An empirical study on the effectiveness of the warrant creation mechanism based on principal component analysis

Author

Xie Chi ; Yu Qing-xian

Author_Institution

Sch. of Bus. Adm., Hunan Univ., Changsha, China

fYear

2011

fDate

8-10 Aug. 2011

Firstpage

5389

Lastpage

5392

Abstract

The Shanghai Stock Exchange restarts the warrants trading in 2005. And then warrants become the most dynamic financial derivatives of the securities market. This paper structures a metric of the effectiveness of the Warrant Creation Mechanism by principal component analysis and then tests it. The results demonstrate that the Warrant Creation Mechanism significantly affect the pricing efficiency of the warrants, price volatility of underlying securities and investment risk while the inhibition on the warrants price fluctuations is not significant.

Keywords

investment; principal component analysis; risk analysis; stock markets; Shanghai stock exchange; financial derivatives; investment risk; pricing efficiency; principal component analysis; securities market; warrant creation mechanism; warrants price fluctuations; warrants trading; Fluctuations; Indexes; Investments; Pricing; Principal component analysis; Security; Stock markets; Principal component analysis; Warrant; the Warrant Creation Mechanism;

fLanguage

English

Publisher

ieee

Conference_Titel

Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on

Conference_Location

Deng Leng

Print_ISBN

978-1-4577-0535-9

Type

conf

DOI

10.1109/AIMSEC.2011.6009845

Filename

6009845