DocumentCode
2173872
Title
Notice of Retraction
The Over-Speculation Behavior and Arbitrage Opportunities in China Equity Warrant Market: The Empirical Evidence from the Baotou Steel Equity Warrant
Author
Xianming Fang
Author_Institution
Sch. of Econ., Nanjing Univ., Nanjing, China
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
4
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Considering the investment behavior, this paper establishes the price difference formula between the call warrant and put warrant. Based on the formula, the over-speculation behavior and the arbitrage opportunities are analyzed in the equity warrant market. The empirical analysis of Baotou Steel call warrant (Baogang JTB1) and the Baotou Steel put warrant (Baogang JTP1) shows that there are not obvious over-speculation behavior and arbitrage opportunities in the duration of both Baogang JTB1 and Baogang JTP1. On part of the sample points, the price of Baogang JTB1 are even lower than the theoretical floor price. Moreover, differences of the market price between JTB1 and JTP1 are larger than the theoretical difference in a great part of the total sample points. Consequently, this paper shows that the market offers some arbitrage opportunities, and gives suggestions to develop the equity warrant market in the final part.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Considering the investment behavior, this paper establishes the price difference formula between the call warrant and put warrant. Based on the formula, the over-speculation behavior and the arbitrage opportunities are analyzed in the equity warrant market. The empirical analysis of Baotou Steel call warrant (Baogang JTB1) and the Baotou Steel put warrant (Baogang JTP1) shows that there are not obvious over-speculation behavior and arbitrage opportunities in the duration of both Baogang JTB1 and Baogang JTP1. On part of the sample points, the price of Baogang JTB1 are even lower than the theoretical floor price. Moreover, differences of the market price between JTB1 and JTP1 are larger than the theoretical difference in a great part of the total sample points. Consequently, this paper shows that the market offers some arbitrage opportunities, and gives suggestions to develop the equity warrant market in the final part.
Keywords
investment; metallurgical industries; product liability; Baotou steel call warrant; Baotou steel equity warrant; Baotou steel put warrant; China equity warrant market; arbitrage opportunities; investment behavior; over-speculation behavior; theoretical floor price; Instruments; Investments; Portfolios; Pricing; Safety; Security; Signal to noise ratio; Steel; Stock markets; Testing;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-4638-4
Type
conf
DOI
10.1109/ICMSS.2009.5304777
Filename
5304777
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