再次启动是伴随着2005年股权分置改革而来的,2005年8月22日宝钢JTB1认购权证的上市,宣告着权证市场的再次启动,迄今,已有50余只权证先后在沪深两市上市交易。
最初发行上市的权证是股改权证,是非流通股大股东免费派送给流通股东的对价,因此其总量是固定不变的,缺乏供求平衡机制,而且由于权证产品的当日回转(T+0)制度、涨跌幅通常大大高于股票,极大地激发了投资者的热情,在一定条件下会成为投机炒作的首选。自从2005年首支权证宝钢JTB1认购权证上市以来,市场出现了供求严重失衡情况,过度投机导致权证价格大幅偏离其理论价值。在这种情况下,创设机制应运而生,它有助于抑制极端的供需失衡:当权证价格高估时,通过创设机制增加供应量,平抑价格,当权证价格趋于合理时,创设人可以购回注销,稳定市场价格。
然而,创设制度自从被监管层推出以来就一直广受争议,直到目前这种争论也没有停止。创设机制是否真的达到了抑制权证投机,并促使权证定价趋于合理的效果?本研究主要将从创设制度带来权证市场供求变化这一角度出发,来检验其是否提高了权证市场的有效性。
本文首先介绍了权证的基础知识,概述了权证的发展历史及其有效定价机制,然后详细的阐述创设机制。在此基础上进行实证研究,选取2005年8月22日权证市场再次启动至2008年8月22日发行上市的53只权证作为研究样本,对权证创设制度运行的有效性进行了实证研究。将样本权证分成两组,即有创设机制的(有创设组)和没有创设机制的(无创设组),然后分别统计了权证的四项指标,包括:溢价率、日内超额波动率、实际价格和理论价格的偏离度以及权证价格的隐含波动率,然后对两组各项指标的平均值进行比较,并使用Wilcoxon(Mann-Whitney)秩和检验方法进行检验,分析两组样本的总体是否有不同的位置参数。然后又针对有创设组的权证,比较其创设机制生效前后四项指标,并同样用Wilcoxon(Mann-Whitney)秩和检验方法进行检验,分析两组样本的总体是否有不同的位置参数。结果表明,创设组与无创设组从整体上定价效率都很不理想,而且从四个指标上判断,创设组中的权证并没有因为创设行为的存在而显著优于无创设组中的权证,创设组中的权证创设前也并没有因为创设行为的存在而显著优于创设后,甚至在某些指标上前者都要明显的不如后者,以上结论都通过了显著性检验。最后,对于出现的这种情况,我们针对如何完善权证创设机制,如何提高权证市场定价效率,提出一些完善措施与政策建议。
本文共分为六部分:
第一章为导论部分,主要阐述了本文的选题背景、研究目的,综述国内外对于权证市场定价效率的研究,以及本文的研究方法、创新之处、研究框架。自从2005年首支权证宝钢权证上市以来,市场出现了供求严重失衡情况,过度投机导致权证价格大幅偏离其理论价值。此时交易所推出了权证创设机制,主要目的是增加权证供应量,以平抑权证的过度需求导致的权证价格非理性。然而,创设制度在实践中是助长了投机风气还是稳定了价格减少了投机狂热?这种争论自创设制度被监管层推出以来就一直没有停止。本文针对这个问题进行实证研究。国外对于权证市场定价效率的研究开始很早,但是国外相关研究主要都集中在期权的上市发行和到期事件对标的证券价格、收益波动性以及流动性三个方面的影响,研究的对象也基本上是针对某国的单一市场或者特定期权。在我国创设制度是伴随着权证而产生的。由于市场出现时间短和其他一些特殊性,迄今为止主要学术刊物上关于权证市场创设制度的比较深入的实证研究并不多。本文借鉴上海证券交易所创新实验室的研究报告使用的实证研究方法,延长了考查期限,扩大了目标权证数量,修正了检验方法,从基础知识的介绍入手,逐步深入研究。
第二章对权证进行一个基本介绍。权证就是一项权利的证券化,投资人在支付权利金后有权于约定的期间或到期日,以约定的价格认购或沽出权证的标的资产。权证包含八个基本要素:标的物、权证发行价格、到期期限、履约或执行价格、到期日、认购(认沽)比率、权证价格、波动率。按不同的分类标准权证可分为:美式权证、欧式权证和百慕大式权证、认购权证和认沽权证、认股权证和备兑权证等。权证的价值分为两部分:内在价值和时间价值。在实际交易中,权证价格受到标的资产价格、正股价波幅、权证期限及其执行价格、市场利率和现金股利等多方面因素的影响。
