File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.finmar.2012.04.003
- Scopus: eid_2-s2.0-84872159365
- WOS: WOS:000314079300007
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Is warrant really a derivative? Evidence from the Chinese warrant market
Title | Is warrant really a derivative? Evidence from the Chinese warrant market |
---|---|
Authors | |
Keywords | Option Pricing Model The Chinese Warrant Market Warrants |
Issue Date | 2013 |
Publisher | Elsevier 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/177798 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 1.101 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chang, EC | en_US |
dc.contributor.author | Luo, X | en_US |
dc.contributor.author | Shi, L | en_US |
dc.contributor.author | Zhang, JE | en_US |
dc.date.accessioned | 2012-12-19T09:39:56Z | - |
dc.date.available | 2012-12-19T09:39:56Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Journal of Financial Markets, 2013, v. 16 n. 1, p. 165-193 | en_US |
dc.identifier.issn | 1386-4181 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177798 | - |
dc.description.abstract | This 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.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/finmar | en_US |
dc.relation.ispartof | Journal of Financial Markets | en_US |
dc.rights | NOTICE: 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.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Option Pricing Model | en_US |
dc.subject | The Chinese Warrant Market | en_US |
dc.subject | Warrants | en_US |
dc.title | Is warrant really a derivative? Evidence from the Chinese warrant market | en_US |
dc.type | Article | en_US |
dc.identifier.email | Chang, EC: ecchang@hku.hk | en_US |
dc.identifier.email | Zhang, JE: jinzhang@hku.hk | en_US |
dc.identifier.authority | Chang, EC=rp01050 | en_US |
dc.identifier.authority | Zhang, JE=rp01125 | en_US |
dc.description.nature | postprint | en_US |
dc.identifier.doi | 10.1016/j.finmar.2012.04.003 | en_US |
dc.identifier.scopus | eid_2-s2.0-84872159365 | en_US |
dc.identifier.hkuros | 213819 | - |
dc.identifier.volume | 16 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 165 | - |
dc.identifier.epage | 193 | - |
dc.identifier.isi | WOS:000314079300007 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Chang, EC=7401837661 | en_US |
dc.identifier.scopusauthorid | Luo, X=36451930100 | en_US |
dc.identifier.scopusauthorid | Shi, L=55320883300 | en_US |
dc.identifier.scopusauthorid | Zhang, JE=7601346659 | en_US |
dc.identifier.citeulike | 10697945 | - |
dc.identifier.issnl | 1386-4181 | - |