导　　师： 杨星

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 2005年股票分置改革序幕的拉开,使得A股市场进入了全流通时代,而股权分置改革中作为非流通股股东向流通股股东的一种对价支付形式,权证事隔10年以后再次重回资本市场。至第一只权证宝钢JTB诞生以来,经过近几年的发展,中国内地权证市场已经成为全球交易额最大的权证市场,这其中也暴露出了权证市场发展中存在的一些问题。作为标的股票的衍生产品,权证上市必然会对股票现货市场产生一定的影响,因此研究权证上市对标的股票的影响有着较为现实的意义。 股票市场作为资本市场中最为重要的构成部分,其流动性指标在其所有指标中占有很重要的位置。而股权分置改革的重要目标之一就是为了进一步改善市场的流动性,那么权证上市对标的股票流动性的影响则是对股权分置改革成果的一种检验。研究认购权证上市对标的股票流动性的影响,从而发现其中的规律及存在的问题,不仅对于加深投资者对于认股权证的认识,也有利于我国内地权证市场的健康稳健发展。 本文研究了我国内地认购权证的发行对标的股票流动性和风险的影响。以2005年8月至2009年12月部分上市的认购权证为样本,对权证上市对标的股票流动性衡量指标和风险衡量指标进行了实证分析。实证结果表明：权证上市后标的股票流动性得到了显著的改善,系统性风险显著增加,而波动性却显著下降。 The opening of the prologue about the reform of non-tradable shares has caused full circulation of the stock market in the mainland,as a form of consideration payment towards non-circulating stock shareholder in the reform of non-tradable shares,warrants return to the capital market again after a lapse of 10 years.since the listing of the first warrant Baoshan Iron /& Steel JTB,the turnover of China warrants market has aready become the biggest warrants market in the world across the development in recent several years,but it also reveals some problems which exist in the development of warrants market. As the derivatives as the underlying stock,the listing of warrants is bound to have some impact in the stock spot market,and therefore the study of warrants listing's influence to the underlying stocks has more practical significance. The stock market is the most important component of the capital market,its liquidity indicator plays an important position in all of indicators, while one of the important targets in the reform of non-tradable shares is to improve the liquidity of the market, the warrants listing's influence to the underlying stock's liqiudity is a test of the gains of the reform of non-tradable shares. We study the influence of the call warrant's listing to the underlying stock,then discover the regular pattern and the existing problems,this will not only enhance the invertor's understanding of warrants,but also be benefit to the stable development of China warrants market. In this paper we study the influence of the issue of call warrants on the underlying stock's liquidity and risk. We make an empirical study of the issue of call warrant's influence on the liquidity and risk of the underlying stock in using part sample of the call warrants which listed during August 2005 to December 2009.In the aspect of liquidity we make a conclusion that the liquidity of underlying stock has been improved when the call warrants were listed.We also discover that the systemic risk of the underlying stock has been increased and the volatility of the underlying stock has been lowered when the call warrants were listed in the market

关 键 词： 认购权证上市 标的股票 流动性 风险

分 类 号： [F832.51]

领　　域： [经济管理]