뗚29뻭ꆡ뗚6웚2010쓪ꆡꆡ6퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ벼ꆡ쫵ꆡ뺭ꆡ볃TechnologyEconomꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡVol129,No16icsJune,2010벯뫏뺺볛폫솬탸뺺볛믺훆쿂좨횤볛룱탐캪뗄럖컶퇮ꆡ,쏏컀뚫(훘쟬듳톧뺭볃폫릤짌맜샭톧풺,훘쟬400044)햪ꆡ튪:놾컄퓋폃볛룱뗷헻쒣탍,뛔뇈럖컶쇋벯뫏뺺볛뫍솬탸뺺볛믺훆뛔좨횤뾪엌볛쫕틦싊뫍쫕엌볛쫕틦싊뗄펰쿬ꆣ퇐뺿뇭쏷:퓚짮뮦솽쫐쫕엌닉좡늻튻훂뗄뺺볛랽쪽뗄쟩뿶쿂,짮뮦솽쫐좨횤볛룱탐캪듦퓚뷏듳닮틬ꆣ짮쫐좨횤뾪엌볛쫕틦싊폫쫕엌볛쫕틦싊뗄랽닮뇈횵ꆢퟮ킡횵틔벰ퟮ듳횵뇈횵뗄뻹횵뻹듳폚뮦쫐좨횤쿠펦뇈횵뗄뻹횵,뛸럥뛈뇈횵ꆢ욫뛈뇈횵뫍튻뷗ퟔ쿠맘쾵쫽뇈횵뗄뻹횵퓲쿠랴,헢뇭쏷뺺볛믺훆펰쿬쇋좨횤볛룱탐캪뗄뇤뚯ꆣ맘볼듊:벯뫏뺺볛;솬탸뺺볛;붻틗믺훆;좨횤;쫕틦싊;늨뚯싊훐춼럖샠뫅:F830191ꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:1002-980X(2010)06-0087-041ꆡ퇐뺿놳뺰엌볛쫕틦싊뫍쫕엌볛쫕틦싊뗄럖늼탔훊듦퓚쿔훸뗄닮틬ꆣ맺쓚췢웤쯻톧헟튲듓룷랽쏦뻍뺺볛믺훆뛔횤횤좯붻틗믺훆쫇횸횤좯볛룱뗄탎돉믺훆,웤훷좯믲웚믵뗈볛룱탐캪뗄펰쿬뷸탐쇋짮죫퇐뺿[6]ꆣ튪릦쓜퓚폚쓜릻붫춶헟뗄잱퓚탨쟳뮯캪쿖쪵뗄틔짏퇐뺿훷튪쫇헫뛔뺺볛믺훆뛔막욱뫍웚믵볛볛룱뫍돉붻솿ꆣퟷ캪뷰죚쫐뎡캢맛뷡릹뗄튻룶훘튪룱탐캪뗄펰쿬,쒿잰,맺쓚췢퇐뺿뺺볛믺훆뛔좨횤볛ퟩ돉늿럖,붻틗믺훆퓚쳡룟쫐뎡폐킧탔뫍춸쏷뛈틔룱탐캪펰쿬뗄컄쿗뷏짙,뛸좨횤쫇횤좯쫐뎡뗄훘튪벰붵뗍붻틗돉놾뗈랽쏦웰ퟅ훘튪뗄ퟷ폃ꆣ맺볊짏ퟮퟩ돉풪쯘횮튻,뛔뇪뗄막욱뫍횤좯쫐뎡뻹폐튻뚨펰뎣볻뗄붻틗믺훆쫇벯뫏뺺볛ꆢ솬탸뺺볛ꆢ쫐짌쫐뎡,쿬,틲듋폐뇘튪뛔뺺볛믺훆쫇럱뛔좨횤볛룱탐캪듦컒맺횤좯쫐뎡퓲훷튪닉폃벯뫏뺺볛뫍솬탸뺺볛뗄횤퓚펰쿬틔벰쓄훖뺺볛믺훆룼폐킧뷸탐퇐뺿ꆣ좯붻틗믺훆ꆣ뺺볛랽쪽뛔횤좯볛룱탐캪쫇럱폐펰쿬믹폚듋,놾컄퓋폃볛룱뗷헻쒣탍,퓚짏몣횤좯붻틔벰쓄훖뺺볛랽쪽룼폐킧튻횱쫇맺쓚췢톧쫵뷧뫍횤틗쯹좨횤뾪엌닉폃벯뫏뺺볛ꆢ쫕엌닉폃솬탸뺺볛,뛸좯탐튵뗄퇐뺿죈뗣횮튻ꆣ짮?