Title :
A study on the comovement between warrants and the underlying stocks based on a time-varying relevant bivariant normal copula model
Author :
Zeng, Zhi-Jian ; Xu, Di
Author_Institution :
College of Business Administration Hunan University Changsha, China
Abstract :
The time-varying relevant bivariant normal copula model is applied to study the comovement between representative warrants and their underlying stocks in Mainland China´s stocks market. The results indicate that there´s a quite strong positive comovement between the call warrants and the underlying stocks during the entire duration, while this comovement weakens on the last trading day; As for the put warrant and the underlying stock, this comovement is weak and negative, while on the last trading day, this negative comovement weakens.
Keywords :
Context; Fluctuations; Indexes; Investments; Security; Stock markets; comovement; copula model; timevarying; underlying stock; warrant;
Conference_Titel :
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location :
Shanghai, China
Print_ISBN :
978-1-4244-8691-5
DOI :
10.1109/ICEBEG.2011.5881916
