认购权证溢价率与上证指数波动关系的实证研究

Empirical Research of the Fluctuation Relationship Between Call Warrant's Premium Rate and Shanghai Composite Index

作为中国证券市场的创新产品,权证从推出就成为市场投资者和金融研究者关注的焦点。运用单位根检验、协整检验以及面板数据模型等计量经济学方法,对A股权证市场上的认购权证的溢价率和上证综合指数波动的关系进行了实证研究,结果表明,认购权证溢价率和上证综合指数之间的波动存在着明显的反向关系:当权证溢价率不断降低并到达一个相对低点后,上证指数将由上涨转为下跌;当权证溢价率不断提高并到达一个相对高点后,上证指数将由下跌转为上涨,这样一种关系,就给股票和权证投资提供了一种比较有效的判断大盘走势的方法。

As an innovative product in China stock market, warrants became the focus which financial researchers and investors had paid attention to from the word go. Based on the unit root tests, co -integration tests and models for panel data, this paper empirically researches the fluctuation relationship between call warrant＇s premium rate and the fluctuation ratio of Shanghai Composite Index. The empirical result shows they fluctuate in the opposite direction obviously. When premium rate down to a relatively low point, the index will turn to go down; when premium rate up to a relatively high point, the index will turn to rise. The fluctuation relationship can be used to judge the trend of index effectively.