The Empirical Study On The Impact Of Warrant Listing And Exchange To Underlying Stock Price In SHSE And SZSE

Warrant is a primary financial derivative product,what influence brings on the uderlying stock by the issue,listing,transaciton and operation of warrant should be concerned by the investor,issuer and supervisor.Chinese warrant market has through three stages:the first is warrant using to the IPO of equity;the second is warrant using to equity division reform and using as payment consideration;the third is using to financing by the listed companies.However,all the warrants listed in the SHSE and SZSE are not real covered warrant.And the covered warrant will be a main trend in the future.So the thesis aim to provide a frontier study for the issue of covered warrant and stock index future by concluding the impact of warrant to the underlying stock.the thesis introduce the definition and classification of warrant,describe the differences between warrant and the real covered warrant and illustrate the pratical meaning of warrant development in our security market fistly.Secondly,the thesis analyses the theoretical relation between warrant and the underlying stock.the thesis makes an empirical analysis on the relation between warrant and the underlying stock.We want to achieve some target by this research:(1) to establish the theoretical frame of relation between warrant and the underlying stock and to explore the short-term and the long-term influence process between warrant and the underlying stock.(2) To research the equity price effect brought by the listing of warrant.(3) To study the volatility effect of underlying stock brought by the listing of warrant.(4) To study the dynamic transmission between warrant and the underlying stock during the existence duration of warrant.The main conclusion of this thesis is following:(1) The listing of put warrant is good news for the underlying stock market,and it results in rising of the stock price.(2) The listing of call warrant is a bad news for the underlying stock market,and over-reaction happened in the underlying stock market.(3) The impact of volatility in the underlying stock market caused by the listing of warrant is not remarkable,but the listing of put warrant can increase the flucating of the underling stock in total.(4) The theoretical relationg between warrant and the underlying stock is not supported by the empirical analysist.It indicates that:the warrant and the underlying stock have weeak correlation with each other; there are over-speculations in the warrant and the stock market.We should adopt covered warrant in the appropriate time to enrich the varieties of warrant market,strengthen investor education and reinforce supervision.