权证到期对标的股票的影响性分析.doc

权证到期对标的股票的影响性分析　 本文作者认为这是权证投资品种稀缺、权证市场规模偏小 所致，因此加强我国权证市场广度和深度是发展资本市场的方 向之一。　 　 　 关键词：权证到期效应　曼惠特尼检验　交易量　收益率　波动率　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 　 3 权证到期对标的股票的影响性分析　 Abstract This paper examines whether the expiration-day effects of stock options traded in Chinese Stock Exchange with respect to trading volume, return, and volatility of individual stocks. Using transaction data of the optionable stocks to testing expiration-day effects with Mann-Whitney U Test, stock trading volume and return volatility of Haier, Yuanshui are proved to be increase significantly, but the effects occur before options were expiated. Stock trading volume of Jiafei, Shouchuang increase significantly, but we can’t sure that whether it is caused by the expiration or circumstance of stock market trading volume. Even the expiration remodel the structure of return regress model. Stock trading volume of Wugang increase significantly because of option expiration, return regress model restructure accordingly. Stock trading volume and return volatility of Baogang increase significantly, but the volatility effect occurs before option was expiated. Stock trading volume and return volatility of Hangang increase significantly, but we can’t sure that whether the expiration or circumstance of stock market trading volume cause it.  Stock trading volume and return volatility of Wanhua  increase significantly, but we can’t sure that whether the expiration or circumstance of stock market trading volume cause it. Stock trading volume and return volatility of Changdian increase significantly, but we can’t sure that whether it is caused by the expiration or circumstance of stock market trading volume. Stock trading volume of Wanke increase significantly, but we can’t sure that whether it is caused by the expiration or circumstance of stock market trading volume. 4 权证到期对标的股票的影响性分析　 This paper also investigates the a