횤좯붻틗쯹좨횤뾪엌뫍쫕엌뻹닉폃벯뫏뺺볛뗄Amihud뫍Mendelson[1]춨맽뛔횤좯쫐뎡캢맛쟩뿶쿂,뛔뇈럖컶솽쫐좨횤뾪엌볛쫕틦싊폫쫕엌볛뷡릹쪵횤퇐뺿랢쿖,뺺볛붻틗믺훆뛔쫕틦싊룅싊럖쫕틦싊뗄럖늼탔훊,퇐뺿뺺볛믺훆쫇럱뛔좨횤볛룱늼(폈웤쫇룅싊럖늼샫즢탔)폐뷏듳펰쿬ꆣ돂놣뮪[2]탐캪듦퓚펰쿬ꆣ퓚뾪엌붻틗닉폃벯뫏뺺볛ꆢ쫕엌붻틗닉폃솬탸뺺볛뗄쳵볾쿂,뇈뷏쇋퓚짏몣횤좯붻틗쯹짏쫐뗄10횻막2ꆡ샭싛믹뒡욱뾪엌쫕틦싊폫쫕엌쫕틦싊뗄탐캪,퇐뺿랢쿖붻틗Garbade뗈쳡돶튻룶볲떥뗄듸퓫짹뗄볛룱뗷헻믺훆뛔막볛탐캪듦퓚쿔훸펰쿬ꆣ퓸뎤뫧[3]뛔럖뇰내쒣탍:헕뾪엌볛뫍쫕엌볛볆쯣뗄솽훖쫕틦싊뷸탐쇋뇈뷏,Pt-Pt-1=g(Vt-Pt-1)+utꆣ(1)랢쿖쇋벫횵뻛벯쿖쿳,늢붫탎돉헢튻쿖쿳뗄풭틲맩웤훐,Vt뫍Pt(뻹좡뛔쫽횵)럖뇰캪퓚t쪱뿌좨뷡폚쫐뎡훐헇뗸럹쿞훆뗄듦퓚,ퟮ뫳붨솢쇋튻룶볲횤뗄볛횵뫍맛닢볛룱;ut캪뻹횵캪0ꆢ폐쿞랽닮캪ꛒ2떥쒣탍뛔듋뷸탐쇋쮵쏷ꆣ췵횾룕[4]뗈퓋폃짏몣횤좯뗄ꆰ냗퓫짹ꆱ;퓫짹믡떼훂맛닢볛룱욫샫웤볛횵,볛룱붻틗쯹170횻막욱뗄붻틗쫽뻝,쪵횤퇐뺿쇋솽훖붻뗷헻쾵쫽g퓲랴펳쇋붻틗볛룱쿲볛횵뗄뗷헻,쟒웤싺틗믺훆쿂뗄막욱볛룱쳘헷,럖컶뇭쏷뾪엌볛룱뗄뷏ퟣ0<g<2ꆣ늢붫횤좯퓚쪱볤t뗄쓚퓚볛횵Vt틔벰듳늨뚯쫇평뾪엌잰뗄뎤쪱볤붻틗훐횹뫍뾪엌쪱뗄벯웤맛달볛룱Pt횮볤뗄닮뇰맩틲폚붻틗훐뗄퓫짹ꆣ뫏뺺볛믺훆릲춬틽웰뗄ꆣ키뾡쾲[5]퓚뺺볛믺훆뛔웚놾컄닉폃횤좯퇐뺿뗄뺭뗤볙짨,횤좯볛횵뗄뛔믵볛룱탐캪뗄펰쿬퇐뺿훐랢쿖듳솬듳뚹웚믵뫏풼뾪쫽럾듓쯦믺폎ퟟ맽돌:쫕룥죕웚:2010-03-23ퟷ헟볲뷩:퇮(1985ꆪ),얮,붭쯕퇯훝죋,훘쟬듳톧뺭볃폫릤짌맜샭톧풺쮶쪿퇐뺿짺,퇐뺿랽쿲:춶죚뻶닟;쏏컀뚫(1964ꆪ),쓐,훘쟬죋,훘쟬듳톧뺭볃폫릤짌맜샭톧풺뷌쫚,늩쪿짺떼쪦,퇐뺿랽쿲:햽싔맜샭ꆢ횤좯춶ꆣ87
벼쫵뺭볃ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뗚29뻭ꆡ뗚6웚Vt=Vt-1+m+ꛅtꆣ(2)맛닢쫕틦싊튻뷗ퟔ킭랽닮캪:웤훐2,m=E(Vt-Vt-1),(Vt-Vt-1)캪죕볛횵cov(Rt,Rt-1)=g/(2-g)[(1-g)v-ꛒ2]ꆣ쫕틦싊;볛횵쫕틦욫닮ꛅt캪뛀솢폚ut뗄쯦믺뇤솿,(6)뻹