Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange.

This paper examines the effect of the listing of derivative warrants on the price, volatility and liquidity of the underlying shares on Singapore Exchange (SGX) from January to September 2006. Our sample of 338 derivative warrants shows significant negative returns occurred for days prior to thei...

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Main Authors: Ke, Peishan., Ng, Pei Wen., Teo, Linda Jia Hui.
Other Authors: Charoenwong, Charlie
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/10473
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Institution: Nanyang Technological University
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spelling sg-ntu-dr.10356-104732023-05-19T07:23:13Z Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange. Ke, Peishan. Ng, Pei Wen. Teo, Linda Jia Hui. Charoenwong, Charlie Nanyang Business School DRNTU::Business::Finance::Stock exchanges This paper examines the effect of the listing of derivative warrants on the price, volatility and liquidity of the underlying shares on Singapore Exchange (SGX) from January to September 2006. Our sample of 338 derivative warrants shows significant negative returns occurred for days prior to their listing dates. We postulate that this evidence supports that the high gearing nature of derivative warrants causes investors to unload their equity holdings and subsequently purchase derivative warrants to gain similar exposure to the underlying shares. In addition, we found that there is excess volatility prior to the listing of derivative warrants and this could be due to speculation. While there is an increase in trading volume, which signifies additional liquidity, bid-ask spread also significantly widened in the window period both prior to and after the listing of the derivative warrants. This could be explained by additional information asymmetry that caused the market makers to require additional compensation for taking positions against more informed traders. 2008-09-24T07:44:03Z 2008-09-24T07:44:03Z 2007 2007 Final Year Project (FYP) http://hdl.handle.net/10356/10473 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Stock exchanges
spellingShingle DRNTU::Business::Finance::Stock exchanges
Ke, Peishan.
Ng, Pei Wen.
Teo, Linda Jia Hui.
Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange.
description This paper examines the effect of the listing of derivative warrants on the price, volatility and liquidity of the underlying shares on Singapore Exchange (SGX) from January to September 2006. Our sample of 338 derivative warrants shows significant negative returns occurred for days prior to their listing dates. We postulate that this evidence supports that the high gearing nature of derivative warrants causes investors to unload their equity holdings and subsequently purchase derivative warrants to gain similar exposure to the underlying shares. In addition, we found that there is excess volatility prior to the listing of derivative warrants and this could be due to speculation. While there is an increase in trading volume, which signifies additional liquidity, bid-ask spread also significantly widened in the window period both prior to and after the listing of the derivative warrants. This could be explained by additional information asymmetry that caused the market makers to require additional compensation for taking positions against more informed traders.
author2 Charoenwong, Charlie
author_facet Charoenwong, Charlie
Ke, Peishan.
Ng, Pei Wen.
Teo, Linda Jia Hui.
format Final Year Project
author Ke, Peishan.
Ng, Pei Wen.
Teo, Linda Jia Hui.
author_sort Ke, Peishan.
title Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange.
title_short Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange.
title_full Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange.
title_fullStr Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange.
title_full_unstemmed Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange.
title_sort price, volume and volatility effects associated with derivative warrant listing on the singapore exchange.
publishDate 2008
url http://hdl.handle.net/10356/10473
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