The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying s...The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying shares,and was available from Shanghai and Shenzhen stock exchanges.The event study method is employed to test the magnitude effect based on the Wild bootstrap,which is performed on the abnormal return,the cumulative abnormal return,and the standardized cumulative abnormal return.Empirical results show no evidence of magnitude effect but sign effect after warrants introduction.The authors argue that this phenomenon is caused by the migration of radical agents from stock market to warrant market.展开更多
基金supported by the National Nature Science Foundation of China under Grant No.71101001the National Nature Science Foundation of Chinathe Research Grants Council of Hong Kong under Grant No.70731160635
文摘The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying shares,and was available from Shanghai and Shenzhen stock exchanges.The event study method is employed to test the magnitude effect based on the Wild bootstrap,which is performed on the abnormal return,the cumulative abnormal return,and the standardized cumulative abnormal return.Empirical results show no evidence of magnitude effect but sign effect after warrants introduction.The authors argue that this phenomenon is caused by the migration of radical agents from stock market to warrant market.
