An Empirical Analysis of Causality between Warrants and the Underlying Stocks in China

摘要：

This paper study the 11 warrants in terms of both VAR model and Granger causality test. The results show that: there is a one-way Granger causality between warrants and its underlying stocks warrants market movements affect the underlying stock market movements, but the underlying stock market movements did not affect its warrants market movements. This shows that the introduction of warrants play an important function on the stock market, the development of the warrants is an inevitable trend; there is an excessive speculation on the warrants market, and regulating the warrants market is the top priority.

关键词： Warrants the Underlying stock Granger Causality Analysis

作者: LIAO Qiping

作者单位: Guangdong AIB Polytechnic College, Guangzhou, P.R.China, 510507

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-5

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）