中国引入备兑权证产品研究
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摘要
与海外成熟市场相比,我国权证市场存在结构性不足和供给数量偏少的“双重缺陷”。目前,我国的证券市场上仅存在股本权证和股改权证,没有备兑权证;仅存在认购权证,没有认沽权证;仅有十几只权证品种在上市交易,相比海外市场每年上万只乃至数十万只备兑权证上市交易的盛况,差距甚大。市场缺陷导致我国的权证市场一直存在过度投机特征。为此,如何发展我国的权证市场,引入备兑权证,发挥衍生产品价格发现的内在功能,平抑市场过度投机成为我国证券市场健康发展的重要课题。
本文通过对现有的股票市场规模、标的股票储备、交易所的软硬件设施、现有权证市场投资者、发行人储备、市场监管体系以及境内外的历史积淀等方面的分析,认为我国引入备兑权证产品的基础扎实,条件良好,具有可行性;通过对股票权证市场发展模式、发展目标、主体构成和发展环境的分析,认为在当前应该优先培育、发展备兑权证市场;在分析了引入备兑权证以后对证券市场功能及结构、投资者、标的证券和发行人等方面可能产生的影响,认为引入备兑权证利大于弊、具有紧迫性;在引入备兑权证的政策建议上,提议一方面要完善当前的现货市场,引入当日回转交易和卖空机制;另一方面,要加强对当前的权证市场制度和监管实践的改革。
Compared with the mature markets overseas, there are a structuralshortage and the low number of supply in China' s warrants market---"doubledefect". At present, China' s stocks market only to the existence of equity warrants and stock warrants, not covered warrants; only to the existence of call warrants, not put warrants; only a dozen or so warrants listing in the transaction, compared with every year in overseas markets tens of thousands and even over hundreds of thousands warrants traded grand occasion, the gap is considerably. China's market defects led to excessive speculation characteristics of the warrants market. Therefore, how to develop China's warrants market, the introduction of covered warrants, derivatives playing an inherent function of price discovery, stabilizing the excessive speculation in the market and healthy development of China' s securities market have become an important issue.
Based on the current stocks market scale, the reserve of subject stocks, the Stock Exchange of hardware and software facilities, the existing warrants market investors, the issuer reserves, market supervision system and, as well as inside and outside the historical accumulation in areas such as analysis, it is considered that there is solid foundation, good condition, a feasibility for our country to introduce covered warrants; on the analysis of stock warrants market development pattern, development goals, environment and development constitute, that the current priority should be given to fostering the development of covered warrants market; In an analysis of the introduction of covered warrants after the structure and function of the stock market, investors, the subject securities and issuers in areas such as the possible impact of the introduction of covered warrants that the advantages outweigh the disadvantages, with urgency; Concerning the introduction of covered warrants on policy proposals, on the one hand, the proposal is to improve the current spot market, the introduction of short selling and trading the same day rotation mechanism; on the other hand, it is necessary to strengthen the reform of the current system and regulatory at warrants market.
本文通过对现有的股票市场规模、标的股票储备、交易所的软硬件设施、现有权证市场投资者、发行人储备、市场监管体系以及境内外的历史积淀等方面的分析,认为我国引入备兑权证产品的基础扎实,条件良好,具有可行性;通过对股票权证市场发展模式、发展目标、主体构成和发展环境的分析,认为在当前应该优先培育、发展备兑权证市场;在分析了引入备兑权证以后对证券市场功能及结构、投资者、标的证券和发行人等方面可能产生的影响,认为引入备兑权证利大于弊、具有紧迫性;在引入备兑权证的政策建议上,提议一方面要完善当前的现货市场,引入当日回转交易和卖空机制;另一方面,要加强对当前的权证市场制度和监管实践的改革。
Compared with the mature markets overseas, there are a structuralshortage and the low number of supply in China' s warrants market---"doubledefect". At present, China' s stocks market only to the existence of equity warrants and stock warrants, not covered warrants; only to the existence of call warrants, not put warrants; only a dozen or so warrants listing in the transaction, compared with every year in overseas markets tens of thousands and even over hundreds of thousands warrants traded grand occasion, the gap is considerably. China's market defects led to excessive speculation characteristics of the warrants market. Therefore, how to develop China's warrants market, the introduction of covered warrants, derivatives playing an inherent function of price discovery, stabilizing the excessive speculation in the market and healthy development of China' s securities market have become an important issue.
