The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)

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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Main Author:	Haron, Razali
Format:	Conference or Workshop Item
Language:	English
Published:	2006
Subjects:	HG4001 Financial management. Business finance. Corporation finance.
Online Access:	http://irep.iium.edu.my/10838/ http://irep.iium.edu.my/10838/ http://irep.iium.edu.my/10838/1/The_pricing_efficiency_of_Malaysian_warrants_-_Studies_using_BSOPM.pdf

id	iium-10838
recordtype	eprints
spelling	iium-108382011-12-18T09:45:50Z http://irep.iium.edu.my/10838/ The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM) Haron, Razali HG4001 Financial management. Business finance. Corporation finance. 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 will be 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. 2006-07 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/10838/1/The_pricing_efficiency_of_Malaysian_warrants_-_Studies_using_BSOPM.pdf Haron, Razali (2006) The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM). In: MFA's 7th. Annual Conference , 6-7 May, 2005, Dungun, Terengganu. http://www.iupindia.in/706/IJDM_Pricing_Efficiency_Equity_Warrants_6.html
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4001 Financial management. Business finance. Corporation finance.
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. Haron, Razali The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
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 will be 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	Conference or Workshop Item
author	Haron, Razali
author_facet	Haron, Razali
author_sort	Haron, Razali
title	The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
title_short	The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
title_full	The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
title_fullStr	The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
title_full_unstemmed	The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)
title_sort	pricing efficiency of malaysian equity warrants: studies using black scholes option pricing model (bsopm)
publishDate	2006
url	http://irep.iium.edu.my/10838/ http://irep.iium.edu.my/10838/ http://irep.iium.edu.my/10838/1/The_pricing_efficiency_of_Malaysian_warrants_-_Studies_using_BSOPM.pdf
first_indexed	2023-09-18T20:20:12Z
last_indexed	2023-09-18T20:20:12Z
_version_	1777408056157536256

The pricing efficiency of Malaysian equity warrants: studies using black scholes option pricing model (BSOPM)

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