What Caused Chinese Warrant Price Deviations:Speculation or Creation Mechanism?

摘要

By empirical studies of Chinese warrants pricing,we fnd there are systematic devi- ations in warrants price that call warrants are under valued and put warrants are over valued.Using high frequency data,we do further researches about the reasons of sys- tematic deviations according to the prospect theory and resell option theory owing to heterogeneous beliefs.There are different story for Call Warrants and Put Warrants price deviations.For Call Warrants,the special creation mechanism cause reference prices play a important role in explaining the under valuation of Call warrants,and the turnover of Warrants do not.So the prospect theory dominate the resell option theory in Call Warrants case.For Put Warrants,the turnover of Warrants play a important role to ex- plain the over valuation of Put Warrants,the resell option theory dominate the prospect theory,which consistent with Xiong and Yu (2011).