횵캪0,폐쿞랽닮캪2vꆣ맛닢쫕틦싊튻뷗ퟔ쿠맘쾵쫽캪:평쪽(1)뫍쪽(2)뿉뗃:C2orr(Rt,Rt-1)=[g(12-g)v-gꛒ2]/(gv+ꇞꇞ2ꛒ2)ꆣ(7)Piit=gꇆ[(1-g)Vt-i]+ꇆ[(1-g)ut-i]ꆣi=0i=0(3)3ꆡ퇹놾뗄톡좡폫쫽뻝뒦샭뛸맛닢쫕틦싊뿉뚨틥캪:311ꆡ퇹놾쫽뻝뗄톡좡ꇞ캪쇋뇈뷏솽훖늻춬뺺볛믺훆쿂좨횤볛룱탐캪뗄Rt=Pt-Pt-1=m+igꇆ[(1-g)(ꛅt-i-i=0닮뇰,듓짮뮦좨횤쫐뎡톡좡쇋11횻퇹놾좨횤,톡좡ut-i-1)]+utꆣ(4)틀뻝죧쿂:ꋙ2006쓪7퓂1죕뫳죔퓚짮뮦횤좯쫐뎡평쪽(4)뿉췆돶맛닢쫕틦싊랽닮:붻틗,쟒듦탸뷘횹죕웚퓚2007쓪7퓂1죕(몬2007ꇞV22쓪7퓂1죕)횮뫳;ꋚ2006쓪7퓂1죕훁2007쓪7ar(Rt)=gꇆ[(12i-g)(v+ꛒ2)]+ꛒ2=i=0퓂1죕횮볤늻짙폚60룶붻틗죕ꆣ짮뮦솽쫐럻뫏틔g/(22-g)v+2/(2-g)ꛒ2ꆣ(5)짏쳵볾뗄좨횤믹놾쇏죧뇭1쯹쪾ꆣ쪽(5)폒뇟뗄뗚튻쿮듺뇭볛횵쫕틦랽닮뛔맛닢쫕틦싊랽닮뗄릱쿗,뗚뛾쿮듺뇭퓫짹뗄릱쿗ꆣ뇭1ꆡ짮뮦솽쫐럻뫏쳵볾뗄좨횤탲뫅좨횤볲돆짏쫐뗘뗣듦탸웰쪼죕웚듦탸뷘횹죕웚1십룖CWB1짏몣횤좯붻틗쯹2006-11-292008-11-282훐뮯CWB1짏몣횤좯붻틗쯹2006-12-182007-12-173퓆뮯CWB1짏몣횤좯붻틗쯹2007-03-082009-03-074커룖CWB1짏몣횤좯붻틗쯹2007-04-172009-04-165틁샻CWB1짏몣횤좯붻틗쯹2006-11-152007-11-146컥솸YGC1짮?횤좯붻틗쯹2006-04-032008-04-027쟈돇HQC1짮?횤좯붻틗쯹2006-11-242007-11-238룖랰GFC1짮?횤좯붻틗쯹2006-12-122008-12-119뮪쇢JTP1짮?횤좯붻틗쯹2006-03-022008-03-0110컥솸YGP1짮?횤좯붻틗쯹2006-04-032008-04-0211훐벯ZYP1짮?횤좯붻틗쯹2006-05-252007-11-23312ꆡ쫽뻝뒦샭퇐뺿좨횤뾪엌볛쫕틦싊폫쫕엌볛쫕틦싊뗄럖늼탔31211ꆡ짮뮦쫕틦싊럖늼탔훊뇈뷏럖컶훊ꆣ틔짏몣횤좯붻틗쯹뫍짮?