系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2013年
7期
1699~1708
,共null页
周海林 吴鑫育 丁忠明 汪寿阳
週海林 吳鑫育 丁忠明 汪壽暘
주해림 오흠육 정충명 왕수양
权证发行 wild bootstrap事件分析法 符号检验 数量效应 符号效应
權證髮行 wild bootstrap事件分析法 符號檢驗 數量效應 符號效應
권증발행 wild bootstrap사건분석법 부호검험 수량효응 부호효응
warrants introduction; wild bootstrap event study; wild bootstrap sign test; magnitude effect; sign effect
为了从经验角度回答“沪深证券交易所中的权证是否为冗余证券”这一问题，本文从2005年8月至2009年12月的沪深交易所上市交易的不可创设权证及标的股票交易数据中选取估计窗与股权分置改革事件不重叠的部分交易数据作为样本（剔除了样本中的（股本）权证稀释效应、股权分置改革和权证创设对标的股票收益率的影响）对权证发行的数量效应和符号效应进行了实证分析．运用基于wildbootstrap的事件分析方法（克服了样本容量过小的问题）分别对权证标的股票的非正常收益、非正常累积收益和标准化的非正常累计收益是否为零进行了检验．本文没有发现“权证发行后标的股票的非正常收益率或非正常累积收益或标准化的非正常累积收益显著不等于零”的数量效应证据，发现了“权证发行后具有负的平均非正常累积收益的权证标的股票比例大于具有正的平均非正常累积收益的权证标的股票比例”的显著符号效应证据．本文认为，是更加偏好风险的激进投资者从标的股票市场转移到权证市场导致了这种现象．经验证据表明：沪深交易所中的权证不是冗余证券．
為瞭從經驗角度迴答“滬深證券交易所中的權證是否為冗餘證券”這一問題，本文從2005年8月至2009年12月的滬深交易所上市交易的不可創設權證及標的股票交易數據中選取估計窗與股權分置改革事件不重疊的部分交易數據作為樣本（剔除瞭樣本中的（股本）權證稀釋效應、股權分置改革和權證創設對標的股票收益率的影響）對權證髮行的數量效應和符號效應進行瞭實證分析．運用基于wildbootstrap的事件分析方法（剋服瞭樣本容量過小的問題）分彆對權證標的股票的非正常收益、非正常纍積收益和標準化的非正常纍計收益是否為零進行瞭檢驗．本文沒有髮現“權證髮行後標的股票的非正常收益率或非正常纍積收益或標準化的非正常纍積收益顯著不等于零”的數量效應證據，髮現瞭“權證髮行後具有負的平均非正常纍積收益的權證標的股票比例大于具有正的平均非正常纍積收益的權證標的股票比例”的顯著符號效應證據．本文認為，是更加偏好風險的激進投資者從標的股票市場轉移到權證市場導緻瞭這種現象．經驗證據錶明：滬深交易所中的權證不是冗餘證券．
위료종경험각도회답“호심증권교역소중적권증시부위용여증권”저일문제，본문종2005년8월지2009년12월적호심교역소상시교역적불가창설권증급표적고표교역수거중선취고계창여고권분치개혁사건불중첩적부분교역수거작위양본（척제료양본중적（고본）권증희석효응、고권분치개혁화권증창설대표적고표수익솔적영향）대권증발행적수량효응화부호효응진행료실증분석．운용기우wildbootstrap적사건분석방법（극복료양본용량과소적문제）분별대권증표적고표적비정상수익、비정상루적수익화표준화적비정상루계수익시부위령진행료검험．본문몰유발현“권증발행후표적고표적비정상수익솔혹비정상루적수익혹표준화적비정상루적수익현저불등우령”적수량효응증거，발현료“권증발행후구유부적평균비정상루적수익적권증표적고표비례대우구유정적평균비정상루적수익적권증표적고표비례”적현저부호효응증거．본문인위，시경가편호풍험적격진투자자종표적고표시장전이도권증시장도치료저충현상．경험증거표명：호심교역소중적권증불시용여증권．
This paper aims to explore whether the warrants in Shanghai and Shenzhen stock exchanges are redundant securities by empirical studies. To obtain an exact analysis, an appropriate sample is selected from August, 2005 to December, 2009, which can exclude the influence of reform of non-tradable shares, dilution effect of warrants and recreation effect of warrants on the return of underlying assets. Wild bootstrap event study methods were employed to overcome the problem of too small sample size, which were performed on abnormal return, cumulative abnormal return, and standardized cumulative abnormal return to test the magnitude effect. The results demonstrate no evidence of magnitude effect after the introduction of warrants. However, the evidence of sign effect is found： the percentage of negative average cumulative abnormal return was bigger than that of the positive average cumulative abnormal return after the introduction of warrants. We claim that this phenomenon is caused by the migration of radical agents from stock market to warrants market and the warrants in Shanghai and conclude that Shenzhen stock exchanges are not redundant securities.
