Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange

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dc.contributor.advisorToerien, Francoisen_ZA
dc.contributor.authorGumede, Lungelo Lindaen_ZA
dc.date.accessioned2018-11-02T09:31:20Z
dc.date.available2018-11-02T09:31:20Z
dc.date.issued2014en_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationGumede, L. L. (2014). <i>Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Research of GSB. Retrieved from http://hdl.handle.net/11427/28972en_ZA
dc.identifier.chicagocitationGumede, Lungelo Linda. <i>"Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Research of GSB, 2014. http://hdl.handle.net/11427/28972en_ZA
dc.identifier.citationGumede, L. 2014. Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Gumede, Lungelo Linda AB - 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. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange TI - Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange UR - http://hdl.handle.net/11427/28972 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/28972
dc.identifier.vancouvercitationGumede LL. Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange. [Thesis]. University of Cape Town ,Faculty of Commerce ,Research of GSB, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/28972en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentResearch of GSBen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherDevelopment Financeen_ZA
dc.titleExamining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchangeen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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