我国权证及标的证券日内交易模式研究——以五粮液为例

China warrant and target security trading mode research——take Wulian spirits as example

本文对五粮液正股(000858)及权证日内交易模式进行了实证研究,结果表明五粮液正股的波动率(L型)和交易量(U型)日内模式不同,认购权证均呈L型模式,认沽权证均呈U型模式;对正股和权证日内波动率进行的GRANGER检验表明,正股波动率是导致认购权证日内波动率形成的原因,但不是导致认沽权证的原因。文中对我国市场呈现这种日内交易模式的原因进行了初步探讨,认为主要是由于中国股票市场和权证市场所执行交易制度的不同和较高的交易成本。

This paper studies the intraday trading patterns in trading volume, price volatility of the stock and warrants of WU LIANG-YE. The volatility of the stock appears L-shaped and the volume appears U-shaped. And the call warrant intraday trading patterns is L-shaped, the put warrant is U-shaped in both volume and volatility. The Granger causality test on stock and warrant shows that the volatility of the stock is the Granger causality of the call warrant but is not the Granger causality of the put warrant. We think that the different rules between stock markets and warrant markets and higher trading cost in stock markets are the main reasons which make the intraday trading patterns different.