摘要
以已上市的六只权证及对应正股为研究对象,采用线性和非线性因果检验方法对我国股票和权证市场相互联系进行实证研究。实证结果表明刚刚启动的权证市场与股票市场之间不存在双向的联系,仅存在由权证市场到股票市场较弱的单向影响,为此提出了建立适宜的权证定价与估值方法的要求和完善市场套利和避险功能的建议。
Based on the six warrants traded in stock market and their underlying stocks, The relationship between stock and warrant is empirical researched making use of linear and non-linear granger cause method. Empirical results show that there are no tow directions of relationship between stock and warrant, on the other hand, only lesser effect from warrant market to stock market. At last, we put forward that the pricing method of warrant is urgently needed and the functions of arbitrage and hedging in stock and warrant market should be built up.
出处
《系统工程》
CSCD
北大核心
2006年第7期50-56,共7页
Systems Engineering
基金
国家杰出青年科学基金资助项目(70225002)
教育部跨世纪优秀人才基金资助项目
关键词
股票
权证
因果关系
非线性
Stock
Warrant
Granger Cause Relation
Non-linear
