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本文以三个权证和其对应的正股为研究对象,采用协整检验、Granger因果关系检验、方差分解等方法对我国权证市场的价格发现功能进行检验。结果发现,我国权证市场价格发现功能强,权证价格并不能引导股票价格。据此,本文提出一些改善我国权证市场价格发现的对策建议。
In this paper, the three warrants and their corresponding stocks as the research object, using cointegration test, Granger causality test, variance decomposition and other methods to test the price of China’s warrant market discovery function. The result shows that the price of warrant market in our country is strong and the price of warrant can not guide the stock price. Accordingly, this article puts forward some countermeasures and suggestions to improve the price discovery of China’s warrants market.