https://scholars.lib.ntu.edu.tw/handle/123456789/414489
Title: | The impact of derivatives hedging on the stock market: Evidence from Taiwan's covered warrants market | Authors: | Chung S.-L. Liu W.-R. Tsai W.-C. |
Keywords: | Covered warrants;Expiration effect;Hedging impact;Introduction effect;Price elasticity;Return volatility;Trading volume | Issue Date: | 2014 | Journal Volume: | 42 | Journal Issue: | 1 | Start page/Pages: | 123-133 | Source: | Journal of Banking and Finance | Abstract: | We examine the impact of derivatives hedging on the spot market using accurate hedge ratios of covered warrants traded in the Taiwan Stock Exchange (TWSE). Results present significant positive abnormal returns and trading volumes before the announcement of a warrant's issuance, and the effect is stronger when the hedging demand is larger. Moreover, a significantly positive relationship exists between stock return volatility and the price elasticity of hedging demand. Finally, we observe a significantly negative price effect upon the underlying stock after a call warrant has expired in-the-money due to the liquidation of hedging portfolios. ? 2014 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414489 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2014.01.027 |
Appears in Collections: | 財務金融學系 |
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