Empirical Analysis On The Factors Affecting The Price Of European-style Call Warrants In China

Along with the development of China's securities market, warrants market has already become the focus of investors. Because of the particularity of trading, warrants become the chased object of some institutions and part of the retail risk-investors. But, in the process of trading, due to lack of deep understanding of the risk of warrants transaction, people only see warrants investment opportunities and have neglected the investment risk. The research on the factors affecting the price warrants have great meaning.As an important type of financial derivatives in China's securities market, warrants transactions and pricing problem has been controversial. Irrational investors make the warrants price from the basic value. But the rational arbitrage will eliminate the influence of price and make financial product price returns to the basic value. However, by analyzing our price fluctuation of warrants, we find that the price of warrants shows high premium level. The paper discusses the underlying stocks and shares index influence to the warrants price. Finally, this paper establishes error correction model to predict the warrants price.The thesis includes six sections:The first chapter is the introduction section and mainly discusses the purpose, significance of research, current research status at home and abroad and research contents and methods.The second chapter starts with the basic principle of warrants and analyses the influence factors of warrants price. Then, it gives BS pricing model and introduces the leverage of warrants.The third chapter uses Black-Scholes model to analyze some warrants theoretical value and finds the deviation between warrants theory price and the market price. Our price of warrants shows high premium level.The fourth chapter selects six warrants of Shanghai stock exchange and two of Shenzhen stock exchange and analyses mutual relations between these warrants and the corresponding underlying stocks.The fifth chapter is based on the chapter 4 and studies these warrants which meet co-integration relationship and granger causality by error-correction model. The underlying stocks and shares index are as independent variables and warrants price is as the dependent variable.The sixth chapter covers the empirical results inspiration for warrants speculators and relevant policy makers and the prospect of research and innovation.