횤좯붻틗쯹좨횤쫐뎡뾪엌볛쫕틦싊뚨틥캪:훐떼돶뗄뾪엌볛폫쫕엌볛캪풭쪼쫽뻝ꆣ룹뻝쪽(8)Ro,t=ln(Po,t)-ln(Po,t-1)ꆣ(8)뫍쪽(9)볆쯣돶뾪엌볛쫕틦싊Ro폫쫕엌볛쫕틦싊쫕엌볛쫕틦싊캪:Rc,늢평듋뗃돶뾪엌볛쫕틦싊폫쫕엌볛쫕틦싊ퟮ킡Rc,t=ln(Pc,t)-ln(Pc,t-1)ꆣ(9)횵ꆢퟮ듳횵ꆢ랽닮ꆢ럥뛈ꆢ욫뛈뗄뇈횵ꆣ뇭2뫍뇭3쯹놾컄훷튪듓ퟮ킡횵ꆢퟮ듳횵ꆢ랽닮ꆢ럥뛈ꆢ욫뛈살쪾짮뮦솽쫐퇹놾좨횤Ro뫍Rc뗄쿠맘횸뇪ꆣ뇭2ꆡ짏몣횤좯붻틗쯹퇹놾좨횤Ro뫍Rc뗄쿠맘횸뇪OVar(Ro)Min(Ro)Max(Ro)Kurt(Ro)Skew(Ro)ptionVar(Rc)Min(Rc)Max(Rc)Kurt(Rc)Skew(Rc)11102960186091104511100901102802019576019517018434018792115771311021301919811000011082611029941106210164151136423189432139375110515110671111651112574019987Mean110244018882110836116245114055뻸뛔횵>1뗄좨횤쫽41444>1뗄뇈샽(%)8020808080ꆡꆡ힢:웤훐,Var뇭쪾퇹놾쫕틦싊뗄랽닮,Min뫍Max뇭쪾쫕틦싊뗄ퟮ킡횵뫍ퟮ듳횵,Skew뫍Kurt럖뇰캪맀볆뗄욫뛈폫럥뛈ꆣ88
ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ퇮ꆡ뗈:벯뫏뺺볛폫솬탸뺺볛믺훆쿂좨횤볛룱탐캪뗄럖컶ꆡꆡꆡꆡ평뇭2뿉틔랢쿖,80%뗄퇹놾좨횤뾪엌쫕틦싊ퟮ킡횵뻹횵킡11118%ꆣ퓚퇹놾좨횤훐,80%뗄좨랽닮듳폚쫕엌쫕틦싊랽닮,뾪엌볛쫕틦싊랽닮뗄뻹횤뾪엌볛쫕틦싊뗄럥뛈듳폚쫕엌볛쫕틦싊뗄럥뛈,횵룟돶쫕엌볛쫕틦싊랽닮2144%,헢뇭쏷뾪엌볛쫕잰헟뗄뻹횵뇈뫳헟뗄뻹횵듳62145%,54155%뗄좨틦싊뗄늨뚯탔듳폚쫕엌볛쫕틦싊뗄늨뚯탔ꆣ뾪엌볛횤뾪엌볛쫕틦싊뗄욫뛈듳폚쫕엌볛쫕틦싊뗄욫뛈,쫕틦싊ퟮ듳횵뻹횵뇈쫕엌볛쫕틦싊ퟮ듳횵뻹횵듳잰헟뗄뻹횵뇈뫳헟뗄뻹횵듳40155%,벴뾪엌볛쫕8136%,뾪엌볛쫕틦싊ퟮ킡횵뻹횵뇈쫕엌볛쫕틦싊틦싊뇈쫕엌볛쫕틦싊볢럥룼볢ꆢ욫뛈룼욫ꆣ뇭3ꆡ짮?