This paper screens five pairs of call walTants/put warrants with the same listing date and final exercise date from domestic delisted wattant, and collects and processes relevant statistic in warrant market and stock ...This paper screens five pairs of call walTants/put warrants with the same listing date and final exercise date from domestic delisted wattant, and collects and processes relevant statistic in warrant market and stock market. Because inconformity of strike price between call warrants/put warrants in domestic warrant market, and regarding the strike price of put warrants as standard, this paper takes advantage of BSM formula recalculates the price of call warrants, and carries out verification of option parity relations by regression analysis and Wilcoxon＇s Sign Rank Test. From a theoretical point of view, homogenous call warrants/put warrants should satisfy the parity relations. However, due to the lack of short sales mechanism in domestic warrant market and stock market, the empirical results indicate that domestic warrant market can＇ t meet the option parity relations.展开更多
文摘This paper screens five pairs of call walTants/put warrants with the same listing date and final exercise date from domestic delisted wattant, and collects and processes relevant statistic in warrant market and stock market. Because inconformity of strike price between call warrants/put warrants in domestic warrant market, and regarding the strike price of put warrants as standard, this paper takes advantage of BSM formula recalculates the price of call warrants, and carries out verification of option parity relations by regression analysis and Wilcoxon＇s Sign Rank Test. From a theoretical point of view, homogenous call warrants/put warrants should satisfy the parity relations. However, due to the lack of short sales mechanism in domestic warrant market and stock market, the empirical results indicate that domestic warrant market can＇ t meet the option parity relations.
