| This paper mainly investigates in the warrant market, which is established again in thenon-tradable share reform. Based on local and foreign scholar's studies on warrants andoptions, this article chooses all the warrants on the market till December 31, 2006 as theobject, uses the event study method and Granger causality test to study the short-terminfluence and long-term relationship of the warrants and the underlying stocks. The mainconclusion of this article is following:(1) The warrant issue effect exists in the underlying stocks of the call warrants. Theunderlying stocks have a short-term positive abnormal return before the announcementday and a short-term negative abnormal return after that. On the announcement day, theabnormal return doesn't exist.(2) The warrant issue effect exists in the underlying stocks of the put warrants. Theunderlying stocks have a short-term positive abnormal return before the announcementday, the time of which is longer than the call warrants, and a long-term positivecumulative abnormal return after that. On the announcement day, the negative abnormalreturn does exist.(3) After the warrants are listed on the market, among all the 31 samples, three sampleshave the Granger two-way causal relationship, 15 samples have the unidirectionalGranger casualty from the underlying stocks to the warrants, 13 samples don't have thiskind of relationship. On the contrary, 28 samples don't have the Granger casualrelationship from the warrants to the underlying stocks. There is some kind ofspeculation on the warrant market. The information transmission and price discoveryfunction of the warrant market doesn't exist at present.In the end, through the conclusion derived from the empirical study, I propose someadvices for the further development of the warrant market and the establishment of thefinancial derivatives market. |
