Warrant Trading Information And Its Effect On The Underlying Stock

With the rapid development of warrant market in mainland China, more and more attention are attracted by home and abroad, investors began to realize the warrant, and as a new investment tool now widely used. But the financial derivatives start relatively late in our country, lack of sufficient experience. Since August 2005, the warrant Baogang JTB1 listed sueeessfully on the SHSE, the irrational investors's speculation cause volatile and price fluctuations of China warrant market.Based on the special phenomenon exists in mainland China, this article from the trading mechanism, warrant transactions, and then use the empirical approach to study implied volatility under this particular transaction mechanism and transaction of China warrant market. Implied volatility in overseas study is more options, futures, which as a standardized financial derivatives can reflect the share of future volatility information in a certain extent. But because of our country securities market situation, the conclusion may not with financial theory and mature market, and this empirical study in China is almost blank, so implied volatility research in our country is very meaningful. In addition, the financial theory support that financial derivatives with underlying asset commonly have causal relationship, financial derivatives introduced can improve the asset of underlying stock's microstructure in a certain sense, but there are many kinds of problems in the development of the warrant market in our country, whether the introduction of warrant has certain improvement on the underlying stock's prices, liquidity and volatility is worth to be studying.So this paper first analysis warrant market mechanism and transactions in mainland China, then use empirical tests implied volatility contains the volatility information of underlying stocks in this context, using event study method inspection underlying stock's returns, liquidity and volatility in the listed warrant. Finally point the conclusion from the empirical test in mainland China market deficiencies of warrant, and gives corresponding explanation, that is very important and meaningfull for the better development in the financial derivatives market.