The Empirical Study On The Pricing-efficiency Of The Warrants At Hu-Shen Stock Markets

2005.8, to promote the state-shareholding reform in china, HuShen stock exchanges had warrants again,which was ever at the two markets more than ten years ago.This new warrant-market was concerned greatly and participated activly by investors.To today,this new warrant-market has run for more than two years and has been surfy.Facing this surfy warrant-market,many scholars studied it and gave viewpoints,which have academic and actual value.But,they did not do studies on the whole warrant-markets during the past more than two years.The pricing-efficiency of the warrants is key part at the warrants-market.So,Using the nonparametric tests,this paper made an empirical study on it at HuShen warrant-market with the whole dealing data of the warrants that were mature before the 2008.4.30,and the dealing data of the unmature warrants from 2008.1.1 to 2008.4.30.This empirical study was made transversely and longitudinaly to get an overall and objective view on the pricing-efficiency of the HuShen warrant-market.moreover,we also made an empirical study on the effect which the warrant-creating mechanism had on the pricing-efficiency of the warrants.This paper finds:1,by testing the correlation between the warrants'price and the underlying stocks'price, the put warrants appear weak negative correlation,but the call warrants appear some better positive correlation at HuShen warrant-market.By contrast,the call warrants and put warrants both appear logical correlation at HongKong market; 2,By further testing,the pricing-efficiency of the call warrants is remarkably better than one of the put warrants at HuShen warrant-market.by contrast,at HongKong market,the two is not remarkably different; 3,At HuShen warrant-market,the pricing-efficiency of the put warrants did not undergone the historical trend of the improving,but the one of the call warrants did,and is not remarkably different from the one of the call warrants at HongKong market from 2008.1.1 to 2008.4.30;4,the warrant-creating mechanism did not improve the pricing-efficiency of the warrants,indeed worsenned it.Finally,we gave some suggestions after analysing the above results.