| As an important primary financial products, the warrant could active market transactions, has an important role in the underlying securities market, China 1992-1996 there had been four years of trading history warrants market, but because over time warrants speculation, regulators halted trading of the warrants. With the split share structure reform of 2005 the need for warrants as a non-tradable shareholders to tradable shareholders on the price of the securities market means to be re-introduced,22 August 2005, Baosteel warrants listing, announced the restart of warrants market. Years 2005-2010 in the 5-year period, China has launched more than 50 warrants listed on the Shanghai and Shenzhen Stock Exchange trading, warrants market become an important part of capital markets.Warrants products in China as to the flow of non-tradable shareholders and the shareholders listed on the price of the circulation, as just listed warrants, the issue of fixed number, the lack of supply and demand balance and the fact that the date of the warrants product rotation trading system make the warrant was to the crazy speculative capital speculation. After listing a number of warrants, are closed daily limit for several days, making the price of serious deviation from the theoretical price, the market situation of serious shortage, some small investors face huge risks.However warrants product launch will be from the beginning controversial, many people could warrant the creation of mechanisms for effective change warrants pricing efficiency, mitigate excessive speculation warrants skepticism. Creation of mechanisms that really helps curb speculation, so the price tends to warrant a reasonable effect? This article related to warrants on empirical analysis of samples to verify whether the creation of mechanisms to improve the effectiveness of the warrants market.This paper introduces the basic knowledge of the warrants, including warrants of the definition, classification, and option pricing theory, etc., and then describes the main pricing mechanism warrants, including the internal and external pricing pricing mechanism, which focuses on the creation mechanism as an important means of achieving internal pricing mechanism, the function of both arbitrage and short selling. Introduction to the basic theory, this article according to the Shanghai and Shenzhen Stock Exchange-listed warrants on the sample, selected one of the one-year warrants were divided into groups and there was no creation of mechanisms for the creation of mechanisms for group, compared two groups of warrants sample premium rates, days of excess volatility, and the deviation from the theoretical price and the implied volatility and other indicators, on average, and the average of two samples of non-parametric test, received the relevant empirical results; addition to the creation of before and after the creation of mechanisms for group premium rate indicators were compared, the same analysis using non-parametric tests, to sum up the results and found the whole warrant the creation of mechanisms for the pricing on the efficiency of the C of E had no significant effect, the article concludes to perfect the creation of mechanisms for some of the policy recommendations.Specifically, this total is divided into five parts.The first chapter is an introduction, introduces the topic of this writing the background and significance, and the creation of international mechanisms on the warrants and the warrants pricing efficiency of the related literature review, followed by the writing of this framework for a more detailed description of the The chapter concludes with the writing of the paper analyzes the limitations and deficiencies in order to improve research related to later. The second chapter is an overview of the basic knowledge warrants, warrants introduces the definition, main categories, the basic elements of the role of warrants, warrants of value and the factors that influence value; and elements of each category and are described, Finally Three of the warrant pricing model, including the Black-Scholes model, binomial pricing model and the Monte Carlo pricing, pricing model for each use of the advantages and disadvantages are analyzed, a description of the article the empirical part of the warrant theoretical price is used in the Black-Scholes model calculation, describes the main pricing mechanism warrants, options pricing mechanism can be divided into internal and external pricing pricing mechanism。The third chapter introduced the development process of China's warrants market, China's warrants market can be simply divided into two phases, the first phase in June 1992-1996 in the initial development stage in June, this period is mainly transferred some of warrants and allotment placement warrants, trading fewer varieties, volume is not large, and because the policy warrants are often uncertain, the small size of the market warrants, trading mechanisms and the related legal system is not perfect, resulting in the phenomenon of excessive speculation, regulators 1996 In consideration for curb excessive speculation, closed the warrants market. The second phase in August 2005, along with warrants after the share reform to restart the market, this time the products listed on the initial warrant is to tie the major share-trading reform as a non-tradable shareholders to tradable shareholders on the price of the share reform warrants, as listed early, warrants a small number of products, a lot of crazy speculation speculative capital, making the price of the warrant price is seriously out of theory, warrants serious speculation, coupled with the sustained increase in supply without a corresponding mechanism for relief.Chapter IV of this paper is to really warrant the creation of mechanisms to improve the pricing efficiency of the warrants empirical analysis, the paper selected in the 2005-2010 year in Shanghai and Shenzhen Stock Exchange-listed warrants, will be divided into groups without the creation of mechanisms and creation of mechanisms for groups。In order to investigate the amount of various warrants and warrants the creation of the relationship between the amount of the original release will create a significant effect of warrants, the paper defines the concept of creation efforts, the creation of intensity equal to the total number of warrants the creation of less accumulated difference between the number of warrants and the initial cancellation of warrants the ratio of circulation, through the creation of mechanisms for groups of 18 specimens a strength of its creation can be divided into the creation of these warrants efforts to create mechanisms for the 0 and the two groups is greater than 0, the same method of using the previous calculation of the group with four indicators, and the corresponding non-parametric test, the results of efforts to release the creation of the intensity is greater than 0,0, and the creation of Pricing of the efficiency of the two groups no significant difference, the last of the empirical results of this analysis and explanation of the reasons.The final chapter give us some measures and the creation of mechanisms for the front of the theoretical and empirical analysis of the results, perfecting the creation of mechanisms to better play its role and put forward some suggestions and countermeasures. Mainly the introduction of cash settlement system, strengthening the process of creation in the creation of information disclosure, the introduction of continuous release, free to issue warrants and the market maker system and increasing the range of products, market products and change the term structure warrants a single status. |
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