Empirical Study On The Efficiency Of Warrants Market And Warrants Value

CSRC(China Securities Regulatory Commission) began to implement the equity segementation reform in 2005. In the equity segementation reform reform, non-tradable shares used in a variety of ways to pay consideration to shareholders, is the issue of warrants in a number of ways. Although the market launch of the warrents is based on the share reform of the background, but because of the warrants issued to create a more flexible, for the launch of its stock options, stock index options, such as standardization of product options contracts laid the foundation for the introduction.Validity of the theory of financial markets that the stock price reaction is always open to all the available information, the market is effective. In the capital asset pricing model, any of the proceeds of financial assets are risk-free interest rate and market risk premium decision, after risk-adjusted gains over with unpredictability. In the uncertain conditions to judge human behavior and decision-making studies have shown that when people in decision-making is not fully rational, but investors are not trading with each other's independence, is also profits limited. Week effect on the stock market is a widespread phenomenon, the effects of the existence of a week means that without taking into account transaction costs under the premise, based on historical stock price data is available over the proceeds.Based on theoretical and empirical research-based analysis, the effect of E-week and the value of warrants related to the Institute concluded summarized, as this- paper, the theoretical basis for Empirical Research. E-week on the market value of the warrants and effect are analyzed in this paper to our species warrants the warrants market, the yield on the study on China's warrants market effect of weeks of existence and performance of the form of empirical analysis. The use of simple descriptive statistics, least squares GARCH model and statistical testing, the time value of warrants on the stock market and the subject of long-term relationship between the use of co-integration theory test.Evidence obtained through the research of China's warrants market warrants significant positive effect Monday and put warrants significant negative effect Friday. By the time value of warrants and the end of round statistics, obtained warrants our serious speculation in the market, there is a high exchange rate, prices plummeted, and so on speculation. Through co-integration test, come to our market, most of the warrant correspond to the subject and the time value of the stock does not exist between the long-term co-integration relationship between China proved the invalidity of the market warrants.