2011
DOI: 10.1142/s021909151100224x
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The Impact of Warrant Introduction: The Australian Experience

Abstract: The impact that derivative trading has on the underlying security is essential to our understanding of security market behaviour, and important in the fields of market efficiency and pricing of such derivatives. This paper examines the impact that the introduction of exchange traded derivative warrants has on the underlying securities' price, volume and volatility in the AbstractThe impact that derivative trading has on the underlying security is essential to our understanding of security market behaviour, an… Show more

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Cited by 5 publications
(6 citation statements)
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“…A constant component is used to model the serial autocorrelation present in the possible market inefficiency; the improvement in efficiency is due to a reduction in this component. Clarke, Gannon, and Vinning (2007) analyze the introduction of warrants in the Australian stock market and find no subsequent difference in volatility. Khan et al (2011) look at SSF trading and its impact on stock prices.…”
Section: Decreased Volatility Due To Futures Tradingmentioning
confidence: 99%
“…A constant component is used to model the serial autocorrelation present in the possible market inefficiency; the improvement in efficiency is due to a reduction in this component. Clarke, Gannon, and Vinning (2007) analyze the introduction of warrants in the Australian stock market and find no subsequent difference in volatility. Khan et al (2011) look at SSF trading and its impact on stock prices.…”
Section: Decreased Volatility Due To Futures Tradingmentioning
confidence: 99%
“…Semenjak tahun 2008, derivatif waran yang diterbitkan bersamaan dengan rights issue saat pengumuman HMETD (Hak Memesan Efek Terlebih Dahulu) tidak mengalami peningkatan atas penggunaan waran sebagai pemanis oleh para emiten. Jika dibandingkan dengan penelitian-penelitian terdahulu mengenai waran seperti pasar Australia, Amerika, Malaysia, Taiwan dan China (Aitken & Segara, 2004;Florianová, 2015;Yip & Lai, 2009;Clarke et al, 2011;Wong et al, 2018) perkembangan waran baru yang disertakan saat pengumuman di Indonesia tidaklah bertambah, namun berkurang dari jumlahnya pada tahun 2008.…”
Section: Pendahuluanunclassified
“…Chung et al (2014), Xiao et al (2013), Chung & Hseu (2006) dan Chen & Wu (2001) menemukan abnormal return saham positif pada saat peristiwa pencatatan waran. 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.…”
Section: Bursaunclassified
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