A Empirical Study Of Pricing Warrant In The Reform Of Separated Stock Structure

As the reason in history, a special stock structure, namely a separated stock structure, was produced in China security market. The separated stock structure is the most difficult problem in developing our stock market,also make two-thirds stocks not be circulated. Drawbacks that the same stock has different authority and return seriously puzzled stock market's development. Issuing warrants is advantage to impel the reform of the separated stock structure and realize connecting our security market with international market as soon as possible; also providing the new investment tools for investors, making market transaction be active; simultaneously helping securities traders promote the competitive power, take part in the international competition. Until now, the Baoshan Steel Corporation, Wuhan Steel Corporation and some others have issued a lot of warrants which attached kinds of provisions. Hence, studying on pricing warrant makes great sense not only in theory, but also in practice.Warrants have functions of discovering price and avoiding risk, but in order to play its role in the money market, reasonable pricing is extremely essential. In foreign countries, pricing warrants has a history more than 100 years with quite perfect theory. But for the particularity in China's stock market, for example, the question of the circulation stock with the non-circulation stock, the model could not be introduced directly.Based on the theory of pricing warrants in the Western and combining the particularity of stockholder's structure in the China stock market, the research of pricing warrant was conducted in this article. After analyzing warrants, pricing models in the conditions of the separated stock structure (the circulation stock with the non-circulation stock) are conducted. In addition, the pricing formulas of European call warrant,European put warrant,Bermuda call warrant,Bermuda put warrant,American call warrant,American put warrant and setting up warrant that are issued by big non-circulation stock holders to compensate circulation stock holders are analyzed. In the last, taking 20 warrants that included the one issued by Baoshan Steel Corporation as the examples, using the materials of stocks price and warrants'closing price, the author calculated the wave rate, examined the price of warrants through demonstration. The author also compared the theory price with the actual price with the hope of providing the references for investors. And under the big disparity situation between theory price and the actual price in our country, the author proposed suggestions and policies of how to price efficiently. Researches found that the most warrants are over-valued; this also can reflect the ineffectiveness from other aspects in our security market, where there are lots of speculations. But there are some suppositions in the models, the further researches are needed in order to pricing warrants more precisely, proving a more better and reliable references.