The research report of SSE shows that the creation of mechanisms improves the efficiency of warrant pricing

□ Our reporter Mao Fang

The innovation laboratory of SSE recently launched the report "Research on Creation Mechanism and Pricing Efficiency of China's Warrant Market".

The report points out that the creation of a mechanism is of great significance to the pricing of warrants and is an indispensable institutional measure at this stage in China. The creation mechanism has the dual functions of arbitrage and short selling, which improves the pricing efficiency of warrants, especially plays a very important role in curbing the extreme imbalance between supply and demand.

The report shows that although the creation mechanism has improved the pricing efficiency of related warrants, the overall pricing efficiency of China's warrant market is still low, which is related to the defects of the creation mechanism.

The report suggests that the creation mechanism should be further improved to enhance the flexibility and convenience of creation transactions, such as establishing a real-time creation mechanism similar to Shanghai ETF products, expanding the scope of founders, and establishing a mechanism to create partial cash replacement guarantees.