文档介绍：我国权证上市对标的股票收益和波动的影响研究
南京航空航天大学硕士学位论文我国权证上市对标的股票收益和波动的影响研究姓名:孙晓惠申请学位级别:硕士专业:金融学指导教师:顾金宏2011-03
南京航空航天大学硕士学位论文摘要权证是基于标的股票而产生的一种金融衍生产品,其与标的股票之间存在联动关系,因此,权证上市会对标的股票产生一定的影响。我国权证市场于2005年在股权分置改革背景下重新启动,到目前为止已有五年多的发展历程,不仅顺利完成了股权分置改革赋予其的使命,而且对我国资本市场尤其是金融衍生品市场的发展也发挥了重要作用。当前探讨权证上市对标的股票产生怎样的影响以及影响程度如何,对投资者、发行人以及市场政策制定者和监管者而言,都有着深刻的现实意义和长远意义。本文选取自2005年8月18日至2010年9月31日在沪深证券交易所上市的42只权证和其对应的40只标的股票作为研究样本,探讨了我国内地权证上市对标的股票在收益和波动两方面的影响。首先,采用事件窗法研究了权证上市对标的股票收益方面的影响,计算和分析了事件窗内标的股票的平均超额收益率(AAR)和累计超额收益率(CAAR),并进行显著性检验;其次,利用Wilcoxon秩和检验对以上事件研究的结论进行了验证;最后,采用了引入虚拟变量的EGARCH模型进行估计,通过分析权证上市前后虚拟变量的系数λ的变化来分析标的股票波动性的变化。通过实证研究,本文得出以下研究结论::股改权证——认购权证上市的确给标的股票在公告日前带来一段时间超额回报,但这种回报并未持续到上市后;股改权证——认沽权证在上市前后均带来一段时间超出市场收益率的回报,但上市前结果更为显著。股本权证上市的影响与股改权证不同,其上市并未给标的股票带来明显超额收益率。:股改权证——认购权证上市对标的股票起到了一定稳定作用,股票波动性有所下降;认沽权证上市对标的股票的稳定性作用并不明显;股本权证上市显著降低了标的股票的波动性,尤其是和前述股改权证上市相比,经过近四年的发展,股本权证对于标的股票的稳定性作用更加明显。关键词:权证上市,标的股票,收益,波动 I
我国权证上市对标的股票收益和波动的影响研究 Abstract Warrant is one of the financial derivative products based on object and connected with underlying ,the entrance of warrant into the market will have some effect on the underlying has returned back to the stock market because of Equity Division Reform(EDR) and experienced a essful development over five years. It not only essfully plishes its mission in EDR,but also plays a great role in the development of China
’s capital market, especially the development of financial derivative market. Now the discussion about what kind of the effect it will have and to which extent it will affect is of profound realistic and lasting significance. The paper selects 42 warrants which are listed on Shanghai and Shenzhen stock markets and their underlying stock as research samples to make a study on how the entrance of warrant in the mainland has influenced the returns and volatility of underlying stock. Firstly,I use event-study methodology to study the impact of warrants listing on underlying stocks’