我国认购权证负溢价问题研究

A Research on the Negative Warrant Price Premium of the Call Warrants in China

从理论上讲,认购权证的价格应高于其内在价值,即认购权证溢价应为正。然而从实际情况来看,我国的认购权证在2007年却大量出现负溢价的情况。本文将从套利者、投资者、投机者的角度以及权证市场参与者共同存在的一些限制等方面对我国认购权证出现负溢价的问题进行解释,并给出诸如以发行美式认购权证等方法解决这一问题的政策建议。

Theoretically, the price of the call warrant should be higher than its internal value and thus the price premium of the call option should be positive. However, an empirical study of Chinese call warrants traded in 2007 showed that many of them exhibited negative price premium. How to explain the controversy between the theory and the reality in our warrant market？ The paper will give explanations from the perspective of arbitragers, investors and speculators as well as the limitations faced by the participants of our warrant market. Meanwhile, suggestions such as issuing more American call warrants will be given to help solve the problem.