| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 92 === Previous papers had examined the effects of call warrants issued on the underlying stock price. This study investigates the impact of call and put warrants issued simultaneously on the underlying stock price and compares the issuance effects between the former and the later incident to see if they have different results. Besides, the study investigates not only the effects of issuance dates but also those of listing dates and expiration dates. The data were gathered from all the public issuing call and put warrants between 2003/1/1 and 2003/12/31. In order to determine whether the issuance of warrants has a price effect or not, an event study is performed. The GARCH(1,1) model is estimated over a period of thirty days after the window. The event window extends from day -5 to day +5 relatively to the event. The following results are presented as below:
1. The result suggests that call warrant issuances have significant positive price effects before one day of the issuance date, and have significant negative price effects after the issuance date. The result suggests that call and put warrants issued simultaneously have no significant price effect on the underlying stock price. Besides, both of CARs have no significant differences.
2. Both listing call warrants and listing call and put warrants have no significant effect on the underlying stock price. Besides, both of CARs have no significant differences.
3. Both call warrants expiration and call and put warrants simultaneous expiration have no significant effect on the underlying stock price. Besides, both of CARs have no significant differences.
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