论文部分内容阅读
本文研究了权证发行对于正股定价效率的影响。以正股日收益率为研究对象,运用GARCH-M模型、带虚拟变量的市场模型以及自相关回归方程分析了在权证上市前后正股总风险、系统性风险、收益率自相关性的变化。实证结果表明:权证上市交易提高了正股的总风险,对系统性风险的影响不十分明确;正股收益率变化不显著;正股日收益率自相关性不显著地减弱。股票定价效率并未得到显著提高。本文认为原因可能来自于信息的负外部性、市场过强的投机性和创设制度本身的缺陷。
This paper studies the impact of warrants issuance on the pricing efficiency of the stock. Taking the daily yield of the stock market as the research object, this paper analyzes the changes of the self-correlation of the total stock risk, the systemic risk and the return rate before and after the warrants are listed using the GARCH-M model, the market model with the dummy variables and the autocorrelation regression equation. The empirical results show that: the listed warrants increased the total risk of the underlying stock, the impact on systemic risk was not very clear; the return of the positive stock was insignificant; and the self-correlation of the daily return of the stock was weakened insignificantly. Stock pricing efficiency has not been significantly improved. This paper argues that the reasons may come from the negative externality of the information, the speculative nature of the market and the defects of the system itself.