Based on the current stocks market scale, the reserve of subject stocks, the Stock Exchange of hardware and software facilities, the existing warrants market investors, the issuer reserves, market supervision system and, as well as inside and outside the historical accumulation in areas such as analysis, it is considered that there is solid foundation, good condition, a feasibility for our country to introduce covered warrants; on the analysis of stock warrants market development pattern, development goals, environment and development constitute, that the current priority should be given to fostering the development of covered warrants market; In an analysis of the introduction of covered warrants after the structure and function of the stock market, investors, the subject securities and issuers in areas such as the possible impact of the introduction of covered warrants that the advantages outweigh the disadvantages, with urgency; Concerning the introduction of covered warrants on policy proposals, on the one hand, the proposal is to improve the current spot market, the introduction of short selling and trading the same day rotation mechanism; on the other hand, it is necessary to strengthen the reform of the current system and regulatory at warrants market.
引文
[1]陈斌、于延超,深沪权证市场发展研究,深圳证券交易所研究所研究报告,2005年10月
[2]陈共,周升业,吴晓求,海外证券市场[MJ,中国人民大学出版社,1997年
[3]陈游,姜世戟,谈我国推出备兑权证的相关问题<<财会月刊(综合版)>>2007年05期
[4]顾纪生,证券市场不规范“创新”之殇[N],国际金融报,2004年9月
[5]顾纪生,证券投资基金风险隐形化及其矫治[J],经济管理,2005年(3)
[6]何杰,开发备兑认股权证市场相关问题研究<<证券市场导报>>2003年03期
[7]华生,2005,股权分置的市场化分散决策原则和方案,《中国证券报》2005年3月18日
[8]黄立锋,香港权证市场面临“赌场”质疑[N],中国证券报,2005年12月
[9]李颂慈,窝轮大智慧,经济日报出版社(香港),2005
[10]李卓威,香港权证市场的演变及发展探讨,2005年10月
[11]刘晓忠,权证投机过度源于市场不成熟[N],中国证券报,2005年12月
[12]盛希泰,权证全攻略,2005年10月
[13]石建新,培育产权市场:推进国有企业改革与发展的重要举措[J],经济体制改革,1998年(1)
[14]石磊,Jin E.Zhang,中国权证市场研究(第一稿),2008年1月
[15]王莹,黄文卿,马家驹,权证的交易制度研究,2005年6月
[16]魏杰,改制、重组、运营[M],北京:同心出版社,1998年
[17]姚兴涛,童威,林琳,备兑权证发行人的风险管理和市场监管,上海证券有限责任公司
[18]叶檀,权证起诉背后的悲剧[N],每日经济新闻,2005年12月
[19]于延超,我国发展股票指数期权问题研究,深圳证券交易所研究所报告,2005年3月
[20]张元,关于发展我国投资银行的探讨[J],经济体制改革,1997年(1)
[21]赵海宽,中国证券市场发展现状及发展构想[A]北京大学出版社,1998年
[22]朱蕾,权证对我国证券市场发展的现实意义及其交易制度的完善,2006年5月
[23](美)威廉·F·夏普(William F·Sharpe)等,投资学,中国人民大学出版社
[24](美)小詹姆斯·法雷尔(James L·Farrell,Jr.)等,投资组合,中国人民大学出版社
[25](美)约翰·赫尔(John C.Hull),期权期货和其他衍生产品,华夏出版社
[26]Black,Fischer,and Scholes,Myron.The Pricing of Options and Corporate Liabilities,Journal of Political Economy,1973,18
[27]Danielsen,Bartlen,and Sorescu,Sorin.Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints.Journal of Financial and Quantitative Analysis,2001,36
