权证发行对标的股票价格风险影响的实证研究

The Impact of Warrant Introduction on Underlying Securities Risks

研究权证发行对标的证券价格风险的影响,对研究资本市场的有效性及权证定价等方面具有重要的意义。目前我国已经发行的备兑权证,运用资本资产定价模型(CAPM)和GARCH-M模型,探讨权证的发行时正股的无风险报酬、系统性风险(Beta)和总风险(报酬率波动性)是否有显著影响。实证结果表明,无论是认购权证、认沽权证,还是蝶式权证的发行对正股的无风险报酬、系统性风险的影响基本上均不显著,但对半数以上发行权证的股票的总风险有显著影响。抑制权证市场的投机性,发挥其本身应发挥的价格发现功能、促进股票的流动性、降低股价波动性等的功能,就必须从风险相互对冲的角度,循序渐进地大力发展权证等衍生产品的规模,促进衍生品市场健康、有序地发展。

The impact of warrant introduction on the underlying securities is vital to the understanding ot secunties market behavior, and important in terms of market efficiency and pricing. The paper examines such impact on the underlying securities＇risk -free return, systematic risk and total risk by using the methods of CAPM model and GARCH - M model. The empirical result indicates in significant change in risk- free return, systematic risk. However, there is a significant yet small change in total risk for more than half of the sample. The paper analyzes the empirical result, pointing out that China should develop the derivatives market by considering the factors of risk hedging so as to control speculation and improve price discovering, promoting liquidity and reducing volatility of underlying assets.