Expiration Effects of Covered Warrants in China

Chen, K. C.; Liao, Xinghao

doi:10.2753/1097-1475430605

Cited by 3 publications

(5 citation statements)

References 13 publications

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“…In order to study this phenomenon, Fung et al [18] point out the issues of over-speculation and lack of recognition of participants. Liao and Chen [4] determine that the expiration of call warrants have a significantly negative price effect during the last few days of the sample period. Xiong and Yu [1] find that the daily trading volume of many warrants is more than 3 times of the issuance volume.…”

Section: Discussionmentioning

confidence: 99%

“…Some previous studies have focused on issuance, hedging, and expiration effects of warrants on stock returns [2][3][4][5]. For example, Chung et al [5] examine the impact of covered warrant hedging on underlying stocks on the Taiwan Stock Exchange.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Additionally, the authors discover a significant negative effect on stock prices after a call warrant has expired in-the-money because of the liquidation of the hedging portfolio. In China, Liao and Chen [4] find that the expiration of call warrants has a significantly negative price effect during the last four days of the exercise period, whereas the expiration of put warrants exhibits no significant price effects. Overall, the trading activities of call warrants have a more profound effect than their put counterparts around the expiration day.…”

Section: Literature Reviewmentioning

confidence: 99%

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Why Are Warrant Markets Sustained in Taiwan but Not in China?

2018

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This paper uses moment analysis, capital asset pricing model (CAPM) statistics, stochastic dominance (SD) test, and volume analysis to investigating why the market for Taiwan warrants can be sustained but not in China. Our moment analysis shows that buying in China warrants has a higher likelihood of losses. Our CAPM analysis shows that both the Sharpe ratio and Jensen index for warrants from the Chinese market are too negative. The Treynor index shows that Chinese warrants are highly volatile. Our SD analysis shows that risk averters prefer to invest in Chinese warrants compared to Taiwanese warrants, implying that the warrant issuers prefer to issue Taiwanese warrants than Chinese warrants. Using volume analysis, the Chinese warrant market is much more active, implying more speculative activities in China than in Taiwan. All the above could lead to China’s decision to close its warrant market. The findings in the paper are useful for academics, investors, and policy makers.

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Section: Discussionmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

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Why Are Warrant Markets Sustained in Taiwan but Not in China?

2018

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“…Namun, Wong et al (2018), Clarke et al (2011) dan Aitken & Segara (2004) menyimpulkan abnormal return saham negatif diakibatkan oleh peristiwa pencatatan waran. Untuk jatuh tempo pun hasil dari penelitian sebelumnya juga bervariasi bahwa saat waran jatuh tempo in the money, Wong et al (2018), Chen & Liao (2010), Chiang (2014), Chung et al (2014), Xiao et al (2013) dan Klemkosky (1978) mendapat hasil abnormal return negatif signifikan pada saat jatuh tempo. Untuk out of the money, Tang & Wang (2011), Clarke et al (2011) dan Chen & Liao (2010) menyimpulkan bahwa waran yang berakhir out of the money tidak akan menghasilkan abnormal return pada harga saham.…”

Section: Bursaunclassified

“…Kami menggunakan metode event study berdasarkan penelitian terdahulu yang juga yang menggunakan metode event study (Wong et al, 2018;Florianova, 2015;Chiang, 2014;Chung et al, 2014;Xiao et al, 2013;Chen & Liao, 2010;Yip & Lai , 2009;Chung & Hseu 2006;Aitken & Segara, 2004;Chen & Wu, 2001;Howe & Howe, 2001;Hilliard & Leitch, 1997;Rush & Melicher, 1974). Oleh karena itu, penelitian akan dilakukan pada pengujian hipotesis untuk memecahkan argumen efficient market theory dan dilution effect pada bursa Indonesia.…”

Section: Analisis Dataunclassified

Dampak Pencatatandan Jatuh TempoWaran terhadap Harga Saham yang Disertai Waran di Indonesia

Suryawinata¹,

Tekadtuera²,

Ervina

2020

SAKI

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This research discusses the stock abnormal return effect of warrants to its underlying stock on its listing and maturity date. This study sample is the stock price changes of stocks backed with a warrant in the Indonesian stock market for the year 2008 to 2018—using an event study approach to observe stock abnormal return effect on the listing and maturity date of warrants. The results of this research are that we find a significant negative abnormal return around the warrants' listing date. On the warrants' expiration date, we find a significant negative effect before and after the money warrants' maturity date. However, a different result is obtained for the observation of out-of-the-money warrants that do not show any significant abnormal return on the event window.

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