THE IMPACT OF WARRANTS INTRODUCTION:SIGN EFFECT OR MAGNITUDE EFFECT?  

作　　者：ZHOU Hailin DING Zhonging XIE Haibin WU Xinyu WANG Shouyang 

机构地区：[1]School of Finance,Anhui University of Finance and Economics [2]School of Banking and Finance,University of Business and Economics [3]MADIS,Academy of Mathematics and Systems Science,Chinese Academy of Sciences

出　　处：《Journal of Systems Science & Complexity》2013年第3期419-431,共13页系统科学与复杂性学报（英文版）

基　　金：supported by the National Nature Science Foundation of China under Grant No.71101001;the National Nature Science Foundation of China;the Research Grants Council of Hong Kong under Grant No.70731160635

摘　　要：The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying shares,and was available from Shanghai and Shenzhen stock exchanges.The event study method is employed to test the magnitude effect based on the Wild bootstrap,which is performed on the abnormal return,the cumulative abnormal return,and the standardized cumulative abnormal return.Empirical results show no evidence of magnitude effect but sign effect after warrants introduction.The authors argue that this phenomenon is caused by the migration of radical agents from stock market to warrant market.

关 键 词：Magnitude effect sign effect warrant introduction wild bootstrap event study wild bootstrap sigh test. 

分 类 号：F832.51[经济管理—金融学]