Causality Analysis of Warrant Market and Stock Market and the Overall Significance Test in China

摘要

The correlation of the warrants market and its corresponding stock market has been a hot spot of attention. As financial derivative products, warrants bring vitality to the financial markets, while also increasing the risk of the market. Analyzing the relationship between the warrants and stock market at this stage is very important to investors. This paper first analyzes the linear causal relationship between China's warrants and their underlying stocks returns, and uses the paired comparison test approach to testify the causal relationship significance of the overall market. On this basis, this paper introduces non-linear causality test method to capture more information, and tests the widespread non-linear causality between warrants and their underlying stocks.