第三章讲述权证市场的发展及其有效定价机制。权证起源于美国,在欧洲得到蓬勃发展,近几年在亚洲市场迅速崛起,己经成为海外各证券交易所的一类主体交易品种,并且仍在高速发展。1992年我国证券市场曾有过短暂的权证交易历史,但由于过度投机扰乱了市场秩序,1996年12月之后,管理层叫停了权证交易。我国境内权证市场的再次启动是伴随着2005年股权分置改革而来的。权证定价机制可概括为内在机制和外在机制两个方面。内在定价机制是指市场具有一种自发机制,可自行纠正错误的定价,如套利机制和卖空机制。外在机制是市场具有外在的手段,对市场价格进行调节,如做市商机制。内在定价机制主要有两种:持续发售机制和自由发行机制。创设机制与持续发售、自由发行机制一样,具有套利、卖空机制双重功能,对提高权证定价效率有重要意义。
第四章详细介绍我国的权证创设机制。我国创新试点类券商创设、注销权证,前提条件是要全额担保抵押,这套制度与海外权证市场有较大不同,以香港权证定价制度为全球权证定价制度的代表,将深、沪两市的权证创设机制与香港权证定价制度做一个比较,更直观的了解这些差异。我国的权证创设有其特殊的特点、意义和过程。权证创设本质上还是利益行为,有必要对各参与方的利益进行一个分析,便于深入理解创设的本质,主要利益方包括创设人,投资者,上市公司和非流通股股东。
第五章对权证创设机制有效性进行实证分析。首先,说明权证的分组情况,创设组和无创设组中分别包括哪些权证。对四项指标(溢价率、日内超额波动率、实际价格和理论价格的偏离度以及权证价格的隐含波动率)详细解释一番。并介绍Wilcoxon(Mann-Whitney)秩和检验方法。其次,进行实证检验。计算各项指标值,对创设组与无创设组以及创设组创设前后各项指标的平均值进行比较,并使用Wilcoxon(Mann-Whitney)秩和检验方法进行检验,分析它们是否有不同的位置参数,说明各项检验的结果。最后,得出实证检验的结论,与上海证券交易所创新实验室的研究报告结果对比分析,然后对结论进行讨论,总结本研究的局限与不足,展望未来的研究方向。
第六章给出一些我对权证创设机制的完善措施与政策建议。包括:
1、对原有权证和创设权证予以明显区分;
2、加强创设过程中创设人的透明度;
3、在适当的时候引进现金结算方式;
4、建立股票挂钩产品市场,扩大市场容量,完善配套定价机制;
5、逐步引入做市商制度;
6、在实现权证供求平衡方面,实行持续发行机制与自由发行机制;
7、引入卖空机制。
本文的主要特色之处在于:
1、目前对权证创设制度影响的研究较少,由于制度本身及证券市场的特殊性(权证发行与权证创设不同且我国证券市场不能卖空),国外研究很难照搬到国内,本文将系统地进行量化分析和实证研究。
2、运用计量经济检验、统计学、经济学等方法,从供需角度考虑,定性与定量相结合地对权证创设制度影响进行解释。
3、相对于前人的研究,本研究更具有全面性,全面纳入自2005年8月22日以来至2008年8月22日上市交易的权证。不仅仅是时间和目标权证数量上多了,更主要的是这三年市场情况变化剧烈,这样的做法是文章的结论更严谨、更可信。
4、借鉴前人的研究方法,对其进行修正、创新,而且对于研究结果的截然相反,仔细对比分析,找出其中的原因。
Since the American Light & Power Company issued the first warrant in 1911, the warrant has already become the indispensable member in the international security market. The western developed countries, Hong Kong and Taiwan have already participated in the warrant trade. In 1992, Chinese security market had the short warrant transaction history, which was stopped by governor because of excess speculation. In August 2005, the call warrant Baogang JTB1 that was issued in SSE, opened the second prologue of Chinese warrants market. On August 2005, Baogang warrant, following Baogang Steel Corporation’s equity reform plan, came into circulation. Up until now, there have already been more than 50 warrants existing in Chinese security market.
