创设机制有助制权证市场过度投机.PDFVIP

2007 年09 月19 日 金融衍生品研究 衍生产品部 创设机制有助抑制权证市场过度投机 /warrants 权证创设机制自2005 年 11 月28 日实施以来，已运行接近两年的时间。 回顾创设机制的运行情况，我们发现权证创设机制在平抑市场过度投机以 及促进权证价值回归等方面发挥着重要作用。 权证市场存在供需矛盾，主要可归结为以下三方面的原因：其一，权证市 场的交易规则对投机资金具有较大的吸引力；其二，权证价格一般较正股 低廉；其三，权证品种具有稀缺性。 创设注销是一种市场化行为。首先，权证价格出现严重偏离是权证创设的 前提条件；其次，权证创设数量主要取决于权证价格偏离的程度；最后， 创设人的注销行为属于市场化决策行为。 权证创设机制向投资者，特别是中小投资者揭示风险。如果在权证某一价 格水平下，创设人越多，创设份额越大，表明该权证的估值水平越高，权 证价格越不合理。此时，投资者应更多的关注权证价格所蕴含的风险。 创设机制有助平抑权证价格的非理性波动。以招行 CMP1 为例，在2007 年6 月初，招行CMP1 剩余期限已不足三个月，溢价率在70% 以上。受 大量资金的推动，招行CMP1 价格波动异常剧烈。在创设机制的作用下， 招行CMP1 流通份额在短时间内得以增加，权证供需矛盾也得到缓解。创 设活动有效防止招行CMP1 价格再被拉高，促使权证价格回归理性。 创设机制加速权证价值回归。观察已到期认沽证在临近最后交易日的价格 趋势可发现：可创设认沽证更快的向内在价值靠近，这意味着在创设机制 的作用下，认沽证能更快实现价值回归。 请务必阅读正文之后的免责条款 目 录 一、权证市场存在供需矛盾原因分析···························································· 3 二、创设注销是一种市场化行为··································································· 4 1. 价格严重偏离是权证创设的前提·············································································4 2. 创设数量主要取决于权证价格偏离的程度·······························································4 3. 注销行为属市场化决策行为····················································································4 三、创设机制对平抑权证过度投机炒作的作用·············································· 5 1. 创设机制具有风险警示作用····················································································5 2. 创设机制有助平抑权证价格的非理性波动·······························································5 3. 创设机制加速权证价值回归····················································································6 四、总结······································································································· 7 请务必阅读正文之后的免责条款 平安证券权证网站/warrants 2/8 一、权证市场存在供