The Study on Price Effect of Warrants Market in Taiwan
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-roo...
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ndltd-TW-091NHU053050032016-06-22T04:20:19Z http://ndltd.ncl.edu.tw/handle/72002794611278676665 The Study on Price Effect of Warrants Market in Taiwan 台灣認購權證市場價格效果之研究 Shao-wei Huang 黃少偉 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. Ching-jun Hsu 徐清俊 2003 學位論文 ; thesis 90 zh-TW |
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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.
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author2 |
Ching-jun Hsu |
author_facet |
Ching-jun Hsu Shao-wei Huang 黃少偉 |
author |
Shao-wei Huang 黃少偉 |
spellingShingle |
Shao-wei Huang 黃少偉 The Study on Price Effect of Warrants Market in Taiwan |
author_sort |
Shao-wei Huang |
title |
The Study on Price Effect of Warrants Market in Taiwan |
title_short |
The Study on Price Effect of Warrants Market in Taiwan |
title_full |
The Study on Price Effect of Warrants Market in Taiwan |
title_fullStr |
The Study on Price Effect of Warrants Market in Taiwan |
title_full_unstemmed |
The Study on Price Effect of Warrants Market in Taiwan |
title_sort |
study on price effect of warrants market in taiwan |
publishDate |
2003 |
url |
http://ndltd.ncl.edu.tw/handle/72002794611278676665 |
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