文章基本信息

标题：Research on the Volatility Value of A-Share State-Owned Shipping Stocks
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作者：Rongrong Hu ; Yiping Yu
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2022
卷号：13
期号：6
页码：852-859
DOI：10.4236/me.2022.136046
语种：English
出版社：Scientific Research Publishing
摘要：The A-share stock price of state-owned shipping enterprises is higher than the discount value constantly. It implies an American call option for a speculator, so the price contains the discount value and option value. In order to help the investors to find the real value and obtain higher returns under the high volatility caused by the fluctuations of the shipping cycle or the stock market valuation cycle, Least Square Monte Carlo Simulation (LSM) method is used to calculate the implied American call option with the date of COSCO shipping energy-transportation Co., Ltd. It is found that the discount value plus volatility value among 2016-2020 is approximate to the stock price. The option value increases with the extension of maturity and the rise of expected volatility. It explains the over value and high volatility of the A-share price of cyclical stocks and small-cap stocks with poor performance.
关键词：A-Share StockState-Owned Shipping EnterpriseVolatility Value