The Impact of Listing Warrant on Underlying Stock in Taiwan Stock Market

• Main Authors: Chi Chia-Chia, 戚佳佳
• Other Authors: Lin Cheun-Yuan
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/86312470434187465081

碩士 === 國立中興大學 === 企業管理研究所 === 86 === Warrant is the 1st derivative security that has ever been introduced in Taiwan Stock Market since its 36 years of establishment, thisevent will not only contribute to the completeness, but alsoto the prosperity of our Stock Market. This study is an event study of the impact of the introduction of warrant on the returns ofunderlying stocks. The sample comprises 17 warrants that were listed during September 4, 1997 to March 19, 1998. The aims of the study are to examine:  the effect of announcementof qualified underlying stocks made by Securities &Futures Commission on the returns of underlying stocks; the impact of the issuance and the listing of warrant on the underlying stocks;  the effect of the warrant listingson the same underlying stocks.The results of this empirical study are the following:1. During 1997, Securities & Futures Commissionhas made 6 announcements of the qualified underlyingstocks. Only the last announcement, December 31,has more significant effect on the underlying stocks. The cumulative abnormal returns are positive during the period (-21, +21) for 10 underlying stocks. For other2 underlying stocks, the cumulative abnormal returns are significant starting from day -6 to day +8.2. Overall, the impact of the issuance and listingof warrants is not consistent for all underlying stocks. However, the effect on the underlyingstocks of 2 basket warrants is similar.3. Furthermore, for warrant listings on the sameunderlying stocks, there is also no consistent effect on the volatility.