As the compensation for Circulating Shares holders in the non-tradable reform, this kind of special warrant’s issuing quantity was small and fixed. So the demand was much higher than the supply. Consequently, there was unrealistic pricing and hyper-speculations in warrants market of the SSE & SZSE. To balance the demand and supply, SAC launched the creation mechanism in November 2005 to increase the supply of warrants and depress the excessive demand which led the prices to be irrational. In theory, when there is extra demand and prices are soaring, security traders create warrants, on the contrary, when prices are falling, security traders logout warrants to reduce the supply. This mechanism maintains balance of warrant market and prevents over speculation.
However,creation system has been a controversial mechanism since it was introduced by the governor, and the debate isn’t stopped now. Whether the creation system really depressed the speculation and promoted the pricing tending to be rational? This article mainly investigates the effectiveness of the creation mechanism and factors which may influence the performance of the creation mechanism.
This text is divided into six chapters:
The first chapter is introduction, which describes the background, the purpose of the study, the summarization of the warrants market pricing efficiency at home and abroad, and this paper's methodology, innovation, research framework. Since the first warrant Baogang JTB1 has been listed on the market in 2005, there has been a serious imbalance in supply and demand, leading to excessive speculation. At this point Exchange launched the creation mechanism for the purpose of increasing the supply of warrants to keep the excessive demand that caused by irrational warrants price. However, whether the creation system in practice keeps the price stable or reduces the speculative fever? This system is full of controversy since it is launched by governor. In this paper, the empirical research was conducted on this issue. The research of efficiency of pricing warrant in foreign countries was started very early, but is was focused on the issue and listing of options due to the events of the subject securities prices, earnings volatility and the liquidity of the three aspects, and it was also the object of study basically for a single market or country-specific options. The creation system in our country is accompanied by warrants arising. Because of the short time and a number of other specialties, so far there isn’t much in-depth empirical research on the creation system. This article uses the empirical methods of study of Shanghai Stock Exchange innovative laboratory, and extends the test period, expands the number of warrants, amends the method of testing. This paper begins from the introduction of the basic knowledge, and starts further study gradually.
The second chapter introduces the basic knowledge of the warrant. The warrant contains eight essential elements: the subject matter, the price of warrants issued the expiration of the period, performance or price, the due date, the subscription (put) ratio, the price of the warrant, volatility. According to different classification criteria warrant can be divided into American, European and Bermuda warrant, call warrants and put warrants, and so on. The value of the warrants is divided into two parts: the intrinsic value and time value. In actual trading, prices of warrants is effected by the price and the price volatility of underlying asset, the period of its implementation, the executive prices, the market interest rates and the cash dividends, and other factors.
The third chapter talks about the development of the warrant and the effective pricing mechanism. The warrant was originated in the United States, and it was boomed in Europe, and had a rapid development in the Asian market in recent years, which has become one of the main types of transaction types in overseas stock market, and is still rapidly developing. In 1992, Chinese security market had the short warrant transaction history, which was stopped by governor because of excess speculation. In August 2005, the call warrant Baogang JTB1 that was issued in SSE, opened the second prologue of Chinese warrant market. Warrant pricing mechanisms include internal and external mechanism, both of which decide the efficiency of pricing warrant. The creation mechanism belongs to the internal mechanism.
The fourth chapter minutely recommends the creation mechanism. This creation mechanism has the special characteristic, the significance and the process. The creation of warrants is essential behavior of interests. That carrying out an in-depth analysis of the interests of all parties will help understanding the nature of the creation mechanism.
The fifths chapter is the empirical analysis. Using the method of the report of Shanghai Security Exchange as reference, we divide 53 warrants in Shanghai and Shenzhen security market into two groups, and investigate premium rate, daily excessive fluctuation ratio, departure to theoretical price and connotative fluctuation respectively for testifying empirically whether creation mechanism could improve the pricing efficiency.
The sixth chapter gives us some measures and policy recommendations to improve the creation mechanism and the pricing efficiency of our financial derivatives market.
