Empirical Research For The Pricing And Listed Effect Of Chinese Warrants

Warrant is a fundamental derivation. In the 1990s, there are a few of warrants issued in Chinese stock market, unfortunately they all failed in the end for unrealistic pricing and hyper-speculations. In August 2005, warrant return Chinese capital market by the chance of Share-trading reform, and has made tremendous achievements in a short time. Warrant has functions of price-finding and risk-avoiding, meanwhile it is accompanied by high risk, the speculation, skyrocketing and crash filled with the Chinese warrant market Well illustrates this point. According to this, this regard warrant as the main study object, it has positive and far-reaching significance for the development of Chinese warrants market.Chapter 1 is the introduction part, introducing the research background, purpose, related research and the main innovations. Chapter 2 is a fundamental and simple introduction on warrants. Chapter 3 mainly introduced the Black-Scholes pricing model, we also expand the model according to the characteristics of the Chinese warrant market to make sure the classic B ?SB ? S model can be used to solve the whole warrants pricing of the SSE & SZSE; More ever, this chapter also gives an introduction of the estimation methods of volatility, including historical volatility, implied volatility and realized volatility. Chapter 4 is the empirical part of this paper, It can be divided into two parts, in the first part, we make use of B ? S model to analyze 6 warrants'pricing problem of the SSE & SZSE, and analyze co-integration between the theoretical Price and the market price of these warrants; in the second part, I choice 20 warrants to study the effect to underlying stocks when the warrants listed. Chapter 5 is the conclusion and the suggestion part of this paper. The paper's basic conclusion includes: the model is suitable for Chinese warrant market; the Theoretical price and the market price of all the sample warrants are I(1), but the co-integration between the theoretical price and the market price are uncertainty. Warrant listed has negative effects to price of underlying stock and positive effects to volume of underlying stock, but all the effects are not notable. B ?S...