| 我国股票与权证市场之间的线性及非线性因果关系 |
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| 引用本文： | 房振明,王春峰,李晔,卢涛.我国股票与权证市场之间的线性及非线性因果关系[J].系统工程,2006,24(7):50-56. |
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| 作者姓名： | 房振明 王春峰 李晔 卢涛 |
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| 作者单位： | 1. 天津大学,管理学院,天津,300072;渤海证券研究所,天津,300061
2. 天津大学,管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金;教育部跨世纪优秀人才培养计划 |
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| 摘 要： | 以已上市的六只权证及时应正股为研究时象，采用线性和非线性因果检验方法时我国股票和权证市场相互联系进行实证研究。实证结果表明刚刚启动的权证市场与股票市场之间不存在双向的联系，仅存在由权证市场到股票市场较弱的单向影响，为此提出了建立适宜的权证定价与估值方法的要求和完善市场套利和避险功能的建议。
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| 关 键 词： | 股票 权证 因果关系 非线性 |
| 文章编号： | 1001-4098（2006）07-0050-07 |
| 收稿时间： | 2006-03-30 |
| 修稿时间： | 2006-03-30 |
Linear and Non-linear Granger Cause Relation between Stock and Warrant in Chinese Stock Market |
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| FANG Zhen-ming,WANG Chun-feng,LI Ye,LU Tao.Linear and Non-linear Granger Cause Relation between Stock and Warrant in Chinese Stock Market[J].Systems Engineering,2006,24(7):50-56. |
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| Authors: | FANG Zhen-ming WANG Chun-feng LI Ye LU Tao |
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| Institution: | 1. Shool of Management,Tianjin University,Tianjin 300072,China; 2. Bohai Securities,Tianjin 300061,China |
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| Abstract: | Based on the six warrants traded in stock market and their underlying stocks, The relationship between stock and warrant is empirical researched making use of linear and non-linear granger cause method. Empirical results show that there are no tow directions of relationship between stock and warrant, on the other hand, only lesser effect from warrant market to stock market. At last, we put forward that the pricing method of warrant is urgently needed and the functions of arbitrage and hedging in stock and warrant market should be built up. |
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| Keywords: | Stock Warrant Granger Cause Relation Non-linear |
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