Publication Type
Journal Article
Version
publishedVersion
Publication Date
9-2018
Abstract
The Stock Exchange of Thailand provides an ideal platform for comparing the trading characteristics of warrants and their underlying stocks since both of them trade in the same market under identical trading rules. If their patterns diverge significantly, it may be possible for an astute trader to devise profitable arbitrage strategies during the life of the warrants. We find that both their patterns are downward-sloping for spreads, U-shaped for flow toxicity, volatility, depth concentration, and trading volume; and upward-sloping for depth and market order flow ratio. This implies that trading under identical market structures leads to similar trading characteristics. We document that flow toxicity is negatively related to spread and positively related to depth, market order flow ratio, trade size, trading volume, and volatility.
Keywords
Warrants, Spreads, Depths, Intraday Pattern, Thailand
Discipline
Asian Studies | Corporate Finance | Finance | Finance and Financial Management
Research Areas
Finance
Publication
Risk Governance and Control: Financial Markets & Institutions
Volume
8
Issue
3
First Page
43
Last Page
60
ISSN
2077-429X
Identifier
10.22495/rgcv8i3p3
Publisher
Virtus Interpress: Open Access
Citation
CHAROENWONG, Charlie; DING, David K.; and VISALTANACHOTI, Nuttawat.
Warrants and their underlying stocks: Microstructure evidence from an emerging market. (2018). Risk Governance and Control: Financial Markets & Institutions. 8, (3), 43-60.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5983
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.22495/rgcv8i3p3
Included in
Asian Studies Commons, Corporate Finance Commons, Finance Commons, Finance and Financial Management Commons