Speculation Spillover

摘要：

　　This paper investigates the volatility and turnover effects of underlying stocks associatedwith the introduction of warrants in China’s warrants market.We find that in a derivative marketwhere noise traders dominate,the introduction of warrants increases the underlying stock’svolatility,which cannot be attributed to better information revelation.We also find thatspeculation on derivatives has a spillover effect on the underlying security.Higher volatilityand turnover rate of underlying stocks are associated with higher warrants turnover,largerwarrants price deviation from theoretical prices,and longer time to maturity of warrants.Additionally,we find that stocks with covered warrants have higher volatility and turnoverthan those with only equity warrants.Our paper provides new evidence for the impact ofderivatives on underlying assets in the emerging market context.

作者: Yu-Jane Liu Zheng Zhang Longkai Zhao

作者单位: Finance Guanghua School of Management Peking University Beijing,China

会议类型: 国内会议

会议名称: 第六届中国金融学年会

会议地点: 成都

会议语种:英文

页码: 1-43

在线出版日期: 2009-10-31（万方平台首次上网日期，不代表论文的发表时间）