| In the second half year of 2005, a reform to separate equity and warrant was launched in the security market of China, during which the warrant came again in front of us after 9-year reclusion. This reform was launched to facilitate equity reform. On August 22, 2005, Baogang warrant, following Baogang Steel Corporation's equity reform plan, came into circulation. Up until now, there have already been 26 warrant existing in Chinese security market. Similar to the option, warrant is a type of financial derivative that is of great significance to the equitywarrantseparation reform, activating stock market and improving stock market price system. Thus warrantwas likely to become an real financial independent from equity reform. China's warrantmarket is problematic through reviewing its running over an period of more than one year. In the initial period, as a result of its scarcity, great amount of capital chased warrant in an insensible manner. Abnormality like that the prices of warrant rise and fall at the same time appears with great frequency, leading to irrational marketing prices. The unstable prices of warranthas its profound market reason, but an important reason is that warrant,particularly the pricing of warranthas not been fully understood by investors and no unified benchmark is used to guide their investment. Therefore this article made an in-depth analysis on warrant pricing and the factors affecting the pricing, for the purpose of finding a way to evaluate warrant,thus investors can make reasonable decision.This article first introduced elementary knowledge on warrant, then has outlined the history of warrant and the its history and the present development in China, based on which empirical research was conducted into the rationality of market pricing and effectiveness of theory pricing with the Black-Scholes pricing model as theory tool and selected sample data from Baogang Steel Corporation and Wanke warrant。Historical undulation and invisible undulation were applied to calculate theory price of warrant;rationality of market pricing was tested through Granger consequence test and analysis of departure; then theory pricing was compared with market pricing to analyze the difference between theory price and real marketing value. Finally, suggestions are put forward based upon the analysis of price difference and the reason of undulation. The result demonstrated that the market price of Wanke'swarrant basically conformed to the theory pricing, whereas Baogang Steel Corporation's warrant subscribing went away from its share price trend and independent from the influence of The stock. There was no causal relation between Baogang Steel Corporation's warrantsubscription and share price which indicated the mistakes in Baogang's market position; theory price worked out by using the historical undulation rate deviated greatly from the existing market price, while the theory price calculated by using connotativeundulation rate was much closer to the corresponding market price. This is mainly because the connotative undulation has fully mirrored the current market information and the supply and demand condition, therefore it has a relatively correct estimate of the future price, from which certain guidelines could be drew for the investors.The financial derivative market in China has not grown to maturity in China. Under such circumstances, make a tentative research into the pricing of warrantproducts would have some practical value for the development of warrantand other financial derivative market in China. As to the problems detected in the research, we hold that real option market should be developed in China and thus derivative market could be developed more effectively either through real option products introduced by powerful agencies, or through market expansion and rise in market operation cost. We should also bring the mechanism of oversell to the market to establish necessary conditions for arbitrage. Only so can the price of the financial derivative return to rationality. |
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