中国权证市场高频数据波动特征及其原因分析

经济理论与经济管理 ›› 2008, Vol. ›› Issue (6): 48-53.

中国权证市场高频数据波动特征及其原因分析

郭杰, 宋瑞超

中国人民大学经济学院北京 100872

收稿日期:2008-05-26 出版日期:2008-06-16 发布日期:2012-03-01

THE FLUCTUATION CHARACTERISTICS OF THE WARRANTS MARKET IN CHINA AND CAUSE ANALYSIS

GUO Jie, SONG Rui-chao

School of Economics, Renmin University of China, Beijing 100872, China

Received:2008-05-26 Online:2008-06-16 Published:2012-03-01

摘要/Abstract

摘要： 权证市场价格的异常波动是投资者和管理层热切关注的问题。研究表明,中国权证市场的价格波动呈现出尖峰厚尾、持久记忆、波动集群的波动特征;而投资者的损失厌恶心理是导致这种异常波动的重要原因。因此,为了减少投资者的投资风险,需要对投资者进行引导教育,同时,完善证券市场的信息披露制度,加强市场监管。

关键词: 权证市场, 高频数据, 波动特征, 损失厌恶

Abstract: The warrants market price fluctuations have caused extensive concern of investors and the supervision department.The results show that there is significant ARCH effect in the warrants market.In addition,loss aversion is an important cause of the abnormal fluctuations.Therefore,in order to reduce investment risk,the investor education,regulations on trading and information disclosure should be improved.

Key words: warrants market, high frequency data, fluctuation characteristic, loss aversion

中图分类号:

F830.9

郭杰, 宋瑞超. 中国权证市场高频数据波动特征及其原因分析[J]. 经济理论与经济管理, 2008, (6): 48-53.

GUO Jie, SONG Rui-chao. THE FLUCTUATION CHARACTERISTICS OF THE WARRANTS MARKET IN CHINA AND CAUSE ANALYSIS[J]. Economic Theory and Business Management, 2008, (6): 48-53.