摘要
分析了中国证券市场上影响权证价格的因素,包括基本的影响因素:正股的价格和波动性、权证历史价格、成交量、权证成交量和权利期间,另外根据中国市场的特性这里首次加入了权证溢价、市场的羊群效应和杠杆效应对其综合分析。通过神经网络和多元回归统计等模型研究了各个影响因素对已经到期的宝钢、万科等5支权证价格的影响程度以及在中国证券市场上产生这种状况的原因。实证结果表明在本文研究的影响因素中权证历史价格对其现价的影响最重,其他因素也不同程度地影响到权证现价,并且羊群效用和杠杆效应对权证价格的影响偏大,这和我国权证产品较少以及市场不成熟密不可分。总体而言,我国权证市场和投资者结构还不是很完善,投机性较强以及风险较大。
This article analyzes the influence factors of the warrants price in China＇s stock market,including the basic factors： positive stock price and volatility, warrants historical prices, volume,and maturity period. According to the Chinese stock market＇s own characteristics, influence factors of warrant price have also joined the warrants premium, the market herd behavior and the leverage effects. On this basis, in the use of the neural networks and multivariate statistics regression model to research the effect factors of Bao Gang, Wan Ke and their five warrants which already expired, it analyzes their reasons in the China stock market. Empirical results show that the historical factors of warrants impact on the prices most. Other factors also have varying degree influences on the current prices. Herd behavior and leverage effects have larger impcts. This is inseparable from our products of warrants and our immature market. In general, the warrants market and the structure of investors in our country are not very perfect with highly speculation and risk.
出处
《重庆师范大学学报（自然科学版）》
CAS
2010年第2期83-87,共5页
Journal of Chongqing Normal University:Natural Science
基金
兰州大学骨干教师科研项目(No.584337)