最初发行上市的权证是股改权证,是非流通股大股东免费派送给流通股东的对价,因此其总量是固定不变的,缺乏供求平衡机制,而且由于权证产品的当日回转(T+0)制度、涨跌幅通常大大高于股票,极大地激发了投资者的热情,在一定条件下会成为投机炒作的首选。自从2005年首支权证宝钢JTB1认购权证上市以来,市场出现了供求严重失衡情况,过度投机导致权证价格大幅偏离其理论价值。在这种情况下,创设机制应运而生,它有助于抑制极端的供需失衡:当权证价格高估时,通过创设机制增加供应量,平抑价格,当权证价格趋于合理时,创设人可以购回注销,稳定市场价格。
然而,创设制度自从被监管层推出以来就一直广受争议,直到目前这种争论也没有停止。创设机制是否真的达到了抑制权证投机,并促使权证定价趋于合理的效果?本研究主要将从创设制度带来权证市场供求变化这一角度出发,来检验其是否提高了权证市场的有效性。
本文首先介绍了权证的基础知识,概述了权证的发展历史及其有效定价机制,然后详细的阐述创设机制。在此基础上进行实证研究,选取2005年8月22日权证市场再次启动至2008年8月22日发行上市的53只权证作为研究样本,对权证创设制度运行的有效性进行了实证研究。将样本权证分成两组,即有创设机制的(有创设组)和没有创设机制的(无创设组),然后分别统计了权证的四项指标,包括:溢价率、日内超额波动率、实际价格和理论价格的偏离度以及权证价格的隐含波动率,然后对两组各项指标的平均值进行比较,并使用Wilcoxon(Mann-Whitney)秩和检验方法进行检验,分析两组样本的总体是否有不同的位置参数。然后又针对有创设组的权证,比较其创设机制生效前后四项指标,并同样用Wilcoxon(Mann-Whitney)秩和检验方法进行检验,分析两组样本的总体是否有不同的位置参数。结果表明,创设组与无创设组从整体上定价效率都很不理想,而且从四个指标上判断,创设组中的权证并没有因为创设行为的存在而显著优于无创设组中的权证,创设组中的权证创设前也并没有因为创设行为的存在而显著优于创设后,甚至在某些指标上前者都要明显的不如后者,以上结论都通过了显著性检验。最后,对于出现的这种情况,我们针对如何完善权证创设机制,如何提高权证市场定价效率,提出一些完善措施与政策建议。
本文共分为六部分:
第一章为导论部分,主要阐述了本文的选题背景、研究目的,综述国内外对于权证市场定价效率的研究,以及本文的研究方法、创新之处、研究框架。自从2005年首支权证宝钢权证上市以来,市场出现了供求严重失衡情况,过度投机导致权证价格大幅偏离其理论价值。此时交易所推出了权证创设机制,主要目的是增加权证供应量,以平抑权证的过度需求导致的权证价格非理性。然而,创设制度在实践中是助长了投机风气还是稳定了价格减少了投机狂热?这种争论自创设制度被监管层推出以来就一直没有停止。本文针对这个问题进行实证研究。国外对于权证市场定价效率的研究开始很早,但是国外相关研究主要都集中在期权的上市发行和到期事件对标的证券价格、收益波动性以及流动性三个方面的影响,研究的对象也基本上是针对某国的单一市场或者特定期权。在我国创设制度是伴随着权证而产生的。由于市场出现时间短和其他一些特殊性,迄今为止主要学术刊物上关于权证市场创设制度的比较深入的实证研究并不多。本文借鉴上海证券交易所创新实验室的研究报告使用的实证研究方法,延长了考查期限,扩大了目标权证数量,修正了检验方法,从基础知识的介绍入手,逐步深入研究。
第二章对权证进行一个基本介绍。权证就是一项权利的证券化,投资人在支付权利金后有权于约定的期间或到期日,以约定的价格认购或沽出权证的标的资产。权证包含八个基本要素:标的物、权证发行价格、到期期限、履约或执行价格、到期日、认购(认沽)比率、权证价格、波动率。按不同的分类标准权证可分为:美式权证、欧式权证和百慕大式权证、认购权证和认沽权证、认股权证和备兑权证等。权证的价值分为两部分:内在价值和时间价值。在实际交易中,权证价格受到标的资产价格、正股价波幅、权证期限及其执行价格、市场利率和现金股利等多方面因素的影响。
第三章讲述权证市场的发展及其有效定价机制。权证起源于美国,在欧洲得到蓬勃发展,近几年在亚洲市场迅速崛起,己经成为海外各证券交易所的一类主体交易品种,并且仍在高速发展。1992年我国证券市场曾有过短暂的权证交易历史,但由于过度投机扰乱了市场秩序,1996年12月之后,管理层叫停了权证交易。我国境内权证市场的再次启动是伴随着2005年股权分置改革而来的。权证定价机制可概括为内在机制和外在机制两个方面。内在定价机制是指市场具有一种自发机制,可自行纠正错误的定价,如套利机制和卖空机制。外在机制是市场具有外在的手段,对市场价格进行调节,如做市商机制。内在定价机制主要有两种:持续发售机制和自由发行机制。创设机制与持续发售、自由发行机制一样,具有套利、卖空机制双重功能,对提高权证定价效率有重要意义。
