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Article: Is warrant really a derivative? Evidence from the Chinese warrant market

TitleIs warrant really a derivative? Evidence from the Chinese warrant market
Authors
Chang, ECLuo, XShi, LZhang, JE
KeywordsOption Pricing Model
The Chinese Warrant Market
Warrants
Issue Date2013
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/finmar
Citation
Journal of Financial Markets, 2013, v. 16 n. 1, p. 165-193 How to Cite?
DOI: http://dx.doi.org/10.1016/j.finmar.2012.04.003
AbstractThis paper studies the Chinese warrant market that has been developing since August 2005. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. The cumulated delta-hedged gains for almost all expired warrants are negative. The negative gains are mainly driven by the volatility risk, and the trading values of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying risks. © 2012 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/177798
ISSN
1386-4181
2021 Impact Factor: 3.095
2020 SCImago Journal Rankings: 1.946
ISI Accession Number ID
WOS:000314079300007

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_US
dc.contributor.authorLuo, Xen_US
dc.contributor.authorShi, Len_US
dc.contributor.authorZhang, JEen_US
dc.date.accessioned2012-12-19T09:39:56Z-
dc.date.available2012-12-19T09:39:56Z-
dc.date.issued2013en_US
dc.identifier.citationJournal of Financial Markets, 2013, v. 16 n. 1, p. 165-193en_US
dc.identifier.issn1386-4181en_US
dc.identifier.urihttp://hdl.handle.net/10722/177798-
dc.description.abstractThis paper studies the Chinese warrant market that has been developing since August 2005. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. The cumulated delta-hedged gains for almost all expired warrants are negative. The negative gains are mainly driven by the volatility risk, and the trading values of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying risks. © 2012 Elsevier B.V. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/finmaren_US
dc.relation.ispartofJournal of Financial Marketsen_US
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Markets, 2013, v. 16 n. 1, p. 165-193. DOI: 10.1016/j.finmar.2012.04.003-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectOption Pricing Modelen_US
dc.subjectThe Chinese Warrant Marketen_US
dc.subjectWarrantsen_US
dc.titleIs warrant really a derivative? Evidence from the Chinese warrant marketen_US
dc.typeArticleen_US
dc.identifier.emailChang, EC: ecchang@hku.hken_US
dc.identifier.emailZhang, JE: jinzhang@hku.hken_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.identifier.authorityZhang, JE=rp01125en_US
dc.description.naturepostprinten_US
dc.identifier.doi10.1016/j.finmar.2012.04.003en_US
dc.identifier.scopuseid_2-s2.0-84872159365en_US
dc.identifier.hkuros213819-
dc.identifier.volume16-
dc.identifier.issue1-
dc.identifier.spage165-
dc.identifier.epage193-
dc.identifier.isiWOS:000314079300007-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridChang, EC=7401837661en_US
dc.identifier.scopusauthoridLuo, X=36451930100en_US
dc.identifier.scopusauthoridShi, L=55320883300en_US
dc.identifier.scopusauthoridZhang, JE=7601346659en_US
dc.identifier.citeulike10697945-
dc.identifier.issnl1386-4181-

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