The Empirical Analysis Of Effects Of Listing Of Chinese Call Warrants On The Stock Market

In 2005,in order to finish the reform of the state-owned enterprises, warrant has been traded.In 2006, the traded volume of warrant is larger than any country in the world, but now there is no warrant traded in Chinese warrant market. Is it true that warrant is not worth being traded in our country? Because there are many benefits of warrant such as finding price, keeping capital value, and so on. The paper hopes to analysis the effect of listing of the call warrants, including the liquidity of the underlying stock and the validity of the underlying stocks, and to analysis the relationship of warrants and underlying stocks.The paper uses event study and non-parameter test to analysis the liquidity and validity of the underlying stocks from the point of short run and long run. The paper analysis the 39 warrants respectively from the time of latitude, so as to enhance the stability test, and analysis of the impact effect from the horizontal. Besides, analyze the underlying stock on the impact of systematic riskβthrough GARCH model. Finally, the paper used error correction model (VEC) and conducted a Granger causality test to analysis of the relationships between underlying stocks and warrants.The paper comes to conclusions:1.In the short term, the share reform warrants and convertible warrants have no effect on the liquidity of the underlying stocks,in the long term, the share reform warrants and convertible warrants make the liquidity of the underlying stocks increased significantly;2.In the short term, both the share reform warrants and convertible warrants have no effected on the volatility of the underlying stocks, in the long term, the share reform warrants and convertible warrants increase the volatility of the underlying stocks significantly, systematic risk coefficient P has not changed after listing warrants, so the change of volatility due to non-system risk;3.Granger causality does not exist between share reform warrants and underlying stock, that means underlying stock prices do not lead to change stock warrants, the trend of the stock price does not lead to warrants. Convertible warrants and underlying stock have one-way relationship, which having causality from the underlying stocks to the warrants. Conclusion is also confirmed that speculation in the share reform warrants is more serious, there is speculation bubble in warrants market, the stock market lacks validity, it seems that warrant is just a speculative product.Innovation of this paper follows:analysis of effect of the underlying stocks use two time windows:the short and long term, so that evidence is more convincing.The lacking of the paper is the followings:1.only discussing the impact when warrants are listed and existing, it did not discuss the impact when warrants are exercised; 2.only considering their lag period impact on each other, so later it can be improved by analysis the timely effect between them.