An analysis of Australian exchange traded options and warrants

Publication Type:
Journal Article
Journal of Economics and Finance, 2010, 34 (2), pp. 150 - 172
Issue Date:
Filename Description Size
Thumbnail2009004180OK.pdf272.39 kB
Adobe PDF
Full metadata record
© Springer Science + Business Media, LLC 2009. 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.
Please use this identifier to cite or link to this item: