中国权证市场认购权证的价格偏误研究

Call Warrants on the China Security Market:Pricing Biases

使用Black-Scholes模型对中国权证市场上发行的认购权证进行了研究。研究表明,总体上权证的市场价格高于其模型价格80.38%(历史波动率参数的B/S模型)和140.50%(E-GARCH波动率参数的B/S模型);另一方面,随着时间的推移,市场价格和模型价格之间的偏误有减小的趋势。此外,研究还发现,2006年底至今,部分认购权证的市场价格不仅低于其模型价格,而且低于其价格下限。这似乎违反了无套利原则,但中国市场交易机制的限制(股票卖空限制、股票T+1交易机制)使得这一现象得以较长时间存在。当权证的市场价格低于其价格下限时,在特定的情况下,套利交易可以进行。

This paper examines the price performance of call warrants on the China security market. A recent sample of the daily call warrant prices observed during the period from August 2005 to March 2007 is used. On average,we find that the observed market prices are irrationally higher than the Black-Scholes model prices by 80.38%（using the 180-day history volatility）and 140.50%（using the EGARCH volatility）. Besides,we find that some of call warrant prices are,not only lower than model prices,but also anomalously below the lower bounds recently. It seems to violate the ＂no arbitrage＂ principle. Among the convincing reasons, our findings indicate that trading mechanism constraints on the China security market prevent rational investors driving the prices of these call warrants to a reasonable level. Arbitrage chances exist in some specific cases when some call warrant prices are below their lower bounds.