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Chan, Chia-ying and Jelic, Ranko (2007) Impact of covered warrants expirations on underlying shares in Taiwan. Centre for International Capital Markets discussion papers, 2007 (10). pp. 1-41. ISSN 1749-3412
We examine the Taiwanese market for covered warrants, and the impact of the expiration of a covered warrant on the returns, and trading volume of the underlying stock. This paper seeks to address the impact of warrant expiration on the underlying shares. It proposes several sample groups in which such impact may emerge different outcome. Overall, the hypotheses of there are significant price effect and abnormal trading volume around the warrant expirations cannot be rejected. The hypotheses of different price effect and trading volume in sub groups also have been confirmed. This study makes extensive of data from Taiwanese market and several sample groups; the empirical analysis can also serve as a means to improve academic knowledge of impact derivative expiration event on the underlying shares. We conclude that the feature of the sample set does generate different results and we also provider alternative explanations to the empirical outcome.
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