摘要
以沪深两市中的全部权证为研究对象,运用溢价率和隐含波动率这两个反映权证价格趋势特征的工具对我国权证的二级市场进行实证分析。研究发现:权证的溢价率和隐含波动率呈现一定的变化趋势,认购权证和认沽权证的溢价率呈反方向变化,认购权证的隐含波动率高于认沽权证的隐含波动率。用这两个工具可以引导投资者挖掘权证的内在价值。
An empirical analysis is made on the secondary market for warrants in China by using premium ratio and hidden volatility ratio, two tools reflecting the tendency features of warrants prices, taking all warrants in Shanghai Stock Exchange and Shenzhen Stock Exchange as research object. The research results premium ratio and hidden volatility ratio show a regular changing tendency, the premium ratios for the subscribing warrants and selling warrants take on a reversing tendency, the hidden volatility ratio of subscribing warrants is higher than that of warrants. Investors can be guided for excavating the internal value of warrants by using these two tools.
出处
《河南金融管理干部学院学报》
CSSCI
2008年第4期89-91,共3页
Journal of Henan College of Financial Management Cadres
关键词
权证
隐含波动率
溢价率
warrants
hidden volatility ratio
premium ratio selling
