China's Warrants Market Weekday Effect

On August 22^nd, 2005, the call warrant of 580000 Wugang JTB1 went public for exchanging, which marked warrant market in our country opened once again. After two years of development, warrant market has become an important part of the financial market in our country, and it is valued by the investors. Therefore, it is of great importance to investigate the return of warrant market and its volatility rules in our country, as well as to understand its circulate characters.By testing the return of warrant market in our country and its volatility week effect with GARCH model and dummy independent variables, it is found that, compared with stock market, it has positive Monday effect of return and positive Monday and Thursday effect exists in the volatility of call warrant market in our country. Compared with the stock market, the return of put warrant market and its volatility also have the Monday and Thursday effect.By studying the relationship between market return and its volatility with GARCH-M model, it is found that the obvious positive return of call warrant market completely roots in its risk premium, and the obvious positive return of put warrant market partly roots in its risk premium. Though there exists obvious abnormal return in warrant marker in our country, this kind of week effect still matches its risks.Applied LL model based on MDH hypothesis, and prompt trade volume as agent variable of information impact to test warrant market in our country. It is found that information impact leads to the volatility of call warrant market, and MDH hypothesis is practicable to the call warrant market in our country, but this hypothesis, that is, the information impact of prompt trade volume agent can not explain the volatility of the return of put warrant market in our country.