An analysis of Australian exchange traded options and warrants

William J. Bertin, Paul Fowler, David Michayluk, Laurie Prather*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)150-172
Number of pages23
JournalJournal of Economics and Finance
Volume34
Issue number2
DOIs
Publication statusPublished - 1 Dec 2010

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Warrants
Price discovery
Clientele
Trading costs
Coexistence
Cost structure
Justification

Cite this

Bertin, William J. ; Fowler, Paul ; Michayluk, David ; Prather, Laurie. / An analysis of Australian exchange traded options and warrants. In: Journal of Economics and Finance. 2010 ; Vol. 34, No. 2. pp. 150-172.
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Bertin, WJ, Fowler, P, Michayluk, D & Prather, L 2010, 'An analysis of Australian exchange traded options and warrants', Journal of Economics and Finance, vol. 34, no. 2, pp. 150-172. https://doi.org/10.1007/s12197-008-9052-4

An analysis of Australian exchange traded options and warrants. / Bertin, William J.; Fowler, Paul; Michayluk, David; Prather, Laurie.

In: Journal of Economics and Finance, Vol. 34, No. 2, 01.12.2010, p. 150-172.

Research output: Contribution to journalArticleResearchpeer-review

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