The Singapore equity warrants market

• Main Author: Kong, Patrick Siew Meng
• Other Authors: Ng Kah Hwa
• Format: Final Year Project
• Language: English
• Published: 2015
• Subjects: DRNTU::Business
• Online Access: http://hdl.handle.net/10356/64534
• Institution: Nanyang Technological University

The domestic equity warrants market is still at its adolescence stage of development, and like all other young markets, it has its problems and opportunities. It is surprising that local researches, in a way, have neglected the significance of this market. This research aims to provide insight into the local warrant market and its underlying instrument. Each and every aspects of the market have been looked into and it is found that the domestic warrant market has a vast potential for growth and sophistication. The pricing of warrants is a relatively new subject in local securities research. Prior works done mainly focused on the mathematical modelling techniques pioneered by Black & Scholes. However, none of them managed to produce consistency in all situations. The authors, in search of a satisfactory pricing model for local warrants, have made use of econometric techniques in their model formulation. The empirical results showed that, with respect to local warrants, econometric modelling is a more superior approach than the theoretical Black & Scholes warrant valuation model. The success of this empirical study has opened a new dimension in research on warrant pricing as to date, very little works have been done using the econometric modelling techniques. The model developed in this study thus provides a plausible approach on warrant valuation.