The Warrants Expire On The Analysis Of The Underlying Stock

This paper examines whether the expiration-day effects of stock options traded in Chinese Stock Exchange with respect to trading volume, return, and volatility of individual stocks. Using transaction data of the optionable stocks to testing expiration-day effects with Mann-Whitney U Test, stock trading volume and return volatility of Haier, Yuanshui are proved to be increase significantly, but the effects occur before options were expiated. Stock trading volume of Jiafei, Shouchuang increase significantly, but we can't sure that whether it is caused by the expiration or circumstance of stock market trading volume. Even the expiration remodel the structure of return regress model.Stock trading volume of Wugang increase significantly because of option expiration, return regress model restructure accordingly.Stock trading volume and return volatility of Baogang increase significantly, but the volatility effect occurs before option was expiated.Stock trading volume and return volatility of Hangang increase significantly, but we can't sure that whether the expiration or circumstance of stock market trading volume cause it.Stock trading volume and return volatility of Wanhua increase significantly, but we can't sure that whether the expiration or circumstance of stock market trading volume cause it.Stock trading volume and return volatility of Changdian increase significantly, but we can't sure that whether it is caused by the expiration or circumstance of stock market trading volume.Stock trading volume of Wanke increase significantly, but we can't sure that whether it is caused by the expiration or circumstance of stock market trading volume. This paper also investigates the advantages and shortages of option, enhancing the extent and depth of option market as one of means to develop domestic capital market.