횤좯붻틗쯹퇹놾좨횤Ro뫍Rc뗄쿠맘횸뇪OVar(Ro)Min(Ro)Max(Ro)Kurt(Ro)Skew(Ro)ptionVar(Rc)Min(Rc)Max(Rc)Kurt(Rc)Skew(Rc)6111250110644111126019929ꥀ-210046ꥀ71106431101971107920189910173308110178017482110634014592ꥀ-016797ꥀ91104170199090188970183020186881011056311181011116511453301360411111667111734113434115422112978Mean110786110296111008110295019907뻸뛔횵>1뗄좨횤쫽64522>1뗄뇈샽(%)10066167831333313333133ꆡꆡ평뇭3뿉틔랢쿖,쯹폐퇹놾좨횤뾪엌쫕틦싊랽짏횤쯹퇹놾좨횤뗄뾪엌볛쫕틦싊틔벰쫕엌볛쫕닮뻹듳폚쫕엌쫕틦싊랽닮,뾪엌볛쫕틦싊랽닮뗄뻹틦싊튻뷗ퟔ쿠맘쾵쫽럖뇰죧뇭4쯹쪾ꆣ횵뇈쫕엌볛쫕틦싊랽닮듳7186%,춬퇹뾪엌볛쫕틦뇭4ꆡ짏몣횤좯붻틗쯹퇹놾좨횤Ro뫍Rc뗄싊뗄늨뚯탔듳폚쫕엌볛쫕틦싊뗄늨뚯탔튻뷗ퟔ쿠맘쾵쫽;뾪엌볛쫕틦싊ퟮ듳횵뻹횵뇈쫕엌볛쫕틦싊ퟮ듳횵뻹횵듳OptionCorr(Rot,Ro(t-1))Corr(Rct,Rc(t-1))1-01038-0100610108%,뾪엌볛쫕틦싊ퟮ킡횵뻹횵뇈쫕엌볛쫕틦싊ퟮ킡횵뻹횵듳2-01088-010992196%ꆣ퓚퇹놾좨횤훐,33133%뗄301095012203좨횤뾪엌볛쫕틦싊뗄럥뛈듳폚쫕엌볛쫕틦싊뗄럥4-01071-01055뛈5-011433-01113,잰헟뗄뻹횵뇈뫳헟뗄뻹횵듳2195%,33133%뗄좨횤뾪엌볛쫕틦싊뗄욫뛈듳폚쫕엌볛쫕틦싊뗄욫뻹횵-01049-01011뛈ꆡꆡ힢ꆰ:3ꆱ뇭쪾퓚0105쿔훸쮮욽(떥닠)짏쿔훸쿠맘ꆣ,떫잰헟뗄뻹횵뇈뫳헟뗄뻹횵킡0193%ꆣ뛔뇈럖컶뇭2ꆢ뇭3뿉횪,뮦쫐좨횤닉폃뾪엌벯ꆡꆡ평뇭4뿉횪,짏몣횤좯붻틗쯹퇹놾좨횤훐,퓚뾪뫏뺺볛ꆢ쫕엌솬탸뺺볛,뛸짮쫐좨횤뾪ꆢ쫕엌뻹닉좡엌볛쫕틦싊Ro뫍쫕엌볛쫕틦싊Rc짏룷폐80%뗄퇹벯뫏뺺볛뗄쟩뿶쿂,솽쫐좨횤뾪엌볛쫕틦싊뫍쫕엌놾퓚5%뗄훃탅쮮욽짏늻듦퓚쿔훸ퟔ쿠맘탔,쟒뾪볛쫕틦싊럖늼탔훊듦퓚쿔훸닮틬,뮦쫐뗄랽닮뇈횵ꆢ엌볛쫕틦싊Ro뫍쫕엌볛쫕틦싊Rc뗄튻뷗ퟔ쿠맘쾵ퟮ킡횵벰ퟮ듳횵뇈횵뻹퓶듳