权证的杠杆效应研究——基于双对数模型的实证检验分析

Research into the Leverage Effect of Chinese Option Markets:A Double Logarithmic Model Empitical Analysis

利用Black—Scholes期权定价格公式从理论上分析权证的杠杆效应,然后运用双对数模型对我国市场中权证的杠杆效应进行实证性检验分析,得出结论:我国市场中的交易权证的杠杆效应与理论分析基本相符,但是某些权证存在被恶性操纵的情况,这些权证在后市中可能存在较大的风险。

Based on the thecretical analysis of the leverage effect of option by means of the black-Scholes＇ option pricing formula, as well as a double logarithmic model empirical an Fslysis of the leverage effect of Chinese option markets, we draw a conclusion that the leverage effect of Chinese option markets is basically in accordance with the theoretical analysis. However there are a few options which might be at high risk in the future in case of evil manipulation.