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沪深权证市场蓬勃发展的同时,存在着权证价格大幅偏离其理论价值,定价效率较低的问题。本文将重点研究我国权证市场定价效率较低的原因,并提出相应的对策,交易所应尽早推出备兑权证和股指期货,丰富衍生产品;完善平衡供需机制,引入持续发行机制与自由发行机制,建立做市商制度;实行部分抵押或动态对冲制度;从而增加权证供给,完善权证定价套利机制,提高权证市场定价效率。
At the same time of the vigorous development of the Shanghai and Shenzhen warrants market, there is a problem that the warrant price deviates greatly from its theoretical value and the pricing efficiency is low. This article will focus on the reasons for the lower pricing efficiency of warrants market in our country and put forward corresponding countermeasures. The exchange should launch warrants and stock index futures as soon as possible to enrich derivative products; improve the balance of supply and demand mechanisms, introduce a continuous issuance mechanism and a free distribution mechanism, Establish a system of market maker; implement partial mortgage or dynamic hedging system; thereby increase the supply of warrants, improve the pricing arbitrage mechanism of warrants and raise the pricing efficiency of warrants market.