EG test and Johansen test are used to analyze the co-integration between the call warrants in Shanghai Stock Market and its underlying target stocks.
应用EG两步检验法和Johansen检验法对沪市认购权证和其标的股票进行协整检验,检验结果表明权证和其标的股票之间不存在协整关系。
This paper examines the price performance of call warrants on the China security market.
使用Black-Scholes模型对中国权证市场上发行的认购权证进行了研究。
In addition,it analyzes the date of the call warrants of the market in China,the results suggests that the situation of the market of China may be similar to the markets abroad.
文章综述了认股权证的发行对标的股票股价影响的理论及国外的实证研究结果,并用中国市场的数据对认购权证进行了实证分析,认为中国市场很可能存在与国外相似的情况。
The author attempts to employ the fractal B-S model to empirically examine the pricing behavior of the call warrants in China stock market.
针对证券收益率呈现"尖峰厚尾"的分布特征,在分析传统B-S权证定价模型的不足基础上,本文提出了基于分形理论的B-S权证定价模型,并利用分形B-S权证定价模型和传统B-S模型分析认购权证价格变化的行为。