| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 89 === Abstract
By using the event-study analysis, I want to look into the impact of the Taiwan single warrants listing and expiration on the price of the underlying stocks from August 20,1997 to Dec 5, 2000. The sample includes 49 single warrants that were issued by the domestic OTC security firms.
Over empirical results are listing as follows:
First, we found that single warrants’ abnormal returns are negative on the listing date, but the t-test value is not significant. Second, we found that whatever single warrants are in the money or out off the money on the listing date, the negative abnormal returns exist in underlying stocks, but the t-test value is not significant. Third, we found that the Electronic or Non-Electronic stocks of single warrants’ abnormal returns are negative on the listing date, and t-test value is not significant. Fourth, we found that negative abnormal return exists obviously in underlying stocks on expiration date of single warrants. Finally, when single warrants have the value on the expiration date, negative abnormal return exists in underlying stocks, but the t-test value is not significant. Instead, when single warrants do not have the value on the listing date, negative abnormal return exists in underlying stocks, and the t-test value is very significant.
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