权证和其标的资产波动率的相关性分析

利用Black-Scholes期权定价的方法,给出了沪深两地上市初期权证及其标的股票的收益率和波动率,并对波动率数据进行回归分析；数值分析结果表明：多数权证的波动率和其标的资产的波动率没有线性相关性,数据经Box-Cox变换后分析,结论成立；这表明在权证上市初期,多数权证的波动率和标的资产波动率没有线性相关性,权证价格涨跌幅度大,严重偏离其市场价格；投资权证更多的是利用了其投机功能,其套期保值和风险管理功能被忽略.

Analysis of the Volatility Correlation between Warrants and Their Underlying Assets

Based on Black-Scholes option pricing method, this paper gives earning rate and volatility of the warrants and their underlying stocks at the initial listing period in Shanghai Stock Exchange and Shenzhen Stock Exchange, and conducts regression analysis of the volatility data. Analysis results show that there is no linear correlation between the volatility of majority of warrants and the volatility of their underlying assets, and this conclusion is correct through the analysis of the data after Box-Cox transformation, which reveals that there is no linear correlation between the volatility of the majority of the warrants and the volatility of their underlying assets at the initial period of warrants listing and that the extent of the rising and the falling seriously deviated from market prices. The investment in the warrants attaches function but ignores their hedging and risk manazement function. of warrants prices is big and is importance to their speculation