TITLE:
Research on the Volatility Value of A-Share State-Owned Shipping Stocks
AUTHORS:
Rongrong Hu, Yiping Yu
KEYWORDS:
A-Share Stock, State-Owned Shipping Enterprise, Volatility Value
JOURNAL NAME:
Modern Economy,
Vol.13 No.6,
June
29,
2022
ABSTRACT: 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.