쇋;뛸럥뛈뇈횵ꆢ욫뛈뇈쫽뻹횵뚼캪뢺,평폚퓫짹뫍맽뛈랴펦믡떼훂ퟔ쿠맘횵뗄뻹횵랴뛸쿠랴,뚼복킡ꆣ쾵쫽캪뢺,평쪽(7)뿉횪룃뷡싛,평듋쮵쏷짏몣횤좯뛔뇈럖컶뇭쏷뺺볛믺훆펰쿬ퟅ좨횤쫕엌볛쫕틦붻틗쯹좨횤붻틗뾪엌폫쫕엌쪱뻹폐뿉쓜듦퓚퓫짹뫍싊럖늼탔훊,헢킩뻟쳥뗄횸뇪뗄뛔뇈쮵쏷쇋뺺볛믺맽뛈랴펦ꆣ평Ro뫍Rc뗄튻뷗ퟔ쿠맘쾵쫽뻹횵캪뢺훆펰쿬쇋좨횤볛룱탐캪뗄뇤뚯ꆣ뒫춳뗄좨횤뚨볛랽뫍쪽(7)뿉횪ꛒ2>2v(1-g),붫룃늻뗈쪽듺죫쪽램볙뚨뇪뗄횤좯쫕틦싊럾듓뛔쫽헽첬럖늼,틲듋춨(5)뿉뗃var(Rt)>2v,헢뇭쏷맛닢쫕틦싊랽닮룟맀맽짏쫶횸뇪뗄럖컶뿉볻헢솽훖믺훆훆뛈쿂,쫕틦싊쇋볛횵쫕틦싊랽닮ꆣ뗄헽첬럖늼쫇늻튻퇹뗄ꆣ평폚뾪엌볛쫕틦싊Ro뗄튻뷗ퟔ쿠맘쾵쫽캪-31212ꆡ탲쇐쿠맘볬퇩01049,쫕엌볛쫕틦싊Rc뗄튻뷗ퟔ쿠맘쾵쫽캪-놾컄춨맽볆쯣뾪엌볛쫕틦싊Ro틔벰쫕엌볛쫕01011,틲듋죴뾪엌폫쫕엌쪱뗄볛룱뗷헻쾵쫽gꆢ볛틦싊Rc뗄튻뷗ퟔ쿠맘쾵쫽Corr(Rt,Rt-1)볬퇩웤횵쫕틦랽닮2v쿠뗈,퓲뾪엌쪱뗄퓫짹붫듳폚쫕엌쪱쿔훸탔,늢룹뻝튻뷗ퟔ쿠맘쾵쫽뗄헽뢺탔퇐뺿볛룱뗄퓫짹ꆣ뗷헻맽돌gꆢ퓫짹ꛒ2뛔뾪엌볛쫕틦싊폫쫕엌볛쫕틦짮횤퇹놾좨횤뗄뾪엌볛쫕틦싊틔벰쫕엌볛쫕틦싊뗄펰쿬ꆣ싊튻뷗ퟔ쿠맘쾵쫽럖뇰죧뇭5쯹쪾ꆣ89
벼쫵뺭볃ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뗚29뻭ꆡ뗚6웚뇭5ꆡ짮?횤좯붻틗쯹퇹놾좨횤Ro뫍Rc뗄쫕엌볛늨뚯탔듳,헢쫇틲캪뾪엌잰뗄튻뛎쪱볤붻틗튻뷗ퟔ쿠맘쾵쫽훐횹,평폚듳솿뗄탅쾢뗄믽샛뫍붻틗탅쾢뗄좱랦,뛔OptionCorr(Rot,Ro(t-1))Corr(Rct,Rc(t-1))볛룱횻쓜쫇뷸탐췆닢,틲듋붻틗헟뛔폚볛룱쫇늻좷6-01092-01023뚨뗄,헢뻍뿉쓜떼훂룼듳뗄컳닮,듓뛸퓶듳쇋뾪엌볛7-01053010208-01070-01059뗄늨뚯ꆣ9-01024-010302)쳞돽붻틗뗄펰쿬,뛔뇈짮횤뫍짏횤,평폚쫕엌10-011483-011773닉좡늻춬뺺볛랽쪽뗄쟩뿶쿂,틲듋쫕엌볛쫕틦싊뗄11-0101801048뻹횵닮틬돌뛈듦퓚쿔훸닮틬,쮵쏷뺺볛믺훆뛔좨횤뗄볛-01068-01037ꆡꆡ힢ꆰ:3ꆱ뇭쪾퓚0105쿔훸쮮욽(떥닠룱늨뚯럖늼탔훊폐뷏듳펰쿬ꆣ)짏쿔훸쿠맘ꆣ3)짮?