中文摘要：

文章研究了中国权证市场上认购权证的负溢价现象及隐含波动率。结果表明，负溢价现象的相对偏误程度与价值状况、到期时间正相关，与标的股票波动率负相关；当出现负溢价现象时，在特定情况下，套利交易可以进行；价格正常数据（未出现负溢价现象数据）的隐含波动率研究显示，中国权证市场的波动率微笑存在，且隐含波动率期限结构具有均值回复性。

英文摘要：

This paper on call warrants in China market studies the negative premium phenomenon and implied volatility. We find the biases are positively related to the moneyness and time to maturity, and negatively related to underlying stock＇s volatility. The arbitrage test indicates that arbitrage chances emerge in some specific cases when negative premium phenomenon exists. The study of implied volatility shows that volatility smile does exist in China market, and the volatility term structure is mean-reverting.