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The Study of Call Warrants Listing’s Impact on the Liquidity and Risk of the Underlying Stock

Author: JiangFei
Tutor: YangXing
School: Jinan University
Course: Finance
Keywords: Warrants listed Underlying stock Mobility Risk
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 79
Quote: 0
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Abstract


Again after the 2005 stock sub reform off the pull into the circulation times , making the A-share market , split share structure reform as a form of non- tradable shareholders to tradable shareholders a price to pay , 10 years later warrants to return to the capital markets . JTB since the birth to the first one warrants Baosteel , after recent years of development , China Mainland warrants market has become the largest global transaction volume warrants market , which also exposes some of the problems that exist in the warrants market development . As derivatives of the underlying stock , warrants listed will inevitably have some impact on the stocks on the spot market , the study listed warrants have a more realistic sense of the underlying stock . The stock market as the most important component in the capital market , its liquidity indicators occupies a very important position in all of its indicators . One of the important goals of the equity division reform in order to further improve the liquidity of the market , then the warrants listed on the liquidity of the underlying stock is a test of the split share structure reform achievements . The study warrants listed on the liquidity of the underlying stock , which found the law and the problems , not only for a deeper understanding of the investors warrants , but also conducive to the healthy and steady development of China 's warrants market in mainland . In this paper, the Mainland of China, the issue of the warrants on the underlying stock liquidity and risk . Warrants that are listed to August 2005 to December 2009 , in part as a sample, metrics and risk indicators empirical analysis warrants listed on the liquidity of the underlying stock . The empirical results show that : the liquidity of the underlying stock after the listing of the warrants has been significant improvement , a significant increase in systemic risk , volatility has decreased significantly .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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