我國認(rèn)股權(quán)證發(fā)行對標(biāo)的股票收益及風(fēng)險的影響.pdf

1、湖南大學(xué)碩士學(xué)位論文我國認(rèn)股權(quán)證發(fā)行對標(biāo)的股票收益及風(fēng)險的影響姓名：趙榮新申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：賀學(xué)會20090401AbstractInthispaper23warrantsissuedandlistedintheShanghaiStockExchangefromAugust，2005toJuly2007andtheircorrespondingunderlyingstockswereselectedastheres

2、earch0biectsThispaperchosethe10一dayspanbeforeandafterthelistingdateofthewarraIltasashorttermstudyingperiod，andchosethe120dayspanbeforeandafterthelistingdateofthewarrantasamediumandlongtermstudyingperiodBesidesthispaperca

3、rriedoutpracticalanalysisontheaffectsofChina’sissuingofwarrantsontheretllmandriskoftheunderlyingstockswiththeeventstudyingmethodandthemodelofGARCHMTheconclusionsareasfollows：Intheshorttenn，theissuingofwarrantshassignific

4、antinfluenceontheyieldoftheunderlyingstocks，butinthemediumandlongtermitsinfluenceisindistinctive，whichmeanstheshortterminfluenceisnotcontinuousandshorttermeffectisexistedIntemsoftheinfluenceoftheissuingofwarrantsontheris

5、koftheunderlyingstocks，itisfoundthatthevolatilityoftheunderlyingstocks’returnratedecreasedsubstantiallVWhiletheresearchofthemediumandlongtermdatashowedthat，theissuingofwarrantsdoesnothavesignificantimpactonthesystematicr

6、iskoftheunderlyingstocksRegardingtheinfluenceofthetotalrisk，morethanhalfoftheissuingofwarrantshassignificantinfluenceontheunderlyingstocks’totalvolatilitysomedecreasedandsomeincreased，thesearenotliketheshortterminfluence

7、buttheirinfluencingdegreearebothverylittleInall，China’Sissuingofwarrantshassomeeffectsonthepromotionofstocks’pricinganddecreasingofstockprices’volatilitiesbuttheeffectsisstillverysmallandparticularlyitisshortdatedandCann