Pricing Efficincy And Market Risk Management Of Warrants In China

At present, warrant has become one of the most active financial derivatives product types in the world market. Although China warrants market start late, but developing rapidly. Compared with the overseas mature market, China warrants market stilly has many problems. Among them, which restrict the further development of warrants market are these two important factors: First, the low efficiency of warrants pricing. The second is that the risk management technology of Securities Traders is backward.But presently, domestic researches about above two aspects are not so much. In those researches, many of them are the qualitative analysis; the quantitative analysis is very lacks. There even are still some blanks in many research realms. Such as: How to price reasonablly on the warrants? Is the existing model pricing reasonable? How to measure the market risk of the warrants? How to evade and control maket risk? How to supervise the warrants issurers? Such as the problems of this kind didn't yet have very explicit hard conclusion currently. Based on the predecessor's investigations, this article have made more thorough study on warrants pricing efficiency and its market risk management in our contury. This article's one main purpose is to solve many difficulties above.First, this article has made an empirical analysis of the pricing efficiency of warrants in china market.This article has made an empirical analysis of the relationship between warrants market price and the theoretical price, using cointegration test and Granger causality test method. The conclusion is that there isn't a cointegration relationship between them in short term, but a cointegration relationship and Granger causality relationship between them in long term.This article has made an empirical analysis of warrants pricing efficiency using t-test method on B-S model with different volatility and analysed the diffrrent between them. It discovered that more efficient to call warrants with implied volatility and more efficient to pull warrants with historical volatility. Afterwords, this article has made an empirical analysis of influence on pricing efficiency from the Establishment Mechanism. It discovered that the Establishment Mechanism do not improve the pricing efficiency of warrants. Next, this article has carried on an empirical analysis of the relationship between the warrants market with stock market. It has analyzed the warrants price efficiency from the side: Using therelevant analysis, cointegration test and the Granger causality test method, the article has carried on an empirical analysis of dynamic relationship within the stock, the warrants and the stock index relations. The conclusion is that there is a cointegration relationship and Granger causality relationship between call warrants and their underlying stock price, and the function of price guidance of underlying stock is stronger than call warrants, but the price trend of the pull warrants is relative independence. This article has made an empirical analysis of issue date effect and the due date effect using t-test method. The conclusion is that the effect of warrants issue date and due date is not certainly remarkable in one day in China. Then, the article has carried on an empirical analysis of infuluence of warrants on their underlying stocks.The conclusion is that the call warrants increase the stocks volatility in some kind of degree, but not the pull warrants too.Finally, recognized the release of warrants in future, according to the situation of warrants publisher, this article has studied how the publisher to use the VaR model to measue the market risk of warrants, simulate the warrants'VaR and how to choice the market risk hedge strategy using scene supposition method. And put forward the proposal on how to carry on market supervising.This article has utilized the diversified econometrics method such as the significance T-test, the relevant analysis, the cointegration test, the Granger causal relation test, also has used the simulation quantitative evaluation method. Although the method uses the maturer research results, but the method utilization in the domestic warrants market is for the first time, moreover this article studies the breadth and the depth are also prominent. Generally speaking, although it does not have innovation in the theory and the research technique, but these research results have filled the domestic research blank, and have a certain model significance to study present warrants market and instruct future development of warrants maket in China.