Empirical Analysis On Price Fluctuations Of Warrants In Our Stock Market

Along with the process of equity division reform, the redivious stock warrants, which aroused broad attention and attracted plenty funds, became the focus of domestic stock market immediately. The introduction of warrants is not only a plan to compensate investors for allowing the company's non-tradable shares to be listed on the securities market, but also a start of financial innovation in our securities market, which will help open a new market for the derivative instruments. As a finance derivative similar to option, what is the regular of its price volatility; Meanwhile the initiation and transaction of warrant would influence the underlying assets. This research aims to discuss and prove the regulation, the short-term and long-term effects of warrants issue on underlying stocks through empirical analysis.After introducing the general situation of recent domestic warrants market, firstly, it clarifies the background, the significance and the status of the research and also the paper's innovation. Secondly, it introduces the related knowledge of the warrants, which including the concept, the value, the history, the pricing principle and the evaluation of the warrants, and the relationship and difference in warrants, stocks and the options. Thirdly it introduces the theory about the pricing fluctuation, which including the concept of volatility, the concept and the estimate method of GARCH model.Fourthly, it's the empirical research of this paper. This study selects MaGang Warrant and the underlying stock- MaGang stock as sample, and has done two parts reach of it. The first part: it through building GARCH model, GARCH-M model, EGARCH model, compares the day highest price, day lowest price and the volatility from Dec.29^th, 2006 to Alp. 14^th, 2008. Getting the conclusion, the regularity of price fluctuations is not obvious; it is volatile; The sequence of its volatility is relatively stable. There are clear set of clusters and has the risk premium, significant leverage and feedback effects.The second part: Through event research method, compares the trading volume, price, return, volatility of the underlying stocks 10 days or 60 days before and after the warrants issue, explains the market response to the event, and estimate the effect of the listing of warrants. The empirical results indicate that peak value of trading volume occurs near the warrant listing, and then falls gradually to a level higher than it before the warrant listing; the price gains a short-term supportive effect; the trading volume has increased before the warrant listing and this will continue to the long term; Before the listing it gains a positive Yield rate but in the long term it's not obvious.The fifth part is the conclusion of this paper; Meanwhile it also gives out the suggestions about the policy.