关于认沽权证怪象的实证分析

文章通过对当前我国权证市场认沽权证的客观数据的计算，认为认沽权证存在部分认沽权证价格逆势而动与正股价格的联动性弱、价格远远高估、溢价率偏高、时间衰减不正常的怪象。文章选择了5只不同产业的认沽权证，将其价格与其标的股票价格进行Granger因果检验。通过实证分析认为目前我国权证市场，认沽权证价格与各自标的股票价格间的传导机制并不健全，导致认沽权证价格的非理性波动。最后，文章对上述怪象进行了解释，并提出可行性建议。

An Experimental Study on the Strange Phenomena of the Put Warrants Of the Security in China's Warrant Market

In this paper, through the calculating results based on the statistics of the put warrants of the security in China＇s warrant market at the moment, we find that： First, the prices of some put warrants go against the rational trend and the correlations between their prices and the underlying stocks＇ prices are low; Second, their prices are highly evaluated; Third, the premium rates are too high; Fourth, the prices do not wane as time goes on reasonably. This paper tests the causality relationship between the five put warrants of security market from different industries and their underlying stocks by using the approach of Granger-causality. According to the empirical analysis, we consider that the conduct mechanism of the prices of put warrants and their underlying stocks is not perfect in our warrant market now, which causes the irrational fluctuation of put warrants＇ prices. Finally we explain the strange phenomena and put forward some practical suggestions.