本文選題：認(rèn)沽權(quán)證 + 泡沫��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：中國(guó)證券監(jiān)督管理委員會(huì)在2005年8月重新啟動(dòng)權(quán)證市場(chǎng),引入一小批權(quán)證進(jìn)入市場(chǎng)交易,以此為打開(kāi)中國(guó)金融衍生品市場(chǎng)、向中國(guó)證券市場(chǎng)提供更多投資工具的第一步。從某種程度上說(shuō),股票權(quán)證被認(rèn)為是與上市公司發(fā)行的股票期權(quán)相類似的一種投資工具,它在一定程度上豐富了投資工具的種類、擴(kuò)展了整個(gè)金融市場(chǎng)。 對(duì)于中國(guó)內(nèi)地權(quán)證市場(chǎng)而言,權(quán)證的理論價(jià)格與市場(chǎng)價(jià)格的差距較大,即使是有資格的證券公司依照有關(guān)規(guī)定大量創(chuàng)設(shè)權(quán)證,也沒(méi)能有效地使市場(chǎng)價(jià)格回歸到理論價(jià)格水平。資產(chǎn)的市場(chǎng)價(jià)格超過(guò)其理論價(jià)格的部分為泡沫,那么權(quán)證市場(chǎng)價(jià)格超過(guò)其理論價(jià)格的部分即為權(quán)證的泡沫。在計(jì)算出了所有權(quán)證的理論價(jià)格以后,本文發(fā)現(xiàn)在2005年11月至2007年10月這段時(shí)間內(nèi),內(nèi)地股市一直處于上漲趨勢(shì)中,按照理論認(rèn)沽權(quán)證是沒(méi)有投資價(jià)值的,但實(shí)際情況是大多數(shù)認(rèn)沽權(quán)證在這段時(shí)間內(nèi)仍然存在明顯的泡沫。所以,本文選擇認(rèn)沽權(quán)證單獨(dú)作為研究對(duì)象,研究到底是那些原因?qū)е铝苏J(rèn)沽權(quán)證泡沫的形成和助長(zhǎng)了認(rèn)沽泡沫的增大。本文的研究試圖對(duì)認(rèn)沽權(quán)證的泡沫的進(jìn)行測(cè)度、通過(guò)實(shí)證分析來(lái)研究影響認(rèn)沽權(quán)證泡沫的各種因素,給政策制定者提供可行的建議,使我國(guó)的權(quán)證市場(chǎng)運(yùn)行的更為有效。 雖然中國(guó)內(nèi)地證券市場(chǎng)中最后一支權(quán)證——長(zhǎng)虹CWBl已于2011年8月12日到期,目前證券市場(chǎng)中已沒(méi)有權(quán)證在上市交易,但是縱觀發(fā)達(dá)國(guó)家金融市場(chǎng)便知,權(quán)證作為一種重要的金融衍生工具,將來(lái)還是會(huì)重新回到證券市場(chǎng)的,現(xiàn)在提出一些可行性建議,為未來(lái)權(quán)證的重新發(fā)行是非常有意義的。 本文選取了2005年以來(lái)上市交易的所有權(quán)證為對(duì)象,使用Black-Scholes模型對(duì)歐式權(quán)證的理論價(jià)格進(jìn)行了計(jì)算、使用二叉樹(shù)模型對(duì)美式權(quán)證和百慕大權(quán)證的理論價(jià)格進(jìn)行了計(jì)算,還對(duì)整個(gè)內(nèi)地權(quán)證市場(chǎng)進(jìn)行了描述性統(tǒng)計(jì)分析,發(fā)行權(quán)證市場(chǎng)的日交易量和換手率都十分高,說(shuō)明了市場(chǎng)交易異常活躍。 在2005年11月至2007年10月這段時(shí)間內(nèi),A股市場(chǎng)一直處于上漲的趨勢(shì),按照理論,在整個(gè)股票向上的趨勢(shì)中認(rèn)沽權(quán)證是沒(méi)有投資價(jià)值的,但實(shí)際情況卻是大多數(shù)認(rèn)沽權(quán)證的市場(chǎng)價(jià)格要遠(yuǎn)遠(yuǎn)高于其理論價(jià)格,投資者對(duì)于認(rèn)沽權(quán)證的投資情緒依舊很高。鑒于出現(xiàn)了這種特殊的現(xiàn)象,本文選擇認(rèn)沽權(quán)證單獨(dú)作為研究樣本,以認(rèn)沽權(quán)證的市場(chǎng)價(jià)格和理論價(jià)格的差為認(rèn)沽權(quán)證的泡沫絕對(duì)值、泡沫絕對(duì)值與理論價(jià)格的比作為權(quán)證的相對(duì)值。 然后,本文對(duì)認(rèn)沽權(quán)證泡沫絕對(duì)值和相對(duì)值的影響因素進(jìn)行了實(shí)證分析,選取流動(dòng)性、市場(chǎng)價(jià)格的波動(dòng)性、生命周期、權(quán)證市場(chǎng)的流通量以及券商創(chuàng)設(shè)權(quán)證為解釋變量分別進(jìn)行了面板數(shù)據(jù)的回歸,并建立了多元面板回歸模型。實(shí)證分析的結(jié)果表明：認(rèn)沽權(quán)證泡沫的絕對(duì)值和相對(duì)值都和權(quán)證的流動(dòng)性、市場(chǎng)價(jià)格的波動(dòng)性呈顯著正相關(guān)關(guān)系,都和權(quán)證的生命周期、市場(chǎng)整體流通量呈顯著負(fù)相關(guān)關(guān)系：特別的,券商的創(chuàng)設(shè)機(jī)制能夠有效地減小認(rèn)沽權(quán)證泡沫的絕對(duì)大小,但是對(duì)于泡沫的相對(duì)大小,卻并沒(méi)有顯著影響。 最后,根據(jù)實(shí)證研究結(jié)果,本文提出了一些政策建議,以期望將來(lái)權(quán)證重新回到證券市場(chǎng)時(shí),這些政策能夠在一定程度上抑制權(quán)證泡沫的形成或減小權(quán)證泡沫的程度,使得整個(gè)內(nèi)地的權(quán)證市場(chǎng)走向更加理性化的方向。
[Abstract]:In August 2005 , the China Securities Regulatory Commission has introduced a small number of warrants to enter into market transactions to provide more investment tools to China ' s securities market in order to open China ' s financial derivatives market . In a certain degree , the stock warrants are considered to be an investment vehicle similar to the stock options issued by listed companies , which , to some extent , enriches the kind of investment tools and expands the whole financial market .

