| “两地”权证市场定价偏离度的比较与分析 |
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| 引用本文： | 王胜英.“两地”权证市场定价偏离度的比较与分析[J].扬州大学学报(人文社会科学版),2011,15(6):46-52. |
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| 作者姓名： | 王胜英 |
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| 作者单位： | 上海第二工业大学国际交流学院,上海 浦东,200135 |
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| 基金项目： | 中国博士后科学基金项目，国家社科基金项目，国家自然科学基金青年科学基金项目 |
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| 摘 要： | 从香港和我国内地权证市场表现出发,对＂两地＂①权证定价方式、权证价值与价格进行多层面的研究。通过进行一系列的ADF检验和Granger因果关系分析,发现两地权证虽然都存在市场价格与理论价格偏离现象,但香港权证定价偏离度明显呈现出随机游走的特征,而内地权证市场价格与理论价格的偏离度不仅要远高于香港权证,且有一定的固化趋势。研究还发现两地权证与标的股票的因果关系具有较强的差异性。权证定价的过度偏离,势必影响到市场的良性发展。内地权证市场应借鉴香港权证品种供需以及权证相关制度等方面的经验,进行必要的改革和修正。
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| 关 键 词： | 权证 权证价值 权证定价 |
A Comparative Study of Security Market Price and Pricing Irrelevance Between Hong Kong and the Mainland |
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| WANG Sheng-ying.A Comparative Study of Security Market Price and Pricing Irrelevance Between Hong Kong and the Mainland[J].Journal of Yangzhou University(Humanities and Social Sciences Edition),2011,15(6):46-52. |
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| Authors: | WANG Sheng-ying |
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| Institution: | WANG Sheng-ying(International Exchange Faculty,Shanghai Second Polytechnic University,Shanghai 200135,China) |
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| Abstract: | Based on the security market performance in Hong Kong and the Mainland China,the warrant values and price irrelevance in the two places are analyzed through ADF test and Granger causality analysis.It is found that both warrants have the phenomenon of irrelevance between market and theoretical price,with the Mainland market having a much higher significance as well as a stronger causality relationship between warrants and underlying stocks.In conclusion,the Mainland warrant market has a lot to improve and sh... |
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| Keywords: | warrant warrant value warrant pricing |
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