摘要
本文研究了权证发行对于正股定价效率的影响。以正股日收益率为研究对象,运用GARCH-M模型、带虚拟变量的市场模型以及自相关回归方程分析了在权证上市前后正股总风险、系统性风险、收益率自相关性的变化。实证结果表明:权证上市交易提高了正股的总风险,对系统性风险的影响不十分明确;正股收益率变化不显著;正股日收益率自相关性不显著地减弱。股票定价效率并未得到显著提高。本文认为原因可能来自于信息的负外部性、市场过强的投机性和创设制度本身的缺陷。
This paper analyze the impact of China listed warrants on the pricing efficiency of underlying stocks. The paper uses profit margin of underlying stocks and GARCH-M Model, market model with dummy variances and autoregressive process to analyze the disparity of system risk, total risk and autocorrelation coefficient before and after listing of warrants. Studies reveal that, total risk of underlying stocks is raised. But there is not significant change in system risk and autocorrelation coefficient after listing of warrants. The effect of warrants to enhance pricing efficiency of underlying stocks is not obvious. This might be attributed to the negative externality of information, strong speculation in the market and defects of the current warrant issuing system.
基金
新形势下防范金融风险研究(08BJY155)
