Call Warrant Listing and the Behavior of its Underlying Spot Market: Some Evidence from Bursa Malaysia

Yip, Yen-Yen; Hooy, Chee–Wooi

doi:10.1080/10599231.2012.690654

Journal of Asia-Pacific Business

2012

DOI: 10.1080/10599231.2012.690654

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Call Warrant Listing and the Behavior of its Underlying Spot Market: Some Evidence from Bursa Malaysia

Yen-Yen Yip

Chee–Wooi Hooy

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Cited by 3 publications

References 17 publications

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Testing The Warrants Mispricing and Their Determinants: The Panel Data Models

Sakti

Qoyum

2017

GReviewIEB

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This paper empirically studied the impact of several variables such as moneyness, stock return, maturity, and volatility on the warrant mispricing. We selected 4 companies listed in Bursa Malaysia such as MHC Plantations Bhd, MKH Bhd, YFG Bhd, and UNISEM to investigate the mispricing of warrants. Subsequently, panel time series data employed with daily basis from 30 June 2010 until 30 June 2013. The Black-Scholes Option Pricing Model (BSOPM) used to determine the mispricing of warrant. Several panel data techniques employed in this study such as pooled-OLS, fixed effect model (FEM), and random effect model (REM). In turn, we found that FEM is well explained the determinants of warrant mispricing. Thus, empirical results suggest that moneyness, maturity, and volatility are positively and significantly explained the mispricing of warrant, while stock return does not give an impact toward the warrant mispricing. The BSOPM is consistently mispricing the warrant either in-the-money (ITM) or out-the money (OTM) warrants. The market is not efficient on the warrants traded for four companies observed

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Testing The Warrants Mispricing and Their Determinants: The Panel Data Models

Sakti

Qoyum

2017

GReviewIEB

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Let there be warrants: the case of Greece

Hourvouliades

Chatzistavrou

2015

IJBD

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Hi̇sse Senetleri̇ni̇n Varantlara Dayanak Varlik Oluşunun Hi̇sse Senedi̇ Geti̇ri̇leri̇ Üzeri̇ndeki̇ Etki̇si̇: Olay Çalişmasi Yöntemi̇ İle Bist’te Bi̇r Uygulama

Aksu

Sakarya

2016

Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

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İlk kez hisse senetlerine dayalı yatırım kuruluşu varantlarının ihraç edilmesinin hisse senedi fiyatları üzerindeki etkisinin incelendiği bu çalışmada olay çalışmasından yararlanılmıştır. Şirketlerin hisse senetlerine dayalı yatırım kuruluşu varantlarının ilk kez ihraç edilmesi ile hisse senetlerinin fiyatlarında bir düşüş gözlenmiş ve hisse senetlerinin varantlara dayanak olduğu tarihler etrafında negatif kümülatif anormal getiri tespit edilmiştir. Bu durum, piyasanın etkin olmadığını göstermektedir

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Call Warrant Listing and the Behavior of its Underlying Spot Market: Some Evidence from Bursa Malaysia

Cited by 3 publications

References 17 publications

Testing The Warrants Mispricing and Their Determinants: The Panel Data Models

Testing The Warrants Mispricing and Their Determinants: The Panel Data Models

Let there be warrants: the case of Greece

Hi̇sse Senetleri̇ni̇n Varantlara Dayanak Varlik Oluşunun Hi̇sse Senedi̇ Geti̇ri̇leri̇ Üzeri̇ndeki̇ Etki̇si̇: Olay Çalişmasi Yöntemi̇ İle Bist’te Bi̇r Uygulama

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