The Study on Price Effect of Warrants Market in Taiwan

• Main Authors: Shao-wei Huang, 黃少偉
• Other Authors: Ching-jun Hsu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/72002794611278676665

碩士 === 南華大學 === 財務管理研究所 === 91 === 　　This research mainly studies that whether the issuing, listing and expiration effect of warrants have the influence on the underlying stock prices. The sample includes 108 warrants and its underlying stocks from August 1997 to June 2001. This study takes unit-root test to ensure stationary data, and heteroskedastic test to confirm ARCH effect. The research employs the event study analysis, market model and GARCH(1,1) model to obtain average abnormal return (AAR) and cumulative average abnormal return (CAAR). 　 　　The empirical results of this study are as followed : 1. Issuing of the warrants can influence the underlying stock prices with positive effect which is a good news to investors because those issuing institutions will gradually buy stocks for hedging, The same positive effect appeals on electronic and non-electronic categories as well. 2. The depreciation of the underlying stock prices at the listing day shows negative AR but not significant, and the same effect appeals on both categories as well. 3. The expiration events of warrants in Taiwan exhibits the negative price effect which is a bad news to investors because those issuancing institutions will enormously sell off holding stocks from exercising.