Causality Analysis of Warrant Market and Stock Market and the Overall Significance Test in China

摘要：

The correlation of the warrants market and its corresponding stock market has been a hot spot of attention. As financial derivative products, warrants bring vitality to the financial markets, while also increasing the risk of the market. Analyzing the relationship between the warrants and stock market at this stage is very important to investors. This paper first analyzes the linear causal relationship between Chinas warrants and their underlying stocks returns, and uses the paired comparison test approach to testify the causal relationship significance of the overall market. On this basis, this paper introduces non-linear causality test method to capture more information, and tests the widespread non-linear causality between warrants and their underlying stocks.

关键词： warrant underlying stock granger causality nonlinear

作者: YU Feng TIAN Yixiang LI Chenggang

作者单位: School of Economics and Management, University of Electronic Science and Technology of China,P.R.China, 610054

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 564-571

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）