Full-Text Search:
Home|About CNKI|User Service|中文
Add to Favorite Get Latest Update

A compare research of volatility between call-warrant and put-warrant based on GARCHmodel

ZHAN Chao,PAN Xuan-chen(1.School of Finance,Central University of Finance and Economics,Beijing 100081;2.Nanjing Audit University,Nanjing Jiangsu 211815)  
Volatility is a hotspot in economic and financial studies.In this paper,unconditional volatility estimation and conditional volatility estimation are used to measure the volatility of the six representative warrants in China stock market.And we come to the follow four conclusions:First,all of the warrants have different degrees of clustering of volatility;Second,compare with the call-warrant,the efficiency of the put-warrant is much poor;Third,the duration of the volatility of the call-warrant is longer than the put-warrant,which means the put-warrant is more risky;Forth,the call-warrant compensation of the risk is about six times as much as the put warrant.Finally,based on the research above,we give some suggestions to the investors.
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
©CNKI All Rights Reserved