集合竞价与连续竞价机制下权证价格行为的分析

Analysis on Option Price Behavior under Mechanism of Call and Continuous Auction

本文运用价格调整模型,对比分析了集合竞价和连续竞价机制对权证开盘价收益率和收盘价收益率的影响。研究表明:在深沪两市收盘采取不一致的竞价方式的情况下,深沪两市权证价格行为存在较大差异。深市权证开盘价收益率与收盘价收益率的方差比值、最小值以及最大值比值的均值均大于沪市权证相应比值的均值,而峰度比值、偏度比值和一阶自相关系数比值的均值则相反,这表明竞价机制影响了权证价格行为的变动。

This paper, applying price-adjustment model, studies the influence of call auction and：continuous auction on the opening and closing earning rates. The research shows that Shanghai and Shenzhen Stock Exchanges adopt two different bidding mechanisms, so their warrant price behaviors are obviously different. The variance ratio of the opening earning rate and the closing earning rate, the average ratio of the maximum and the minimum in Shenzhen Stock Exchange are greater than the counterpart values of Shanghai, on the other hand, the average ratio of Kurtosis and Skewness, and the first-order autocorrelation coefficient are reverse, which means the bidding mechanism has significant influence on warrant price behavior volatility.