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Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange
The aim of this paper is to examine the price effect exerted by derivative warrants on their underlying shares around the introduction and expiration days of the warrants. The study is based on the JSE for the period 2008-2012 and employs the event study methodology. The study assesses the effects g...
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| Format: | Thesis |
| Language: | English |
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Research of GSB
2018
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| _version_ | 1867613890076999680 |
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| access_status_str | Open Access |
| author | Gumede, Lungelo Linda |
| author2 | Toerien, Francois |
| author_browse | Gumede, Lungelo Linda Toerien, Francois |
| author_facet | Toerien, Francois Gumede, Lungelo Linda |
| author_sort | Gumede, Lungelo Linda |
| collection | Thesis |
| description | The aim of this paper is to examine the price effect exerted by derivative warrants on their underlying shares around the introduction and expiration days of the warrants. The study is based on the JSE for the period 2008-2012 and employs the event study methodology. The study assesses the effects generally and for puts and calls separately. Overall, it is found that the price effect depends on the type of warrant as well as the warrant's "moneyness". The in the money sample of puts and calls show significant price effects around the listing and expiration days respectively. The out the money sample of puts and calls indicate no price effect. Each of the samples is subjected to further volume analysis in order to assert if the price effects are linked to any changes in trading volume. This paper has implications for the regulation community and warrant investors on the JSE. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/28972 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:43:19.930Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | Research of GSB |
| publisherStr | Research of GSB |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/28972 Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange Gumede, Lungelo Linda Toerien, Francois Development Finance The aim of this paper is to examine the price effect exerted by derivative warrants on their underlying shares around the introduction and expiration days of the warrants. The study is based on the JSE for the period 2008-2012 and employs the event study methodology. The study assesses the effects generally and for puts and calls separately. Overall, it is found that the price effect depends on the type of warrant as well as the warrant's "moneyness". The in the money sample of puts and calls show significant price effects around the listing and expiration days respectively. The out the money sample of puts and calls indicate no price effect. Each of the samples is subjected to further volume analysis in order to assert if the price effects are linked to any changes in trading volume. This paper has implications for the regulation community and warrant investors on the JSE. 2018-11-02T09:31:20Z 2018-11-02T09:31:20Z 2014 Master Thesis Masters MCom http://hdl.handle.net/11427/28972 eng application/pdf Research of GSB Faculty of Commerce University of Cape Town |
| spellingShingle | Development Finance Gumede, Lungelo Linda Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange |
| thesis_degree_str | Master's |
| title | Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange |
| title_full | Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange |
| title_fullStr | Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange |
| title_full_unstemmed | Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange |
| title_short | Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange |
| title_sort | examining the introduction and expiration price effect of warrants on their underlying assets evidence from the johannesburg stock exchange |
| topic | Development Finance |
| url | http://hdl.handle.net/11427/28972 |
| work_keys_str_mv | AT gumedelungelolinda examiningtheintroductionandexpirationpriceeffectofwarrantsontheirunderlyingassetsevidencefromthejohannesburgstockexchange |