权证风险对冲策略绩效的实证分析

对于权证发行人或做市商或交易商,权证的市场风险主要体现在权证发行阶段的定价和交易阶段的双边报价,这种动态的即时风险一般采用对冲操作进行风险转移.国内学者和投资机构对这些对冲策略的研究还很缺乏,在国内外学者研究的基础上,采用我国的权证交易数据,比较了各种策略的优劣和对冲绩效.

Empirical analysis on the performance of hedging strategies of warrants' risk

For the issuers,market makers or dealers,the market risk of warrants is mainly reflected in pricing at issuing stage and bilateral quotation of transaction stage.This dynamic risk is generally transferred away via hedging.The research is penurious on those hedge strategies from scholars and investment institutions in China.Upon the researches from foreign and domestic scholars,this paper compares the hedging performance,advantages and disadvantages of those hedge strategies,applying the warrants transaction...