中文摘要：

论文利用中国市场上特有的不允许卖空股票的制度，来实证检验“限制对j中”风险对于权证定价的影响。研究将中国权证市场的定价偏离分解为流动性溢价和动量性溢价（折价）。其中动量性溢价（折价）是市场泡沫的一种体现。研究爱现在权证泡沫出现期间，权证的换手率增高。另外，如果允许卖空，投资者将可以通过套利获取无风险收益。

英文摘要：

In this paper, we take advantage of the unique trading rule that disallow investors to short- sell stocks in China to empirically test the hypothesis that ＂limited hedging＂ risk can affect warrants prices. We divide the warrant pricing deviation （ from the theoretical price） into liquidity premium and momentum premium / discount We further show the warrant turnover during warrant bubble is significantly higher, and ff we allow investor to short sefl stocks, they can obtain riskless profits.