第四章详细介绍我国的权证创设机制。我国创新试点类券商创设、注销权证,前提条件是要全额担保抵押,这套制度与海外权证市场有较大不同,以香港权证定价制度为全球权证定价制度的代表,将深、沪两市的权证创设机制与香港权证定价制度做一个比较,更直观的了解这些差异。我国的权证创设有其特殊的特点、意义和过程。权证创设本质上还是利益行为,有必要对各参与方的利益进行一个分析,便于深入理解创设的本质,主要利益方包括创设人,投资者,上市公司和非流通股股东。
第五章对权证创设机制有效性进行实证分析。首先,说明权证的分组情况,创设组和无创设组中分别包括哪些权证。对四项指标(溢价率、日内超额波动率、实际价格和理论价格的偏离度以及权证价格的隐含波动率)详细解释一番。并介绍Wilcoxon(Mann-Whitney)秩和检验方法。其次,进行实证检验。计算各项指标值,对创设组与无创设组以及创设组创设前后各项指标的平均值进行比较,并使用Wilcoxon(Mann-Whitney)秩和检验方法进行检验,分析它们是否有不同的位置参数,说明各项检验的结果。最后,得出实证检验的结论,与上海证券交易所创新实验室的研究报告结果对比分析,然后对结论进行讨论,总结本研究的局限与不足,展望未来的研究方向。
第六章给出一些我对权证创设机制的完善措施与政策建议。包括:
1、对原有权证和创设权证予以明显区分;
2、加强创设过程中创设人的透明度;
3、在适当的时候引进现金结算方式;
4、建立股票挂钩产品市场,扩大市场容量,完善配套定价机制;
5、逐步引入做市商制度;
6、在实现权证供求平衡方面,实行持续发行机制与自由发行机制;
7、引入卖空机制。
本文的主要特色之处在于:
1、目前对权证创设制度影响的研究较少,由于制度本身及证券市场的特殊性(权证发行与权证创设不同且我国证券市场不能卖空),国外研究很难照搬到国内,本文将系统地进行量化分析和实证研究。
2、运用计量经济检验、统计学、经济学等方法,从供需角度考虑,定性与定量相结合地对权证创设制度影响进行解释。
3、相对于前人的研究,本研究更具有全面性,全面纳入自2005年8月22日以来至2008年8月22日上市交易的权证。不仅仅是时间和目标权证数量上多了,更主要的是这三年市场情况变化剧烈,这样的做法是文章的结论更严谨、更可信。
4、借鉴前人的研究方法,对其进行修正、创新,而且对于研究结果的截然相反,仔细对比分析,找出其中的原因。
Since the American Light & Power Company issued the first warrant in 1911, the warrant has already become the indispensable member in the international security market. The western developed countries, Hong Kong and Taiwan have already participated in the warrant trade. In 1992, Chinese security market had the short warrant transaction history, which was stopped by governor because of excess speculation. In August 2005, the call warrant Baogang JTB1 that was issued in SSE, opened the second prologue of Chinese warrants market. On August 2005, Baogang warrant, following Baogang Steel Corporation’s equity reform plan, came into circulation. Up until now, there have already been more than 50 warrants existing in Chinese security market.
