An analysis of Australian exchange traded options and warrants |
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Authors: | William J Bertin Paul Fowler David Michayluk Laurie Prather |
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Institution: | 1.School of Business,Bond University,Gold Coast,Australia;2.Citigroup,Sydney,Australia;3.School of Finance and Economics,University of Technology,Sydney,Australia |
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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. |
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