摘要
权证是基于标的股票产生的一种金融衍生产品,其与标的股票之间存在联动关系,因此,权证上市会对标的股票产生一定的影响。本文将通过EGARCH模型研究权证上市前后标的股票波动性的变化,据此探讨权证上市给标的股票波动性带来何种影响。
Warrant is one of the financial derivative products based on object and connected with underlying stock.Therefore,the entrance of warrant into the market will have some effect on the underlying stock.In order to study the impact of warrants listing on the volatility of the underlying stocks,I use the EGARCH model introducing a dummy variables to estimate it.
出处
《价值工程》
2011年第16期156-156,共1页
Value Engineering
关键词
权证上市
标的股票
波动性
warrants listing
underlying stock
volatility
