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Expiration Effects of Covered Warrants in China

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  • K. C. Chen
  • Xing-Hao Liao

Abstract

This article examines empirically the impact of the expiration of covered warrants on stock prices and trading volume in China. It shows that the expiration of call warrants had a significantly negative price effect during the last four days of the exercise period, whereas, the expiration of put warrants exhibited no significant price effect. The trading activities of call warrants have a more profound effect than their put counterparts around the expiration day.

Suggested Citation

  • K. C. Chen & Xing-Hao Liao, 2010. "Expiration Effects of Covered Warrants in China," Chinese Economy, Taylor & Francis Journals, vol. 43(6), pages 54-75, November.
    • Handle: RePEc:mes:chinec:v:43:y:2010:i:6:p:54-75
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    Cited by:

    1. Wing-Keung Wong & Hooi Hoi Lean & Michael McAleer & Feng-Tse Tsai, 2018. "Why did Warrant Markets Close in China but not Taiwan?," Tinbergen Institute Discussion Papers 18-051/III, Tinbergen Institute.
    2. Xiao, Wei-Lin & Zhang, Wei-Guo & Yao, Zheng & Wang, Xiao-Hui, 2013. "The impact of issuing warrant and debt on behavior of the firm's stock," Economic Modelling, Elsevier, vol. 31(C), pages 635-641.
    3. 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.

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