Call Warrants Impact on Underlying Stocks： The Taiwan Experience

作     者：LIU Shu-Ing LEE Ching-Yi 

作者机构：Shih Hsin University Taipei Taiwan 

出 版 物：《Chinese Business Review》 (中国经济评论（英文版）)

年 卷 期：2011年第10卷第2期

页      面：77-83页

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 08[工学] 0822[工学-轻工技术与工程] 

主　　题：CAPM market depth market liquidity market tightness warrants 

摘      要：On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightness and liquidity, changes on underlying stocks due to warrants issuance, are investigated. In this study, the CAPM is applied for evaluating the market risk, the Kyle model for the market depth, the averaged best five bid-ask spread for the market tightness and the averaged turnover rate for the market liquidity. The empirical results indicate that the most significant influence is the market liquidity, the market tightness next; the market risk and market depth are non-significant.