횤좯붻틗쯹쫕엌볛쫇틔쫕엌잰ퟮ뫳3럖ꆡꆡ평뇭5뿉횪,짮?횤좯붻틗쯹퇹놾좨횤훐폐훓춨맽벯뫏뺺볛닺짺쫕엌볛ꆣ벯뫏뺺볛닉폃ퟮ듳돉83133%퓚5%뗄훃탅쮮욽짏늻듦퓚쿔훸ퟔ쿠맘탔,붻솿풭퓲,벴틔듋볛룱돉붻쓜릻뗃떽ퟮ듳돉붻솿ꆣ쟒뾪엌볛쫕틦싊Ro뫍쫕엌볛쫕틦싊Rc뗄튻뷗ퟔ쿠뾪럅쪽벯뫏뺺볛쾵춳쓜릻벰쪱뷒쪾닎뾼볛룱,헢뻍맘쾵쫽뻹횵뚼캪뢺,쮵쏷짮?횤좯붻틗쯹좨횤붻틗쓜릻쪹뗃늨뚯뇈뷏샭탔ꆣ떫죴춬쪱컼틽쇋첫뛠뗄퓫뾪엌폫쫕엌쪱튲뻹폐뿉쓜듦퓚퓫짹뫍맽뛈랴펦,쟒짹춶헟,헢퇹뻍믡쪹뗃벯뫏뺺볛뗄쫕엌볛욫샫뻹맛닢쫕틦싊랽닮룟맀쇋볛횵쫕틦싊랽닮ꆣ뫢볛룱ꆣ평폚뾪엌볛쫕틦싊뗄튻뷗ퟔ쿠맘쾵쫽캪-4)뮦쫐샻폃ퟮ뫳튻뇊(몬ퟮ뫳튻뇊)붻틗잰튻럖01068,쫕엌볛쫕틦싊뗄튻뷗ퟔ쿠맘쾵쫽캪-01037,훓룷뇊돉붻볛내돉붻솿볓좨쟳욽뻹횵뗃떽뗄쫕엌틲듋죴뾪엌폫쫕엌쪱뗄볛룱뗷헻쾵쫽gꆢ볛횵쫕틦랽볛,뇜쏢쇋킡뛮붻틗탐캪뗄펰쿬,붵뗍쇋쫕엌볛놻죋닮2v쿠뗈,퓲뾪엌쪱뗄퓫짹붫듳폚쫕엌쪱뗄퓫짹ꆣ캪닙ퟝ뗄뿉쓜탔,듓뛸튲붵뗍쇋쫕엌볛볤쫕틦싊뗄뛔뇈럖컶뇭4ꆢ뇭5뿉횪,퓚뮦쫐좨횤닉폃뾪엌늨뚯,쿠뇈횮쿂헢튲믡쪹뗃짮?벯뫏뺺볛믺훆쿂뗄벯뫏뺺볛ꆢ쫕엌솬탸뺺볛,뛸짮쫐좨횤뾪ꆢ쫕엌뻹닉쫕엌볛볛룱늨뚯뇈뷏듳ꆣ좡벯뫏뺺볛뗄쟩뿶쿂,뾪엌볛쫕틦싊폫쫕엌볛쫕틦싊뗄튻뷗ퟔ쿠맘쾵쫽뻹횵뚼캪뢺,떫쫕엌솬탸뺺볛닎뾼컄쿗쪱튻뷗ퟔ쿠맘쾵쫽뻹횵뗄뇈횵캪414545,벯뫏뺺볛[1]ꆡAMIHUDY,MENDELSONH1Tradingmechanismsand쪱퓲붵캪118378,헢뷸튻늽쮵쏷뺺볛믺훆뛔좨횤뾪stockreturns:anempiricalinvestigation[J].JournalofFi2엌볛쫕틦싊뫍쫕엌볛쫕틦싊럖늼탔훊듦퓚펰쿬ꆣnance,1987,42(3):5332553.[2]ꆡ돂놦뮪1붻틗믺훆뛔막볛탐캪뗄펰쿬ꆪꆪꆪ뛔훐맺막욱쫐4ꆡ뷡싛뎡뗄쪵횤볬퇩[J].뺭볃퇐뺿,2001(5):69273.[3]ꆡ퓸뎤뫧1횤좯붻틗믺훆펰쿬막볛싰?ꆪꆪꆪ뛔훐맺막욱쫐놾컄퓋폃볛룱뗷헻쒣탍,뛔뇈럖컶벯뫏뺺볛뫍뎡뗄퓙볬퇩[J].뺭볃퇐뺿,2003(11):652701솬탸뺺볛믺훆쿂뾪엌볛쫕틦싊폫쫕엌볛쫕틦싊뗄럖[4]ꆡ췵횾룕,퓸폂,샮욽1벯뫏뺺볛폫솬탸뺺볛믺훆쿂뗄막욱늼탔훊볛룱탐캪[J].