权证发行上市与到期效应实证研究

根据中国证券市场已上市的权证及其标的股票的数据,运用事件研究法中的市场模型进行分析,实证检验了权证的发行上市和到期对标的股票的影响.研究结果表明:权证上市公告日之前,由于套期保值效应、价格操纵效应和信息效应等原因,认购和认沽权证的标的股票都有正的非正常收益率;在权证上市公告日当天有非常显著的负的非正常收益率;而上市公告日后,认购权证的标的股票有弱负的价格效应,认沽权证的标的股票则有正的价格效应.权证到期时,对于标的股票价格的影响甚微.

An Empirical Analysis of the Impact of Warrants Introduction and Expiration

Under the background of Chinese split share structure reform,the introduction and expiration of warrants are explained and some variables are selected to measure the effects.Some hypotheses are put forward and the market model of event study analysis is established.It is shown that underlying stock associated with warrants have positive abnormal return prior to the introduction of warrants,which is attributed to the hedging effect,price manipulation and information effect.The introduction of warrants leads ...