CHINA FINANCIAL RESEARCH NETWORK
2010-12-09 第3卷 第2期
Xi'an Jiaotong-Liverpool University Mathematical Sciences Department
Eric C. Chang
The University of Hong KongSchool of Economics and Finance
LeiZhang Xi'an Jiaotong-Liverpool University Mathematical Sciences Department
This paper investigates the hedging effectiveness of the Copper Futures contracts using daily settlement prices for the period from 23 July, 2008 to 3 July, 2009. Different econometric models are used to estimate the optimal hedging ratios of Copper Futures on the Shanghai Futures Market. The hedging performance is firstly analyzed by the OLS regression model, the Error Correction model (ECM) and the Bivariate-GARCH Model. Then the Minimum-Variance Hedge Strategy is adopted to evaluate the statistical models. Secondly this research uses a non-parametrical method, the Genetic Algorithms to predict the hedging ratio based on the historical data. Then finally whether the Genetic Programming could produce better hedging parameters than the standard hedging model will be revealed.
Eric C. Chang The University of Hong KongSchool of Economics and Finance
China launched her warrant market in August 2005 in the split share structure reform of listed companies. As up to now, equity trading on margin and short-sale of any form are still prohibited in China. This warrant market enables investors to trade on information that otherwise might be prohibitively expensive to trade on. The Chinese warrant market created top trading volume and turnover with only a handful of different warrants traded. This paper first studies the Chinese warrant market. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. Moreover, the paper documents ample evidence that the one-dimensional diffusion model does not apply well in the Chinese warrant market. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. The paper also studies the cumulated gains of a delta-hedged warrant portfolio. In the Chinese warrant market, the cumulated delta-hedged gains for almost all expired warrants are negative. The negative gains are mainly driven by the volatility risk, and the trading values of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying risk.
本文应用线性多因子模型研究了我国权证的定价能力。通过实证研究发现，权证是非 冗余的，对风险资产的收益率有解释能力，而且对小公司和价值股的解释能力高于大公司和成长 股。文中还利用随机贴现因子的思想，用GMM 方法做了稳健性检验。两种方法从不同角度得到同 样的结论，权证价格中包含定价因素，金融衍生产品的发展能提高市场的定价效率，使市场趋于 完全。
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