The Microeffect Of Warrants Issue In China Stock Market

From 2005 to 2007, China stock market has altogether issued 35 warrants. By comparing the trading volume, price, variance of return and beta of the underlying stocks before and after the warrants issue, the research analyzes the microeffect of the warrants issue event.In the research of whether warrants issue has a comparatively prominent impact on underlying stocks price, we proceeded from the whole sample, Shanghai sample and Shenzhen sample, calculated the average excess earning ratio and the accumulated average excess earning ratio of these samples every day during the incident. At the same time, we gave their values of t statistic.we have achieved that the event of warrants issue have influenced to the price of the underlying stocks obviously. The effect is that the price of underlying stock dropped during warrants issue, but before the event, the effect is not significant.During the process of estimating whether warrants issue has obvious influence to the trading volume of the underlying stocks, the result of this study indicates that warrants issue has a comparatively prominent influence to the trading volume of the underlying stocks.The detail content is as follows. To whole sample and Shanghai sample, the trading volume of the underlying stocks reduced obviously before the warrants issue, but the data rised up after issue. To Shenzhen sample, the trading volume rised up before the warrants issue and reduced after issue.In the research of whether warrants issue has a comparatively prominent impact on the whole risk and system riskβof underlying stocks, the result indicates that most stocks have changed their variance of return before and after issue.Meantime, the chang ofβcoefficient indicates that warrants issue influenced to system risk obviously. The chang of variance of return andβcoefficient in sample does not demonstrate the consistency of the change.