摘要
本文基于主动性投资视角,构建权证价格波动模型,并根据影响权证价格的两个因素,对权证市场的行为特征进行刻画。根据理论分析框架,以包钢蝶式权证存续期内的价格为样本,对我国权证市场的行为进行了实证分析。结果表明,市场在经历了一段较浓的投机过程之后,尽管总体表现出一定程度的理性与稳定,但在权证存续期的不同阶段,权证行情会发生多空转变。
The transaction of warrants provides investors of market one kind of financial derivative tool for risk avoidance or speculation. In the perspective of active investment, the price fluctuation of warrant is influenced by two factors. The first one is the price fluctuation of the underlying assets, the second one is the comparison of active force both on buying and selling. Based on active investing perspective, we will establish a warrant price fluctuation model, and describe the behavior characteristics of the warrant market on the base of two factors which influence the warrant price. In the framework of theoretical analyzing, this paper does an empirical analysis on warrant market behavior in China base on sampling the prices during the duration of butterfly warrant of Baogang share. The warrant was issued as a compensation tool for keeping the balance of stock prices in the process of reform on split share structure. Our research indi- cates, although the warrant market shows ration and stability to some extend after a great speculation period at the beginning, it still experiences a transformation on the force of buying and selling in the lifetime of warrant. In order to keep the healthy and stable development of the warrant market, we offer some policy suggestions in this paper.
出处
《经济管理》
CSSCI
北大核心
2008年第21期108-116,共9页
Business and Management Journal ( BMJ )
基金
国家社会科学基金项目"我国货币政策传导过程中的‘渗漏'与‘阻塞
效应研究"(04BJL027)
教育部哲学社会科学创新基地"南京大学经济转型和发展研究中心"课题"对外开放与我国经济转型及发展研究"。
关键词
主动性投资
权证
市场特征
active investment
warrant
market characteristics
