The pricing efficiency of equity warrants: a Malaysian case
The objective of this paper is to determine the pricing efficiency and behavior of equity warrants traded in the Bursa Malaysia. Specifically, this paper will focus on the studies of 85 randomly selected samples of listed warrants (46 main board warrants, while the remaining 39 were second board war...
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ICFAI University Press
2006
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| Online Access: | http://irep.iium.edu.my/10518/ http://irep.iium.edu.my/10518/ http://irep.iium.edu.my/10518/ http://irep.iium.edu.my/10518/1/The_pricing_efficiency_of_equity_warrants_Malaysia.pdf |
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eprints |
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iium-105182013-12-08T23:39:00Z http://irep.iium.edu.my/10518/ The pricing efficiency of equity warrants: a Malaysian case Haron, Razali HG4501 Stocks, investment, speculation The objective of this paper is to determine the pricing efficiency and behavior of equity warrants traded in the Bursa Malaysia. Specifically, this paper will focus on the studies of 85 randomly selected samples of listed warrants (46 main board warrants, while the remaining 39 were second board warrants) for the trading period of 100 days from January 1, 2004 until May 31, 2004. The model for pricing of warrants in this study is primarily based on the Black-Scholes Option Pricing Model (BSOPM). The theoretical price derived using the BSOPM will then be adjusted to incorporate the dilution effect. The adjusted theoretical pricing will afterward be compared with the actual market prices of warrants to determine the pricing efficiency. The paper will also look into related issues such as the extent of mispricing, factors that could lead to the inefficiencies, volatility of the warrants and the underlying stocks, the behavior of price relationships and appropriate strategies to be adopted with regards to the findings. The study concludes that there is significant mispricing on most of the traded warrants, which can be categorizes as underpriced, overpriced and extremely overpriced. A few warrants, nevertheless, were found to be insignificantly mispriced. ICFAI University Press 2006-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/10518/1/The_pricing_efficiency_of_equity_warrants_Malaysia.pdf Haron, Razali (2006) The pricing efficiency of equity warrants: a Malaysian case. The ICFAI Journal of Derivatives Markets, III (3). pp. 6-22. ISSN 0972-9119 http://www.icfaipress.org 40J-2006-07-01-01 |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
International Islamic University Malaysia |
| building |
IIUM Repository |
| collection |
Online Access |
| language |
English |
| topic |
HG4501 Stocks, investment, speculation |
| spellingShingle |
HG4501 Stocks, investment, speculation Haron, Razali The pricing efficiency of equity warrants: a Malaysian case |
| description |
The objective of this paper is to determine the pricing efficiency and behavior of equity warrants traded in the Bursa Malaysia. Specifically, this paper will focus on the studies of 85 randomly selected samples of listed warrants (46 main board warrants, while the remaining 39 were second board warrants) for the trading period of 100 days from January 1, 2004 until May 31, 2004. The model for pricing of warrants in this study is primarily based on the Black-Scholes Option Pricing Model (BSOPM). The theoretical price derived using the BSOPM will then be adjusted to incorporate the dilution effect. The adjusted theoretical pricing will afterward be compared with the actual market prices of warrants to determine the pricing efficiency. The paper will also look into related issues such as the extent of mispricing, factors that could lead to the inefficiencies, volatility of the warrants and the underlying stocks, the behavior of price relationships and appropriate strategies to be adopted with regards to the findings. The study concludes that there is significant mispricing on most of the traded warrants, which can be categorizes as underpriced, overpriced and extremely overpriced. A few warrants, nevertheless, were found to be insignificantly mispriced. |
| format |
Article |
| author |
Haron, Razali |
| author_facet |
Haron, Razali |
| author_sort |
Haron, Razali |
| title |
The pricing efficiency of equity warrants: a Malaysian case |
| title_short |
The pricing efficiency of equity warrants: a Malaysian case |
| title_full |
The pricing efficiency of equity warrants: a Malaysian case |
| title_fullStr |
The pricing efficiency of equity warrants: a Malaysian case |
| title_full_unstemmed |
The pricing efficiency of equity warrants: a Malaysian case |
| title_sort |
pricing efficiency of equity warrants: a malaysian case |
| publisher |
ICFAI University Press |
| publishDate |
2006 |
| url |
http://irep.iium.edu.my/10518/ http://irep.iium.edu.my/10518/ http://irep.iium.edu.my/10518/ http://irep.iium.edu.my/10518/1/The_pricing_efficiency_of_equity_warrants_Malaysia.pdf |
| first_indexed |
2023-09-18T20:19:55Z |
| last_indexed |
2023-09-18T20:19:55Z |
| _version_ |
1777408037733007360 |