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本文利用GARCH(1,1)模型,通过建立控制样本,对我国证券市场上权证上市对标的股票波动率的影响进行检验。结果表明,权证上市不仅对标的股票的波动率没有显著性的影响,而且对于股票价格对信息调整速度的影响也不显著。
This article uses GARCH (1,1) model to establish the control sample to test the influence of warrant listing on the underlying stock volatility in China’s securities market. The results show that the listing of warrants not only has no significant effect on the volatility of the underlying stock, but also has no significant effect on the speed of information adjustment.