【摘 要】
：
This paper investigates the volatility and turnover effects of underlying stocks associatedwith the introduction of warrants in China’s warrants market.We
【机 构】
：
Finance Guanghua School of Management Peking University Beijing,China
论文部分内容阅读
This paper investigates the volatility and turnover effects of underlying stocks associatedwith the introduction of warrants in China’s warrants market.We find that in a derivative marketwhere noise traders dominate,the introduction of warrants increases the underlying stock’svolatility,which cannot be attributed to better information revelation.We also find thatspeculation on derivatives has a spillover effect on the underlying security.Higher volatilityand turnover rate of underlying stocks are associated with higher warrants turnover,largerwarrants price deviation from theoretical prices,and longer time to maturity of warrants.Additionally,we find that stocks with covered warrants have higher volatility and turnoverthan those with only equity warrants.Our paper provides new evidence for the impact ofderivatives on underlying assets in the emerging market context.
其他文献
随着中国企业家国际化的诉求越来越强烈,拉特里奇一直在为中国的企业家出谋划策,他把自己比喻成企业家们的“导游”。
As the demand for the internationalization of Chin
笔者通过分析肺炎临床各期症状,提出新冠肺炎“窍闭络阻”是核心病机,时刻透邪外出是治疗中心思想,应将“透窍”“祛邪”思想贯穿新冠肺炎全程.本文从“透窍法”原理出发,结
In the context of a three-moment Intertemporal Capital Asset Pricing Model specification,we characterize conditional co-skewness between stock and bond exce
平菇的袋栽、床栽和室外覆土栽培,是当前平菇生产上最主要的三大生产模式。这三种生产模式各有各的优点和缺点;袋栽平菇朵形端正,出菇均匀,料袋搬动灵活,温度低时可以堆叠放
十运会圆满结束了,十运会的广播报道也进行得有声有色,准确快速,这里面凝聚着广播技术人员辛勤的汗水、倾心的投入和默默的守候。根据技术部领导的要求,十运会期间,技术管理
1 湖南林夕问:国庆节用草花哪些7月播种? 上旬播种万寿菊、4红黄菊、厚皮菜、小丽花、翠菊等。中旬播种凤仙花、矮凤仙、水飞蓟等。下旬播种矮翠菊。此类播种无论催芽与否均
本文从找准改革定位、把握改革重心、夯实改革内容等三个方面,对军事学研究生培养模式改革问题进行了探讨.
铁路老摄影家陈显文是我的老师。一年前,他在成都龙泉山摄影创作时,不幸病发,与我们永别了。每当想起他的时候,我耳边就会响起他的笑声,他可掬的笑容总是在我眼前挥之不去。
本文针对当前军事硕士专业学位教育中存在的问题,着重从调整军事硕士专业学位研究生在学培养方式、细化招生选拔条件、深化案例教学改革、改进学位论文工作、积极发挥部队导
目的:观察雷火灸联合米非司酮治疗肾虚血瘀型卵巢巧克力囊肿痛经的临床疗效.方法:将70例患者随机分为观察组和对照组,各35例.对照组予口服米非司酮治疗,每次10mg,每日1次;观