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An Analysis Of Australian Exchange Traded Options And Warrants, Will Bertin, Paul Fowler, David Michayluk, Laurie Prather
An Analysis Of Australian Exchange Traded Options And Warrants, Will Bertin, Paul Fowler, David Michayluk, Laurie Prather
Laurie Prather
This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price discovery hypotheses. The general findings indicate that the warrants market is the dominant market suggesting that their lower trading cost outweigh their less attractive institutional features. Additionally, we find that idiosyncratic differences among firms may result in a clientele effect thus providing justification for the coexistence of these seemingly redundant markets.
The Intraday Price Behavior Of Australian Exchange Traded Options And Warrants, William Bertin, David Michayluk, Laurie Prather
The Intraday Price Behavior Of Australian Exchange Traded Options And Warrants, William Bertin, David Michayluk, Laurie Prather
Laurie Prather
This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price discovery hypotheses. The general findings indicate that the warrants market is the dominant market suggesting that their lower trading cost outweigh their less attractive institutional features. Additionally, we find that idiosyncratic differences among firms may result in a clientele effect thus providing justification for the coexistence of these seemingly redundant markets.