As the compensation for Circulating Shares holders in the non-tradable reform, this kind of special warrant’s issuing quantity was small and fixed. So the demand was much higher than the supply. Consequently, there was unrealistic pricing and hyper-speculations in warrants market of the SSE & SZSE. To balance the demand and supply, SAC launched the creation mechanism in November 2005 to increase the supply of warrants and depress the excessive demand which led the prices to be irrational. In theory, when there is extra demand and prices are soaring, security traders create warrants, on the contrary, when prices are falling, security traders logout warrants to reduce the supply. This mechanism maintains balance of warrant market and prevents over speculation.
However,creation system has been a controversial mechanism since it was introduced by the governor, and the debate isn’t stopped now. Whether the creation system really depressed the speculation and promoted the pricing tending to be rational? This article mainly investigates the effectiveness of the creation mechanism and factors which may influence the performance of the creation mechanism.
This text is divided into six chapters:
The first chapter is introduction, which describes the background, the purpose of the study, the summarization of the warrants market pricing efficiency at home and abroad, and this paper's methodology, innovation, research framework. Since the first warrant Baogang JTB1 has been listed on the market in 2005, there has been a serious imbalance in supply and demand, leading to excessive speculation. At this point Exchange launched the creation mechanism for the purpose of increasing the supply of warrants to keep the excessive demand that caused by irrational warrants price. However, whether the creation system in practice keeps the price stable or reduces the speculative fever? This system is full of controversy since it is launched by governor. In this paper, the empirical research was conducted on this issue. The research of efficiency of pricing warrant in foreign countries was started very early, but is was focused on the issue and listing of options due to the events of the subject securities prices, earnings volatility and the liquidity of the three aspects, and it was also the object of study basically for a single market or country-specific options. The creation system in our country is accompanied by warrants arising. Because of the short time and a number of other specialties, so far there isn’t much in-depth empirical research on the creation system. This article uses the empirical methods of study of Shanghai Stock Exchange innovative laboratory, and extends the test period, expands the number of warrants, amends the method of testing. This paper begins from the introduction of the basic knowledge, and starts further study gradually.
The second chapter introduces the basic knowledge of the warrant. The warrant contains eight essential elements: the subject matter, the price of warrants issued the expiration of the period, performance or price, the due date, the subscription (put) ratio, the price of the warrant, volatility. According to different classification criteria warrant can be divided into American, European and Bermuda warrant, call warrants and put warrants, and so on. The value of the warrants is divided into two parts: the intrinsic value and time value. In actual trading, prices of warrants is effected by the price and the price volatility of underlying asset, the period of its implementation, the executive prices, the market interest rates and the cash dividends, and other factors.
The third chapter talks about the development of the warrant and the effective pricing mechanism. The warrant was originated in the United States, and it was boomed in Europe, and had a rapid development in the Asian market in recent years, which has become one of the main types of transaction types in overseas stock market, and is still rapidly developing. In 1992, Chinese security market had the short warrant transaction history, which was stopped by governor because of excess speculation. In August 2005, the call warrant Baogang JTB1 that was issued in SSE, opened the second prologue of Chinese warrant market. Warrant pricing mechanisms include internal and external mechanism, both of which decide the efficiency of pricing warrant. The creation mechanism belongs to the internal mechanism.
The fourth chapter minutely recommends the creation mechanism. This creation mechanism has the special characteristic, the significance and the process. The creation of warrants is essential behavior of interests. That carrying out an in-depth analysis of the interests of all parties will help understanding the nature of the creation mechanism.
The fifths chapter is the empirical analysis. Using the method of the report of Shanghai Security Exchange as reference, we divide 53 warrants in Shanghai and Shenzhen security market into two groups, and investigate premium rate, daily excessive fluctuation ratio, departure to theoretical price and connotative fluctuation respectively for testifying empirically whether creation mechanism could improve the pricing efficiency.
The sixth chapter gives us some measures and policy recommendations to improve the creation mechanism and the pricing efficiency of our financial derivatives market.