In the case of China ' s inland warrants market , the gap between the theory price of warrants and market price is relatively large , even if it is a qualified securities firm that has set a large number of warrants in accordance with the relevant regulations , it can not effectively return the market price to the theoretical price level .

Although China ' s last warrant _ Changhong CWBI expires on August 12 , 2011 , there is no warrant in the stock market in the present stock market . However , in the developed country financial markets , the warrants act as an important financial derivative instrument . In the future , it will be returned to the securities market , and some feasible suggestions are put forward to make it very meaningful for the re - issuance of future warrants .

In this paper , we have selected the warrants for listing transactions since 2005 , calculated the theoretical prices of European warrants using Black - Black model , calculated the theoretical prices of American warrants and Bermuda warrants by using the binary tree model , and also conducted a descriptive statistical analysis on the whole Mainland ' s warrants market . The daily trading volume and turnover rate of the issuing warrants market are very high , which illustrates the abnormal activity of market transactions .

In the period from November 2005 to October 2007 , the A - share market has been in the upward trend . According to the theory , the market price of the whole stock upward trend is not of investment value , but the actual situation is that the market price of the majority of the warrants is far higher than the theoretical price , and the investor ' s investment sentiment is still very high . In view of the special phenomenon , this paper chooses to consider the difference between the market price and the theoretical price of the warrants as the absolute value of the foam , the ratio of the absolute value of the foam and the theoretical price as the relative value of the warrant .

The empirical analysis shows that the absolute value and relative value of the market price are positively correlated with the liquidity of warrants , and the volatility of market price is positively correlated with the life cycle of warrants .

Finally , according to the results of the empirical research , this paper puts forward some policy suggestions , which can restrain the formation of the warrant bubble or decrease the degree of warrant bubbles to a certain extent , so that the warrants market in the Mainland is more rational .

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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