Price and Volume Effects Associated with Warrant Issuance and Expiration In China
This paper empirically examines the impacts of warrants issuance and expiration on both price and trading volume of the underlying securities in China. The examination finds that the underlying stocks have positive abnormal return prior to the issuance of warrants. On the announcement day of warrant issuance, a significant negative price effect is found that is different from empirical studies on other emerging markets. However, the effect appears to be temporary and not to persist much beyond the listing of the warrants. It is shown that no unambiguous trend is found over the period of warrants expiration. The trading volume is found to increase substantially around the announcement day.
China warrants market Event study analysis Issuance and expiration of warrants Price and volume effects.
Wei Lu Bao Lu
School of Management University of Science and Technology of China Hefei, P. R. China
国际会议
2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)
上海
英文
1527-1536
2007-10-19（万方平台首次上网日期，不代表论文的发表时间）