引文
4《新帕尔格雷夫经济学大辞典》,第2卷,第346页
(1)Nicolas P.B.Bollen,A note on the impact of options on stock return volatility,Journal of Banking&Finance,1998(9)
(2)Draper,Paul,The Derivative Warrant Market in Hong Kong:Relationships with Underlying Assets,Journal of Derivatives,2001(4)
(3)Trevor Chamberlain,Sherman Cheung,Clarence C.Y.Kwan,Options listing,market liquidity and stock behavior:some Canadian evidence,Journal of Business Finance& Accounting,1993(9)
(4)K.C.Chen,Lifan Wu,Introduction and expiration effects of derivative equity warrants in Hong Kong,International Review of Financial Analysis, 2001(10)
(5)Chan,Y.,Wei,K.C.J,Price and volume effects associated with listings and expirations of derivative warrants on the Stock Exchange of Hong Kong ,working paper,1997
(6)桂浩明,创设权证对权证与股价波动将起收作用,证券导刊,2005(44)
(7)邱小平,创设机制带来的利益博弈,上海证券报,2005.11
(8)曲丽,券商在权证创设中的套利操作,证券导刊,2005(44)
(9)刘逖,叶武,创设机制与我国权证市场定价效率研究,证券时报,2006.9
(10)舒薇,权证创设风波,法人,2006年第1期
(11)胡延平,关于权证创设的利益分析和制度比较,证券之窗,2006(3)
(12)陈苏君,关于我国新兴金融工具权证的研究,对外经济贸易大学硕士学位论文,2006.4
(13)解学成,我国权证市场创设与注销机制研究,资本市场,2007
(14)范金城,梅长林,数据分析,第1版,科学出版社,2002
(15)勒中鑫,应用统计信息分析与例题解,第1版,国防工业出版社,2006
(16)阮桂海,数据统计与分析——SPSS应用教程,第1版,北京大学出版社,2005
(17)温媛洁,权证市场创设制度绩效研究,证券市场导报,2007年2月号
(18)上交所,创设机制与我国权证市场定价效率研究,上海证券交易所研究报告,2006.
(19)王安兴,丁峰,沪深权证价格偏离分析,广东金融学院学报,2007(4)
(20)方曙红,雷冰,创设人在创设武钢权证中的套利机会,经济与金融,2006(3)
(21)谭利勇,权证对投资者投资偏好影响的实证研究,证券市场导报,2006.10
(22)张靖,重设型备兑权证的避险策略问题研究,武汉金融,2006(6)
(23)高春涛,王庆仁,认股权证的发展及影响,证券市场导报,2002. 5
(24)贾晓梅,备兑权证及其在我国发行的可行性,上海金融,1997(7)
(25)江利,认股权证与备兑权证:异同比较,陕西金融,1997(7)
(26)祝立群,试析认股权证和备兑权证的功用和区别,海南金融,1996(11)
(27)赵玉林,刘建文,备兑权证市场的收益风险分析,武汉理工大学学报,2001.7
(28)俞言,06年权证:继续向理性回归,股市动态分析,2006(4)
(29)王雪涛,毛启盈,创设机制将权证打回原形,财富时报,2005.12
(30)海通证券权证小组,创设机制引领权证投资回归理性,上海证券报,2005.11
(31)桂浩明,创设权证难改市场供求关系,国际金融报,2005.11
(32)齐力,创设权证引发四大关注,证券时报,2005.11
(33)刘颖辉,我国认股权证的价格分析,对外经济贸易大学硕士学位论文,2006.4
(34)吴祖尧,我国应尽快推出备兑认股权证,经济导刊,2004(7)
(35)焦凯,中国内地权证的实证研究,博士学位论文,复旦大学,2007
(36)李青吉,沪深市场权证定价问题研究,硕士学位论文,中国社会科学院,2007
(37)王璐,创设机制降低权证市场整体风险,上海证券报,2007.8(2)
(38)吴林样,我国证券市场引入做市商制度研究,.深交所研究报告,2005.12
(39)赵红,关于券商创设权证的收益分析与风险评价,硕士学位论文,大连理工大学,2007
(40)钟欣,权证知识普及教育:再谈权证创设制度,中国证券报,2007.12
(41)樊丰,创设机制对权证定价效率的影响的实证研究,硕士学位论文,对外经济贸易大学,2007.4
(42)上海证券交易所,关于证券公司创设武钢权证有关事项的通知,2005.11.21
(43)深圳证券交易所,关于证券公司创设权证有关事项的通知,2005.12.2
(44)上海证券交易所,权证手工创设与注销办理流程指引,2007.6.30
