摘要
随着股权分置改革,中国的A股权证被再次推出,它的诞生丰富了投资者的交易品种,对建立多层次多维度的资本市场发挥了积极的作用。但是中国的A股权证市场仍存在诸多问题,实际价格偏离理论价格的现象司空见惯,其交易品种与交易规模不对称的现象也一直伴随着A股权证市场的发展。基于业内与学术界对A股权证价格偏差的困惑,本文利用混合回归模型和面板数据模型的实证方法,对认购权证市场价格偏差的研究发现,投资者对认购权证的频繁操作和投机炒作是导致价格偏差的重要原因,并且认购权证的创设制度对于抑制价格偏差的作用非常有限。此外,本文结合研究的实证结果,从创新A股权证产品和完善市场交易制度的角度,提出了完善和发展中国A股权证市场的政策建议。
Accompanying the Non-tradable Share Reform, warrant emerged again in Chinese capital market with contribution to the increase of investors choice and the establishment of the multi-level capital market. It＇s common of the deviation of market price from theoretical price. The mismatch between the species and trade volume is also a long-term question. Based on the confusion of the industry and the academia, through the call warrants price bias analysis using the pooled OLS model and panel data model, this paper discovers that the frequent operation and speculation of investors is an important reason leading to price deviations, and the constitution mechanism has no effect on correcting the pricing deviation of call warrants. In addition, this paper proposes policy recommendations to improve and develop Chinese A-share warrant market through the creation of warrant product and improvement of transaction system.
出处
《技术经济与管理研究》
2012年第6期114-119,共6页
Journal of Technical Economics & Management
关键词
认购权证
价格偏差
创设制度
权证市场
Call warrants
Price deviation
Constitution mechanism
Authority card market
