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Granger Causality Test Methods And Empirical In The Warrants Market In China

Posted on:2010-03-07Degree:MasterType:Thesis
Country:ChinaCandidate:G W ZhangFull Text:PDF
GTID:2199360275983579Subject:Quantitative Economics
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Improper use of financial derivatives such as warrant is one of the premier causes of scattered financial risks. It is very important to figure out the overall state and features of the native warrant market for the partners to better understand the business environment and avoid unnecessary risks. Warrant is one of the financial derivatives. It is widely studied in the relationship of the prices movements between warrant and its target stock. It is diverse in the results of quantitative analysis, due to the different data and approach.This article uses Granger test of causality to solve the above problems, which is a widely used approach of causality test.This article defines the Granger test of causality at the very beginning. It demonstrates the Granger test of causality as a model to test the correlation-ship between time series. Then it introduced in detail the principles and approaches of both liner and non-liner Granger test of causality.(1) In the following part, this article analyzed the warrant dose-price relations and the relationship of the prices movements between warrant and its target stock, using the approaches of liner and non-liner Granger test of causality respectively. It aims to study the actual operational state in our native market and promote significant suggestion in the development of financial derivatives markets.(2) In the analysis, this article uses nonparametric paired comparison test model to figure out whether it's obvious in the Granger causality between the markets of warrant and its target stock. In the developing warrant market, this article studies the relationship by sign tast approach and establishing integral significance test model on the base of Granger causality analysis on each warrant and its target stock prices.(3) On the base of above analysis, this article also studied the relationship between markets of put warrant and call warrant. The results tell that the put warrant plays an important role of risk hedge when combined with other target assets in our native market.
Keywords/Search Tags:non-linear Granger causality, warrant and its target stock, relation between the trade volume and volatility, paired comparison test, integral Granger causality test model
PDF Full Text Request
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