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

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  • Wing-Keung Wong

    (Department of Finance, Fintech Center, and Big Data Research Center, Asia University, Taichung City 41354, Taiwan
    Department of Medical Research, China Medical University Hospital, Taichung City 404, Taiwan
    Department of Economics and Finance, Hang Seng Management College, Hong Kong, China
    Department of Economics, Lingnan University, Hong Kong, China)

  • Hooi Hooi Lean

    (Economics Program, School of Social Sciences, Universiti Sains Malaysia, 11800 Gelugor, Malaysia)

  • Michael McAleer

    (Department of Finance, Asia University, Taichung City 41354, Taiwan
    Discipline of Business Analytics, University of Sydney Business School, Sydney, NSW 2006, Australia
    Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, 3062 PA Rotterdam, The Netherlands
    Department of Quantitative Economics, Complutense University of Madrid, 28040 Madrid, Spain)

  • Feng-Tse Tsai

    (Department of Finance, Asia University, Taichung City 41354, Taiwan)

Abstract

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.

Suggested Citation

  • Wing-Keung Wong & Hooi Hooi Lean & Michael McAleer & Feng-Tse Tsai, 2018. "Why Are Warrant Markets Sustained in Taiwan but Not in China?," Sustainability, MDPI, vol. 10(10), pages 1-17, October.
    • Handle: RePEc:gam:jsusta:v:10:y:2018:i:10:p:3748-:d:176380
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