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论文编号：	2490
作者编号：	2120082100
上传时间：	2010/6/10 21:44:19
中文题目：	我国权证定价泡沫研究
英文题目：	Empirical Research on the bubbles
指导老师：	古志辉
中文关键字：	权证;泡沫;B-S期权定价;异质信念;损失厌恶
英文关键字：	Warrant;Bubbles;Black-Scholes pricing formula;Heterogeneous beliefs;Loss aversion
中文摘要：	随着我国资本市场上股指期货的推出和融资融券的启动，金融衍生产品由于融资便利，对冲风险，高杠杆性等优点受到投资者的广泛欢迎。作为基础性的衍生产品，权证市场也再次引起了大家的关注。从2005年推出权证至今，我国的权证市场取得了很快的发展，2006年超过香港市场成为世界上权证交易额最大的市场，而在国内权证也成为我国证券市场上仅次于股票的第二大交易品种。 权证市场的飞速发展对我国衍生产品市场的完善和发展起到了很大的推动作用，但权证市场上的巨额成交量、高换手率及市场价格与理论价格的严重偏离表明了我国权证市场投机氛围严重，可能存在泡沫。权证市场的泡沫不仅会给投资者带来很大的风险同时也会扰乱资本市场的正常功能，而且泡沫如果形成长期和普遍的趋势将会严重影响整个经济的健康运行。因此权证市场上泡沫的研究有重大的意义。 本文以Black-Scholes期权定价公式为基础，以我国权证市场上已退市的34支权证为样本，比较我国权证的市场价格和基于B-S期权定价的理论价格的差异，并通过对权证的市场价格与理论价格之间的回归分析证实了我国权证定价泡沫的存在。在此基础上，论文又对权证的期权特性进行了检验，发现大多数权证都没有表现出期权类衍生产品的特性。鉴于此，论文从权证自身交易特征变量入手，对权证泡沫产生的原因进行了初步探索，尝试采用行为金融学理论对我国权证的泡沫进行解释。研究发现异质信念、损失厌恶理论可以解释我国权证市场部分泡沫产生的原因。论文进一步从行业角度分析了不同行业权证泡沫的差异，解释了行业特征对权证泡沫的影响。综合实证研究结果，提出了减少我国权证定价泡沫的一些具有针对性的政策建议。
英文摘要：	Along with the appearance of Stock Index Futures and the start of margin trading in the capital market of our country, financial derivatives receive investor's widespread welcome because they can finance conveniently, hedge risk and have high leverage. As foundational derivatives, the warrant market has drawn our attention once again. Ever since the launch of warrants in 2005, the warrant market of our country has been highly developed, and after exceeding Hong Kong, it became the market which has the biggest trading volume in the world in 2006. In addition, nowadays in security market of mainland China, warrant has became the second important product in trading volume comparing with stock. And in our domestic capital market, warrant became the second product after stock in our security market. The rapid development of the warrant market has played a significant role in improvement our derivatives market. But the huge trading volume, the high turnover rate and the critical deviation between market price and theoretical price manifests that the speculation in the market is so severe that the bubbles may exist. The bubbles not only can bring high risk to the investors but also can harass the normal function of the capital market. What’s more is that it can influence the entire economy’s health movement if the bubbles form a long-term and universal tendency. So, the research of the bubbles in our warrant market is very important. Taking the Black-Scholes pricing formula as the foundation, and choosing the samples of 34 warrants which has already delisted from our country’s warrant market, this article compares the market price and the theoretical price based on the pricing formula of B-S, and manifests the bubbles’exist through the regression analysis between the two prices. Based on this, this article examined the option-type characteristic of warrants and finds that most warrants do not show the characteristic of option-type derivatives. In view of this, this paper takes the trading traits of warrants as the point, and searches the reasons why bubbles appear, and tries to use behavioral finance theory to explain the warrant bubbles in our nation. It finds that heterogeneous beliefs and loss aversion theory can describe the reason. Further more, this paper analyzes the difference of warrant bubbles among different industries, and describes how the industry’s characteristic influences its warrant bubbles. Based on this, this article proposed some specific suggestions about reducing the bubbles of warrant pricing in our country.
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