Price and volume effects associated with derivative warrant issuance on the Stock Exchange of Hong Kong

摘要: Abstract This paper examines the price and volume effects of underlying stocks around announcement date derivative warrants issued in Hong Kong. In general, results indicate that are subject to extra buying pressure a few days before new warrant issuance, which is consistent with our hypothesis about hedging effect created by merchant banks initiate issuance. Since prices peak on first day after stable thereafter, information associated issuance appears be weak does not last long. addition, we find have abnormal increases during 5 minutes trading day. might due investors’ behavior precipitated leakage successful and/or manipulation order attain better payoff from issuing business.