Implied volatility of structured warrants: Emerging market evidence

• Main Authors: Mohamad, Azhar, Samsudin, Najmi Ismail Murad, Sifat, Imtiaz, Mohammad
• Format: Article
• Language: English; English
• Published: Elsevier 2021
• Subjects: HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/89506/1/89506_Implied%20volatility%20of%20structured%20warrants.pdf; http://irep.iium.edu.my/89506/2/89506_Implied%20volatility%20of%20structured%20warrants_SCOPUS.pdf; http://irep.iium.edu.my/89506/; https://www.sciencedirect.com/science/article/abs/pii/S1062976921000612?via%3Dihub; https://doi.org/10.1016/j.qref.2021.03.016
• Institution: Universiti Islam Antarabangsa Malaysia

This paper examines the informational content of Implied Volatility (IV) for 493 Malaysian and 945 Thaistructured call warrants from 2014 to 2015. Unlike a regular warrant (issued by the firm) and attached to bonds, loan stocks, or preferred stocks as sweeteners, a structured warrant is issued by a...