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The warrants markets and the basis of market relations research

Author: LiuMingYu
Tutor: XieShiYu
School: Fudan University
Course: Quantitative Economics
Keywords: Warrants Correlation Volatility spillover Bivariate EGARCH
CLC: F224
Type: Master's thesis
Year: 2009
Downloads: 167
Quote: 0
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Abstract


Warrants for our investors is not a completely new thing, from 1992 to 1996, China's first attempt to warrants trading, the results are not ideal; 2005 split share reform given the warrants a second opportunity for development, a launch will be rapid development, less than two years, China has become the world's largest volume warrants market, the warrants become a new bright spot in the Chinese stock market. The warrant is a derivative product based on the underlying stock, the warrants market and the underlying market relationship naturally become the focus of attention of the majority of scholars, investors and regulators. But is still a lack of research. This paper first describes the development of mature warrants market as well as the history of the development of the warrants market in the Mainland of China and the status quo, and discusses the significance of the vigorous development of the warrants market. And then reviewed by the relevant literature, the theme of this paper - warrants market, and the basis of market. Empirical study, the authors conducted two innovations, one discusses the rationality of bivariate EGARCH model the study warrants and the basis of market relations in the groundbreaking: Firstly, China's Shanghai and Shenzhen A-share market warrants its underlying stock cointegration between price of residuals as explanatory variables were introduced into the equation of the conditional mean equation and Conditions logarithmic variance and warrants in the conditions of the underlying shares (warrants) number variance equation (Underlying ) lag order conditions logarithmic variance items, the establishment of a bivariate EGARCH model. Granger causality test to examine the relationship between the underlying stock and warrants boot, fluctuations between the two, the spillover effect is analyzed using bivariate EGARCH model. The second is to select a complete stock market rose, shock, and down cycles to more fully reveal the equilibrium relationship between the the warrants underlying stock of China's Shanghai and Shenzhen A causal relationship, the impact of information asymmetry, the price fluctuations spillover effects of market efficiency. Analysis of the empirical results, the main conclusions in this paper: the price of the underlying stock warrants to guide relations with the Shanghai and Shenzhen A-share market, the underlying stock warrants guide the relationship does not exist entirely. Leads to the other relationship does not exist between the subject of the underlying shares and Put Warrants between completely ineffective; market at different times, the cointegration residuals explanatory power significantly difference; warrants and the underlying stock volatility spillovers between empirical results support; \Given in the last article of the relevant policy recommendations and future research directions.

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