我国权证在行权日前后对标得股票影响得实证分析.pdf

T h e E m P ir iea lA n a ly sis o n th e Im P aet o f w ar ra nts W h leh A l e a ro u n d M a tu r it y D ate o n U n d erly in g S to ek s in C h in a re扭m fro m 19 8 1 to 19 9 5 . B u t few sch o lars re search th at w h ether w arran ts h av e irnP aet on the un derl负n g stoek in a P eriod of m atUrity of the w arr ants.T h is P ap er aim s to an aly sis of th e im P act of the u n derl外n g sto ck thl ou gh em P irieal research m eth o d s o n f iv e w 盯 an ts in a P er io d o f m atUr ity o f the w arx an ts. T h e f irst ch aP ter d e ser ib e s th e b a ek gr o u n d an d sign if ic an c e ， b ee au se th e relation sh iP b et从/een th e w arr an ts an d th e un d erl扒n g stock h as im P ortan t th eo retic a l an d P ra etica l sign i五ean c e . T h is se co n d ch aP ter in tro d u e es th e b a sie theo ry o f w arr an t， In c lu d in g w arr an ts ’d ef in itio n an d c la ssif ieati o n ete . In the th ird an d forth ch aP ter，b a sed o n su m m ary o f th e w arr an ts stud y b o th at h o m e an d ab ro a d ， th is P aP er tak e s f iv e tyP ic a l w arr an ts w h ich h av e ex P ired ， th ey are N a llii an g ，Z h ao h an g ，W u g an g ，Ya g erer an d M ao ta i. T h is P ap er u se s ev en t stUd y m etho d o lo g y an d ch o o ses a 3 0 一d ay 一P er io d o f b efor e an d a fter v e stin g d ate . th e em P ir ie a l re se arch d iv id e d in to thl e e a sP e cts : th e f ir st P art 15 w e c a lcu late A b n o rm a l r etu n l rate d u r in g th e ev en t w in d o w . A t th e sam e tim e ，w e u se t te st to e stim ate w h eth er m aut r ity o f the w arr an ts h av e a co m P