摘要
为了研究权证创设制度对市场的影响,本文构建了一个包括理性投资者、理性投机交易者和噪声交易者三种市场参与者的权证市场均衡模型,并利用权证市场推出后沪市所有交易数据对该模型进行了估计,同时比较了创设制度对不同权证种类的影响,分析了创设制度对标的股票价格行为的作用。本文发现,创设制度的引入对认沽权证的价格稳定作用超过对认购权证的价格稳定作用;权证的出现使得股票市场价格波动性变小,但创设制度却使得股票市场的波动性增大。
To analyze the impact of creation institutions in warrant market, we construct a warrant market equilibrium model including rational investor, rational speculator and noise trader. Then we use the trading data in Shanghai market to assess this model, and compare the different impact of creation institution on put and call warrants, investigate the influence of this institution on related stock price behavior. The basic findings are： Stabilization effect of creation institution on put warrants is more obvious than on call warrants. And warrants reduce overall price volatility in stock market, while creation institution increases volatility.
出处
《证券市场导报》
CSSCI
北大核心
2007年第2期11-18,共8页
Securities Market Herald
关键词
权证市场
创设制度
噪声交易者
股价波动性
warrant market
creation institution： noise trader
price volatility
