Empirical Research on the Relationships between China Warrants and Underlying Stock

Through an empirical test, different relationships on call-warrants and put-warrants with their underlying stocks were analyzed. Moreover, whether the effects of warrants on the underlying stocks are same in notice day and list day were analyzed. Correlation coefficient of warrants with their underlying was computed and cumulative abnormal yield and abnormal volatility in notice day and list day were also computed chiefly. The result of the research shows that the call-warrants have high relevance with their underlying stock, and the listing of warrant has no explicit effect on China stock market.