中国权证与标的证券的价格协整分析

Co-integration Analysis on Prices of Warrants and Underlying Target Stocks in China

基于研究时间序列的协整理论与ECM模型,对中国权证与其标的证券之间的价格协整关系进行了分析,以探索权证与其标的证券之间的长期均衡关系和对短期失衡的纠正机制。实证研究结果发现,权证价格与标的证券价格都是存在单位根的非平稳序列,都是一阶单整的;不同的认购权证价格与其标的证券价格的均衡关系存在一定的差异;不同的权证价格偏离其长期均衡水平时,其误差修正项将以不同的速率进行调节,使其价格逐渐回归到其长期均衡水平;权证市场和股票市场之间存在信息不对称效应。

Co - integration relationship of prices between warrants and their underlying target stocks in China is analyzed based on co- integration theory and ECM of researching time series in the paper, in order to explore their long- term equilibrium relationships and short- term imbalance corrections. The empirical study result shows that both prices of warrants and prices of underlying stocks are non - stationary series of unit root which are integrated of order one, and the equilibrium relationships on prices of different call warrants and prices of their underlying target stocks are different, and when prices of different warrants deviate from their long- term equilibrium level, their error correction will regulate by different speeds to gradually return their prices to the long - term equilibrium level, and there are information asymmetry effects between warrants market and stocks market.