맜샭톧놨,2005(2):2002205.,볆쯣뾪엌볛쫕틦싊Ro틔벰쫕엌볛쫕틦싊Rc뗄튻뷗ퟔ쿠맘쾵쫽[5]ꆡ키뾡쾲,쇵펱1뺺볛붻틗믺훆뛔웚믵볛룱탐캪뗄펰쿬퇐Corr(Rt,Rt-1)늢볬퇩웤쿔훸뺿ꆪꆪꆪ듳솬듳뚹웚믵쫐뎡[J].닆뺭컊쳢퇐뺿,2008(1):탔,퇐뺿쇋뺺볛믺훆뛔솽훖뺺볛믺훆쿂좨횤볛룱탐73279.캪뗄펰쿬ꆣ춨맽틔짏뗄럖컶뗃돶틔쿂뗄뷡싛:[6]ꆡMADHAVANA1Tradingmechanismsinsecuritiesmar21)컞싛쫇짏횤뮹쫇짮횤,뾪엌볛늨뚯탔뚼튪뇈kets[J].JournalofFinance,1992,47(2):,MengWeidong(SchoolofEconomicsandBusinessAdministration,ChongqingUniversity,Chongqing400044,China)Abstract:Thispaper,applyingprice2adjustmentmodel,studiestheinfluenceofcallauctionandcontinuousauctionontheopeningandclosingearningrates1TheresearchshowsthatShanghaiandShenzhenStockExchangesadopttwodifferentbiddingmechanisms,sotheirwarrantpricebehaviorsareobviouslydifferent1Thevarianceratiooftheopeningearningrateandtheclosingearningrate,theaverageratioofthemaximumandtheminimuminShenzhenStockExchangearegreaterthanthecounterpartvaluesofShanghai,ontheotherhand,theaverageratioofKur2tosisandSkewness,andthefirst2orderautocorrelationcoefficientarereverse,:callauction;continuousauction;tradingmechanism;warrant;earningrate;volatility90
