Warrants Effect on the Underlying Stocks Daily Return: An Empirical Research

摘要

In this article,we investigate whether the pricing efficiency of underlying stocks has been improved after the listing of warrants. We analysis whether the change of the daily returns of the underlying stocks before and after the listing of warrants are significant through the EGARCH model. We find that although the warrants can not decrease the pricing efficiency of the underlying stocks significantly,as one of the financial derivatives,the warrants do not make great effects on the increasing of the pricing efficiency. The reason may be the regulations on the warrants and the creation system in our country. As a result,we believe that the realization of the hedging and arbitrage is the necessary condition to improve the pricing efficiency for financial derivatives.