[28]Faff,Robert,and Mckenzie,Michael,The Impact of Stock Index Futures Trading on Daily Returns Seasonality:A Multicountry Study.Working Paper,2001
[29]Galai,n.and Schneller,M.I.,1978,Pricing of Warrants and the Value of the Firm,Journal of Finance,33,1333-1342
[30]How,J.C.Y.and Howe,J.S.,2001,Warrants in Initial Public Offerings:Empirical Evidence,Journal of Business,74,433-457
[31]Jarrow,R.Heterogeneous Expectations,Restrictions on Short Sales,and Equilibrium Asset Prices.Journal of Finance,1980,35
[32]Kumar,R.,Sarin,A.,andShastri,K.The Impact of Options Trading on the Market Quality of the Underlying Security:An empirical Analysis.Journal of Finance,1998,2
[33]Miller,E.M.Risk,Uncertainty,and Divergence of Opinion.Journal of Finance,1977,32
[34]Nelson,Daniel B.Conditional Heteroskedasticity in Asset Returns:A New Approach.Econometrica,1991,5-9
[35]Park,TaeH.,Switzer,LorneN.,andBedrossianR.The Interactions Between Trading Volume and Volatility:Evidence from the Equity Options Markets.Applied Financial Economics,1999 9
[36]Pierre,Eileen F.The Impact of Option Introduction on the Conditional Return Distribution of Underlying Securities.The Financial Reviews,1998,33
[37]Pilar,C.and Rafael,S.Does Derivatives Trading Destabilize the Underlying Assets? Evidence from the Spanish Stock Market.Applied Economics Letters,2002,9
[38]Shenbagaraman,P.Do Futures and Options Trading Increase Stock Market Volatility.Working Paper,2003
[39]Sorin M.Sorescu,2000,The Effect of Options on Stock Prices:1973to 1995,The Journal of Finance,Volume 1,pp.487-513
[40]Veld,C.and Verboven,A.,1995,An Empirical Analysis of Warrant Prices versus Long-term Call Option Prices,Journal of Business Finance and Accounting,22,1125-1146
[41]FIBV统计数据,2006年[42]http://deutsche-boerse.com相关资料
[43]http://hk.quament.com网站数据资料.
[44]http://www.bloomberg.com网站数据资料;
[45]http://www.borsaitalia.it相关资料
[46]http://www.hkex.com.hk相关资料
[47]http://www.ses.com.sg相关资料
[48]http://www.tse.com.tw相关资料
[49]WFE统计数据,2007年
[50]上海证券交易所网站数据及资料;
[51]深圳证券交易所网站数据及资料;
[52]香港证券交易所网站数据及资料;
[2]陈共,周升业,吴晓求,海外证券市场[MJ,中国人民大学出版社,1997年
[3]陈游,姜世戟,谈我国推出备兑权证的相关问题<<财会月刊(综合版)>>2007年05期
[4]顾纪生,证券市场不规范“创新”之殇[N],国际金融报,2004年9月
[5]顾纪生,证券投资基金风险隐形化及其矫治[J],经济管理,2005年(3)
[6]何杰,开发备兑认股权证市场相关问题研究<<证券市场导报>>2003年03期
[7]华生,2005,股权分置的市场化分散决策原则和方案,《中国证券报》2005年3月18日
[8]黄立锋,香港权证市场面临“赌场”质疑[N],中国证券报,2005年12月
[9]李颂慈,窝轮大智慧,经济日报出版社(香港),2005
[10]李卓威,香港权证市场的演变及发展探讨,2005年10月
[11]刘晓忠,权证投机过度源于市场不成熟[N],中国证券报,2005年12月
[12]盛希泰,权证全攻略,2005年10月
[13]石建新,培育产权市场:推进国有企业改革与发展的重要举措[J],经济体制改革,1998年(1)
[14]石磊,Jin E.Zhang,中国权证市场研究(第一稿),2008年1月
[15]王莹,黄文卿,马家驹,权证的交易制度研究,2005年6月
[16]魏杰,改制、重组、运营[M],北京:同心出版社,1998年
[17]姚兴涛,童威,林琳,备兑权证发行人的风险管理和市场监管,上海证券有限责任公司
[18]叶檀,权证起诉背后的悲剧[N],每日经济新闻,2005年12月