(1)Nicolas P.B.Bollen,A note on the impact of options on stock return volatility,Journal of Banking&Finance,1998(9)
(2)Draper,Paul,The Derivative Warrant Market in Hong Kong:Relationships with Underlying Assets,Journal of Derivatives,2001(4)
(3)Trevor Chamberlain,Sherman Cheung,Clarence C.Y.Kwan,Options listing,market liquidity and stock behavior:some Canadian evidence,Journal of Business Finance& Accounting,1993(9)
(4)K.C.Chen,Lifan Wu,Introduction and expiration effects of derivative equity warrants in Hong Kong,International Review of Financial Analysis, 2001(10)
(5)Chan,Y.,Wei,K.C.J,Price and volume effects associated with listings and expirations of derivative warrants on the Stock Exchange of Hong Kong ,working paper,1997
(6)桂浩明,创设权证对权证与股价波动将起收作用,证券导刊,2005(44)
(7)邱小平,创设机制带来的利益博弈,上海证券报,2005.11
(8)曲丽,券商在权证创设中的套利操作,证券导刊,2005(44)
(9)刘逖,叶武,创设机制与我国权证市场定价效率研究,证券时报,2006.9
(10)舒薇,权证创设风波,法人,2006年第1期
(11)胡延平,关于权证创设的利益分析和制度比较,证券之窗,2006(3)
(12)陈苏君,关于我国新兴金融工具权证的研究,对外经济贸易大学硕士学位论文,2006.4
(13)解学成,我国权证市场创设与注销机制研究,资本市场,2007
(14)范金城,梅长林,数据分析,第1版,科学出版社,2002
(15)勒中鑫,应用统计信息分析与例题解,第1版,国防工业出版社,2006
(16)阮桂海,数据统计与分析——SPSS应用教程,第1版,北京大学出版社,2005
(17)温媛洁,权证市场创设制度绩效研究,证券市场导报,2007年2月号
(18)上交所,创设机制与我国权证市场定价效率研究,上海证券交易所研究报告,2006.
(19)王安兴,丁峰,沪深权证价格偏离分析,广东金融学院学报,2007(4)
(20)方曙红,雷冰,创设人在创设武钢权证中的套利机会,经济与金融,2006(3)
(21)谭利勇,权证对投资者投资偏好影响的实证研究,证券市场导报,2006.10
(22)张靖,重设型备兑权证的避险策略问题研究,武汉金融,2006(6)
(23)高春涛,王庆仁,认股权证的发展及影响,证券市场导报,2002. 5
(24)贾晓梅,备兑权证及其在我国发行的可行性,上海金融,1997(7)
(25)江利,认股权证与备兑权证:异同比较,陕西金融,1997(7)
(26)祝立群,试析认股权证和备兑权证的功用和区别,海南金融,1996(11)
(27)赵玉林,刘建文,备兑权证市场的收益风险分析,武汉理工大学学报,2001.7
(28)俞言,06年权证:继续向理性回归,股市动态分析,2006(4)
(29)王雪涛,毛启盈,创设机制将权证打回原形,财富时报,2005.12
(30)海通证券权证小组,创设机制引领权证投资回归理性,上海证券报,2005.11
(31)桂浩明,创设权证难改市场供求关系,国际金融报,2005.11
(32)齐力,创设权证引发四大关注,证券时报,2005.11
(33)刘颖辉,我国认股权证的价格分析,对外经济贸易大学硕士学位论文,2006.4
(34)吴祖尧,我国应尽快推出备兑认股权证,经济导刊,2004(7)
(35)焦凯,中国内地权证的实证研究,博士学位论文,复旦大学,2007
(36)李青吉,沪深市场权证定价问题研究,硕士学位论文,中国社会科学院,2007
(37)王璐,创设机制降低权证市场整体风险,上海证券报,2007.8(2)
(38)吴林样,我国证券市场引入做市商制度研究,.深交所研究报告,2005.12
(39)赵红,关于券商创设权证的收益分析与风险评价,硕士学位论文,大连理工大学,2007
(40)钟欣,权证知识普及教育:再谈权证创设制度,中国证券报,2007.12
(41)樊丰,创设机制对权证定价效率的影响的实证研究,硕士学位论文,对外经济贸易大学,2007.4
(42)上海证券交易所,关于证券公司创设武钢权证有关事项的通知,2005.11.21
(43)深圳证券交易所,关于证券公司创设权证有关事项的通知,2005.12.2
(44)上海证券交易所,权证手工创设与注销办理流程指引,2007.6.30