题目: Speculation Spillover
演讲者：Longkai Zhao，Assistant Professor of Finance，Guanghua School of Management，Peking University
时间: 2009年11月27日（星期五）3:00-4:30PM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 沈哲老师
论文摘要：
This paper investigates the volatility and turnover effect of underlying stocks associated with the introduction of warrants in China's warrants market. We find that a derivative market where noise traders dominate, the introduction of warrants increases the underlying stock's volatility and turnover, which cannot be attributed to better information revelation or hedging needs. We also find that speculation on derivatives has a spillover effect on the underlying security. Higher volatility and higher turnover of underlying stocks are associated with higher unexpected warrants turnover and larger warrants price deviation from theoretical prices. Our paper provides new evidence for the impact of derivatives on underlying assets in the emerging market context.
论文作者简介：
Dr. Zhao Longkai got his bachelor degree in Economics from Tsinghua University, M.Sc. from National University of Singapore, and Ph.D. from University of British Columbia. His research interests include theoretical and empirical corporate finance, investment, asset pricing and derivatives.
下载：论文.pdf