[19]于延超,我国发展股票指数期权问题研究,深圳证券交易所研究所报告,2005年3月
[20]张元,关于发展我国投资银行的探讨[J],经济体制改革,1997年(1)
[21]赵海宽,中国证券市场发展现状及发展构想[A]北京大学出版社,1998年
[22]朱蕾,权证对我国证券市场发展的现实意义及其交易制度的完善,2006年5月
[23](美)威廉·F·夏普(William F·Sharpe)等,投资学,中国人民大学出版社
[24](美)小詹姆斯·法雷尔(James L·Farrell,Jr.)等,投资组合,中国人民大学出版社
[25](美)约翰·赫尔(John C.Hull),期权期货和其他衍生产品,华夏出版社
[26]Black,Fischer,and Scholes,Myron.The Pricing of Options and Corporate Liabilities,Journal of Political Economy,1973,18
[27]Danielsen,Bartlen,and Sorescu,Sorin.Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints.Journal of Financial and Quantitative Analysis,2001,36
[28]Faff,Robert,and Mckenzie,Michael,The Impact of Stock Index Futures Trading on Daily Returns Seasonality:A Multicountry Study.Working Paper,2001
[29]Galai,n.and Schneller,M.I.,1978,Pricing of Warrants and the Value of the Firm,Journal of Finance,33,1333-1342
[30]How,J.C.Y.and Howe,J.S.,2001,Warrants in Initial Public Offerings:Empirical Evidence,Journal of Business,74,433-457
[31]Jarrow,R.Heterogeneous Expectations,Restrictions on Short Sales,and Equilibrium Asset Prices.Journal of Finance,1980,35
[32]Kumar,R.,Sarin,A.,andShastri,K.The Impact of Options Trading on the Market Quality of the Underlying Security:An empirical Analysis.Journal of Finance,1998,2
[33]Miller,E.M.Risk,Uncertainty,and Divergence of Opinion.Journal of Finance,1977,32
[34]Nelson,Daniel B.Conditional Heteroskedasticity in Asset Returns:A New Approach.Econometrica,1991,5-9
[35]Park,TaeH.,Switzer,LorneN.,andBedrossianR.The Interactions Between Trading Volume and Volatility:Evidence from the Equity Options Markets.Applied Financial Economics,1999 9
[36]Pierre,Eileen F.The Impact of Option Introduction on the Conditional Return Distribution of Underlying Securities.The Financial Reviews,1998,33
[37]Pilar,C.and Rafael,S.Does Derivatives Trading Destabilize the Underlying Assets? Evidence from the Spanish Stock Market.Applied Economics Letters,2002,9
[38]Shenbagaraman,P.Do Futures and Options Trading Increase Stock Market Volatility.Working Paper,2003
[39]Sorin M.Sorescu,2000,The Effect of Options on Stock Prices:1973to 1995,The Journal of Finance,Volume 1,pp.487-513
[40]Veld,C.and Verboven,A.,1995,An Empirical Analysis of Warrant Prices versus Long-term Call Option Prices,Journal of Business Finance and Accounting,22,1125-1146
[41]FIBV统计数据,2006年[42]http://deutsche-boerse.com相关资料
[43]http://hk.quament.com网站数据资料.
[44]http://www.bloomberg.com网站数据资料;
[45]http://www.borsaitalia.it相关资料
[46]http://www.hkex.com.hk相关资料
[47]http://www.ses.com.sg相关资料
[48]http://www.tse.com.tw相关资料
[49]WFE统计数据,2007年
[50]上海证券交易所网站数据及资料;
[51]深圳证券交易所网站数据及资料;
[52]香港证券交易所网站数据及资料;