摘要
本文采用Black-Scholes模型分析了中国权证市场存在的定价错误和价格泡沫现象。发现在牛市阶段有近30%的认购权证定价低于其内在价值,同时还发现权证隐含波动率显著超过正股实际波动率。通过对市场因素、正股因素及权证因素的回归分析,本文认为造成两种对立现象并存的原因在于套利机制的缺失造成的正股市场和权证市场脱节,以及权证交易者显著的非理性行为。
We employ Black-Scholes Model in analysis of option underpricing and bubbles in China market. Our results indicate that there are about 30% of call options priced under their intrinsic values in bull market, while for others, implied volatilities are significantly higher than the realized volatility of underlying stock returns. By regression on proxy variables of overall market, underlying stocks and options, we consider that the reasons behind the coexistence of underpricing and bubbles are decoupling of stock market and option market caused by the inexistence of arbitrage mechanism, as well as significant irrational trading behavior of option investors.
出处
《南方经济》
CSSCI
北大核心
2009年第3期21-31,共11页
South China Journal of Economics
关键词
权证
期权
波动率
泡沫
Warrant
Option
Volatility
Bubble
