| Along with the development of the financial market in China, the original financial products have been unable to meet the needs of investment and risk prevention. The demand for derivative products is gradually increasing. In 2005,to resolve the issue of the reforms of the structure of split share,China bring in the warrants into stock market for the first time. With low-risk, simple structure, easy operation and other characteristics, warrants become the first choice of financial innovation for emerging markets .In the long run, warrants market development is an important step for China financial derivatives market. Not only can it improve the securities market functions, but also offer a diversity of financial instrument innovations as well as a useful complement to the existing structure of capital markets.Warrants have been pursuited since it was introduced into China till the large bull quotes of the year 2007.In the meantime, the Warrants market fluctuated greatly very common. Speculative trading has become the symbol of domestic warrants trading. However, in 2008 under the circumstances of general slump in the A-share market, the warrants market has shown good resilience characteristics. In 2009,though the A-share market ushered in a greater increase quotes, the increase rate of warrants market was far lower than the stock market, and it didn't have a rapid advance or a rapid decline.According to the warrants market's new features, the thesis calculated theoretical price of all the listed warrants based on the B-S model modified by GARCH method and established cointegration and error correction model. The results show that in the entire sample period, there is long-run equilibrium relationship between the theoretical price and market price of all the listed warrants in addition to GanYue CWB1,JiangTong CWB1.It means that the two series have cointegration relationship and the deviation of market price from its theoretical price are stable.Then, without taking the defects of the model itself into account, the thesis has a comprehensive analysis of the factors that impact the deviation between warrants theoretical prices and market prices from the qualitative and quantitative point of view. We can reached the following conclusions: The deviation of warrants market prices from theoretical prices is mainly subject to the premium rate, the growth rate of the underlying stock price-earnings ratio, duration of warrants and other factors; the premium rate have a positive correlation with the deviation; warrants underlying stock price-earnings ratio have a negative correlation with the deviation; and the deviation of this period was mainly due to the previous deviation.In addition, because of the absence of short selling mechanism in Chinese warrants market, the arbitrage can not be implemented. As a result the factors that have no business with model make the deviation have a continuing impact. In the short term, the warrants market will make certain adjustments to deviations to make the market price return to the theoretical price, but this adjustment is slow. The investors will face greater investment risk till the market takes a long time digesting the impact of deviation. |
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