The Effect of Issuing Call Warrants on Underlying Stocks: An Empirical Analysis
| Autor: | Tsung-Ming Huang, 黃宗明 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 According to the 10-year samples on the TSEC market, it is found that before the issue of the call warrants, the average standardized abnormal returns (SAR) of their underlying stocks showed positive price effect, whereas it showed negative price effect after the issue of the warrants. By dividing the underlying stocks into electronic stocks and non-electronic stock, it is found that before the issue of the warrants, the SAR of their electronic underlying stocks showed positive price effect, whereas after the issue of the warrants, it showed negative price effect. The test results all reached a significant level. For the non-electronic underlying stocks, their SAR showed positive price effect during the pre-issue period, and showed negative price effect in the post-issue period. However, the price effect test results showed less significance. In a bull or bear market, the SAR of the underlying stocks shows positive price effect before the issue of the warrants and shows negative price effect after the issue of the warrants; the test results all reached a significant level. When the market is in the consolidation phase, the positive and negative price effect before the issue of the warrants is equally split and the test results show less significance. However, after their issue, the SAR of the underlying stocks shows significant negative price effect. By analyzing all the samples, it is found that before and after the listing of the call warrants, the SAR of their underlying stocks showed negative price effect while their average standardized cumulative abnormal returns (SCAR) also continued to present negative price effect. The test results all reached a significant level. By dividing the underlying stocks into electronic stocks and non-electronic stocks, it is found that before and after the listing of the warrants, the SAR of their underlying stocks, which are either electronic or non-electronic stocks, all showed negative price effect, and their SCAR also continued to present negative price effect. The test results all reached a significant level. Whether it is in a bull market or bear market or in the consolidation phase, the SAR of the underlying stocks shows negative price effect, and the SCAR also continues to present negative price effect before or after the listing of the warrants. The test results all reached a significant level. However, when the market is bull, two transaction dates will show positive SAR after the listing of the warrant. The study suggests that it could be the result of reinforcing the gaining or losing effect from the warrants. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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