Earticle

초록

영어

This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life of warrants, we can estimate the number of shares bought or sold for rebalancing the hedging portfolio and measure its impact. We find significant positive abnormal returns and trading volumes before the announcement day of warrants issuance, suggesting that issuers establish their hedging portfolios before the announcement day. The magnitude of the price effect is positively related to the size of the hedging portfolio. Moreover, there is a significantly positive relationship between stock return volatility and the price elasticity of hedging demand (defined as the percentage of shares needed for rebalancing hedge portfolio when the underlying stock price changes 1%). Finally, we also observe significantly negative price effect to the underlying stock before (after) the expiration date for call warrants that are expired out-of-the-money (in-the-money). For call warrants expired in-the-money, the negative price impact is due to the fact that warrants traded in TWSE are cash settlement when exercised, and thus the issuers have to liquidate the hedging portfolio after expiration, which results in selling pressure on the underlying stock.

목차

Abstract
 1. Introduction
 2. Hypotheses of Hedging Impact
 3. Data Description and Variable Definitions
  3.1. Data description
  3.2. Variable definitions
 4. Empirical Results
  4.1. Introduction effect due to hedging
  4.2. The pervasive effect due to hedging
  4.3. Expiration effect due to hedging
 5. Conclusion
 References
 Table
 Figure

키워드

저자

• San-Lin Chung [ Department of Finance, National Taiwan University ]
• Wen-Ranq Liu [ Department of Finance, National Taiwan University ]
• Wei-Che Tsai [ Department of Finance, National Taiwan University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330