The Analysis Of Cointegration In Chinese Warrant Market Price

The warrant has already developed as the derivation product in the western country for hundred years, it also experiences the vicissitude in the stock market position, from important position to secondary role. But it has made the important contribution for for stock market's development and other financial derivation product innovation. In our stock market since the 80's, along with the market economy reform development, the securities function and the effect gradually has also been appearing, serves from the early time for the economic reform to serves for the economical development. As a result of the system design reason, the stock market displays it's inconsistent with the economical development step. In securities market initial period. In order to consummate the securities market the function, the futures, the option and so on the series finance products have pushed in our country. But as a result of the economical development phase and the market to the product understanding insufficiency as well as the operation fault, the derivation product in 90's appeared briefly, has drawn out many questions. But also obtains the precious experience lesson. Facing comprehensive foreign lets loose in the finance market , the system and the innovation financial product need to consummate for the guarantee economy benign developmentIn order to solve the problem which the stockholder's rights, the warrant achievement reforms the role for the state-owned enterprise which serves to be pushed once more. On aug 22,2005,first warrant BaoGang Steel Corporation warrant official appearing on the market, other warrants continues thereafter appeared, market to warrant understanding from strangely to familiar, from crazily to discrete, warrant also surges up in market performance, is releasing market all informations heartily. Simultaneously our country's stock reform and the expansion obtained the fast development, a market piece of prosperity, the bulk lots has created new high unceasingly. Shanghai stock index rises near 3000 from 1000 in a year from 2006 to 2007. The new stock release has obtained the huge development, the corresponding stock market market value rises from 4 trillions Yuan to 10 trillions Yuan,the numbers of the investors entersing the stock market rises rapidly. Along with stock market's dilatancy and the constitutive bull market arrival, warrant market also become more fizz, the variety increases, the business volume and the volume of trade enlarge increasingly, From aug,2005 to dec,2006, accumulation release 34 kinds.In entire stock market vigorous development time, warrant as a result of its unique market effect and the investment characteristic, receives the market and investor's favor. This article to warrant development, the theory as well as the basic influence essential factor has made the comprehensive summary and the analysis.Cointegration theory considered as a way for the dynamic econometrics method, has obtained the huge application since in the 80's, has provided the very good key to resolve the non-steady data modelling. In our country stock market development special historical stage, for observation warrant and stock market factor interaction relations, this article used cointegration way to find out warrant and the sign stock price, warrant price and the theory price relations ,observed the two- variable cointeration relations, and to cointegration variable establish the error correction model to consider the variable short-term undulation the influence size, simultaneously do Granger test to confirmed whether the variable did have the Granger ralations. The result discovered the warrant price ,the sign stock price and the theory price have cooperate the entire relations, explained between them have the long-term stability proportional relationship.Does the error correction model had reflected two variable undulation influence, may to accord to the error correction model to make the forecast;Put-warrant price and the sign stock price and the theory price does not have cooperates the entire relations, between them does not have the long-term stability relations, explained put-warrant price and the sign stock price and the theory price run according to respective rule.Does the Granger examination indicated the call-warrant sign the stock price is call-warrant price the unidirectional Granger origin, the sign stock price guidance call-warrant price, the market information flows to the call-warrant from the sign stock price; The call-warrant market price and the theory price Granger causal relation has the complexity,unidirectional, bidirectional and the non-causal relation all exists, showed the call-warrant market price and the theory price relation quite is close, has the different guidance relations as a result of the individual difference.. Further the multi-dimensional cointegration test the put-call parity theorem and discovered the put-call parity theorem serious not to be untenable in the option market, this also explained in the securities market there been have the arbitrage opportunity. Cointegratoin test explain fully in the market the option price changes complexity, warrant price and warrant price influence essential factor had respective movement path, the market speculatoin behavior is very prevailed.