内地权证到期对标的股票影响的实证分析

Empirical analysis about the expiration effects of warrants on the underlying securities in mainland

对权证到期时对标的股票成交量、股价及超常收益率进行了实证分析。分析结果表明:认股权证在行权时标的股票成交量有所放大,但股票价格并没有波动;在股票市场这一轮牛市的作用下,认沽权证到期时都属于价外权证,没有行权可能,因此,对标的股票价格及成交量不产生影响。

This paper empirically examines the impacts of expiration of equity warrants on both abnormal returns rate and trading volume of the underlying securities of mainland warrants. It is shown that the expiration of call warrants causes no fluctuations on the price of underlying securities and enlarged in spite of the increasing of trading volume. Under the round of bull market, all of the put warrants are out of money and impossible to exercise. Therefore, they cause no effects on underlying securities.