Do Warrants Lead the Underlying Stocks and Index Futures?
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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |