The Study Of Call Warrants Listing's Impact On The Liquidity And Risk Of The Underlying Stock

The opening of the prologue about the reform of non-tradable shares has caused full circulation of the stock market in the mainland,as a form of consideration payment towards non-circulating stock shareholder in the reform of non-tradable shares,warrants return to the capital market again after a lapse of 10 years.since the listing of the first warrant Baoshan Iron & Steel JTB,the turnover of China warrants market has aready become the biggest warrants market in the world across the development in recent several years,but it also reveals some problems which exist in the development of warrants market. As the derivatives as the underlying stock,the listing of warrants is bound to have some impact in the stock spot market,and therefore the study of warrants listing's influence to the underlying stocks has more practical significance.The stock market is the most important component of the capital market,its liquidity indicator plays an important position in all of indicators, while one of the important targets in the reform of non-tradable shares is to improve the liquidity of the market, the warrants listing's influence to the underlying stock's liqiudity is a test of the gains of the reform of non-tradable shares. We study the influence of the call warrant's listing to the underlying stock,then discover the regular pattern and the existing problems,this will not only enhance the invertor's understanding of warrants,but also be benefit to the stable development of China warrants market.In this paper we study the influence of the issue of call warrants on the underlying stock's liquidity and risk. We make an empirical study of the issue of call warrant's influence on the liquidity and risk of the underlying stock in using part sample of the call warrants which listed during August 2005 to December 2009.In the aspect of liquidity we make a conclusion that the liquidity of underlying stock has been improved when the call warrants were listed.We also discover that the systemic risk of the underlying stock has been increased and the volatility of the underlying stock has been lowered when the call warrants were listed in the market...