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Warrants market and stock market volatility spillovers

Author: HeXianZuo
Tutor: HuQiuLing
School: Shaanxi Normal University
Course: Finance
Keywords: Warrants market Stock market Volatility spillover effects BEKK model
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 52
Quote: 0
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Abstract


Warrants for China's securities market is concerned is not new. 1992 to 1996 our country has tried for warrants trading, but the results are far from satisfactory. 2005 on China's securities market to solve historical issues - equity division reform, regulators re-launched warrants. After the rapid development of the warrants, less than two years, the turnover and the volume of the warrants will be among the highest in the world, 2006, 2007 Trading in warrants on China's securities market is more than stocks, bonds and other investment products trading . However, the warrants has become a new bright spot on the capital market. However, along with the share reform is nearing completion, equity warrants exercised individually, China's securities market is less and less on the species warrants, warrants problems is whether such warrants, first launched in 1992, less than four years will gradually fade out China's securities market, or should learn from past experiences, to continue to develop, to the prosperity of the capital markets? answer no doubt. To warrant financing, hedging and hedging advantages, the warrant should not only be short-lived, but rather as a new financial derivative products rich in China's securities investment products, improve China's securities market. However, the development of our country there are still warrants a series of problems, such as severe climate of speculation, rises and falls are common occurrences, which is not conducive to the healthy development of our warrants market, but is not conducive to the establishment of an efficient capital market. Based on this historical background, leads this research - warrants market and stock market volatility spillover effects, as a starting point to find the root causes hinder the development of the warrants market. Selected papers on China's securities market since 2008 subsisting few warrants and underlying stock closing price as the research object, using Eviews6.0 software and Matlab programming method, warrants and stock market volatility spillover effects as between an empirical test. The results showed that: the warrants and stock markets are present volatility clustering, and the volatility of the warrants market is relatively large; stock market than the warrants market mature; warrants and stock market volatility exists between spillover effects, and this volatility spillover effects are asymmetric, specific performance: the stock market warrants market fluctuations than warrants market fluctuations on the stock market; warrants and stock markets do not exist between the long-term cointegration. Further, the papers from the institutional and market factors analysis of both the reasons for the above phenomenon generated, and proposed appropriate measures. Papers features and innovations in the following three aspects, one is from the efficient market hypothesis and behavioral finance two monetary theory to explain the warrants and stock market volatility spillover effects between, for the present study provides theoretical support ; The second is to use BEKK model as the conditional variance equation of the GARCH model to study the warrants and stock market volatility spillover effects between; The third is the use of the 2008 launch of the warrants since the latest data, fully reveals our warrants its underlying transmission of information between the stock market direction, whether the warrants played a guiding role on the underlying stock, the market is functioning efficiently and other issues.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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