沪市认购权证与其标的股票价格走势的Granger因果检验

运用G ranger因果检验的方法,检验沪市6只认购权证与其标的股票之间的因果关系。分析结果表明:在大样本条件下,认购权证与其标的股票之间存在单向的G ranger因果关系,权证的价格走势影响其标的股票的价格走势,说明从长期来看,认购权证发挥了其潜在的投资杠杆的作用,其价值发现与风险对冲功能在市场中得到实现;在小样本条件下,认购权证与其标的股票之间不存在显著的G ranger因果关系,表明短期内权证与其标的股票价格走势相互独立,市场中有可能存在对权证投机炒作,人为放大权证的投资风险,使权证背离其正常的投资价值。

Granger-Causality Test of the Price Trend Between Call Warrants of the Security and Their Underlying Stocks in Shanghai

Theoretically,there is a certain causality relationship between warrants and its underlying stocks.This paper tests the causality relationship between the six call warrants of security market and their underlying stocks in Shanghai by using the approach of Granger-causality.The result shows that there is a unilateralism relationship of Granger causality between call warrants and their underlying stocks under the great sample.The price trend of the warrant influences the price trend of its underlying stocks,but there is no remarkable relationship of Granger causality between call warrants and their underlying stocks under the small sample.The price trend of the warrant and its underlying stocks are independent mutually in short time.