Do Warrants Lead the Underlying Stocks and Index Futures?

• Main Author: LIN, Ying Kui
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/9; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1008&context=etd_coll
• Institution: Singapore Management University

The lead-lag relation between options and stocks has been a subject of controversy for years with conflicting findings in the literature. In this thesis, we present an intuitive method to examine the lead-lag relation, if any, in the tick-by-tick data of covered warrants and their underlying stocks...