Study On Characteristics Of Fractal Structure And Price Behavior Between Warrants And Underlying Stocks In China

Warrants are financial derivative instruments. Because they own leverage effect, they are applied more and more investors as an investment, hedging, investment and arbitrage tool. As china socialist market economy system and continuous improve-ment, our warrants market has made considerable progress. Now, Warrants market has become the transformation of enterprises and the important place financing. Warrants market has played an important role in stimulating economic growth and the motivation system.In this dissertation, the actor studies return distribution function, long term dependence,cyclical trend and volatility clustering of warrants and underlying stocks adopting fractal theory, the theory of time series and autoregressive conditional heteroscedasticity model by Matlab, Eviews and Stable.The results show that:the log return series of china warrants and underlying stocks reject hypothesis testing of the normal distribution, and distribution functions that have obvious peak and fat tailsare stable Pareto distributions. Warrants and underlying stocks have long term dependence and volatility clustering.some under-lying stocks have cyclical trend.Long term dependence,cyclical trend and volatility clustering of warrants and underlying stocks,Call Warrants and Put warrants are no difference.