Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Why Are Warrant Markets Sustained in Taiwan but Not in China?
This paper uses moment analysis, capital asset pricing model (CAPM) statistics, stochastic dominance (SD) test, and volume analysis to investigating why the market for Taiwan warrants can be sustained but not in China. Our moment analysis shows that buying in China warrants has a higher likelihood of losses. Our CAPM analysis shows that both the Sharpe ratio and Jensen index for warrants from the Chinese market are too negative. The Treynor index shows that Chinese warrants are highly volatile. Our SD analysis shows that risk averters prefer to invest in Chinese warrants compared to Taiwanese warrants, implying that the warrant issuers prefer to issue Taiwanese warrants than Chinese warrants. Using volume analysis, the Chinese warrant market is much more active, implying more speculative activities in China than in Taiwan. All the above could lead to China’s decision to close its warrant market. The findings in the paper are useful for academics, investors, and policy makers.
Why Are Warrant Markets Sustained in Taiwan but Not in China?
This paper uses moment analysis, capital asset pricing model (CAPM) statistics, stochastic dominance (SD) test, and volume analysis to investigating why the market for Taiwan warrants can be sustained but not in China. Our moment analysis shows that buying in China warrants has a higher likelihood of losses. Our CAPM analysis shows that both the Sharpe ratio and Jensen index for warrants from the Chinese market are too negative. The Treynor index shows that Chinese warrants are highly volatile. Our SD analysis shows that risk averters prefer to invest in Chinese warrants compared to Taiwanese warrants, implying that the warrant issuers prefer to issue Taiwanese warrants than Chinese warrants. Using volume analysis, the Chinese warrant market is much more active, implying more speculative activities in China than in Taiwan. All the above could lead to China’s decision to close its warrant market. The findings in the paper are useful for academics, investors, and policy makers.
Why Are Warrant Markets Sustained in Taiwan but Not in China?
Wing-Keung Wong (Autor:in) / Hooi Hooi Lean (Autor:in) / Michael McAleer (Autor:in) / Feng-Tse Tsai (Autor:in)
2018
Aufsatz (Zeitschrift)
Elektronische Ressource
Unbekannt
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