Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/16901
Title: The price effect and the issuance clustering associated with the introduction of derivative warrants in Singapore.
Authors: XU WEI
Keywords: Price effect, Issuance clustering, Derivative warrants
Issue Date: 12-Jun-2009
Source: XU WEI (2009-06-12). The price effect and the issuance clustering associated with the introduction of derivative warrants in Singapore.. ScholarBank@NUS Repository.
Abstract: This paper empirically investigates the price effect on the underlying stocks and the issuance clustering associated with the introduction of derivative warrants in Singapore. First, the findings indicate a significant increase in the prices of the underlying stocks few days before the announcement date of the derivative warrants issuance, which is probably attributed to the hedging activities and price manipulation conducted by the derivative warrants issuers. Second, there are no obvious price movements of the underlying stocks around the listing date of the derivative warrants. Lastly, the results show that there is a decreasing trend in the prices of the underlying stocks when the derivative warrants approach their expiration date, which is likely explained by the inventory unloading executed by the derivative warrants issuers. In addition, the findings in this paper reveal that the clustering of the derivative warrants issuance is considerably related to both the market and industry conditions. Product differentiation strategies may also be adopted by the derivative warrants issuers in a bearish market. It appears that the derivative warrants issuers have the ability to time when to issue new derivative warrants.
URI: http://scholarbank.nus.edu.sg/handle/10635/16901
Appears in Collections:Master's Theses (Open)

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