ارزش نقدینگی: شواهدی از بازار مشتقات

This paper documents the systematic overpricing of warrants relative to options. Models are developed in order to explain the cross-sectional variation in the relative pricing of these securities. Results indicate that relative pricing differences (RELDIFF) are related to various proxies of liquidity including days-to-maturity, relative trading volume and the mandated presence of market makers in the options market. The identity of warrant-issuers is also found to be significant in explaining relative pricing, possibly reflecting disparate levels of credit risk or it may be a manifestation of the different characteristics relating to the underlying shares upon which the warrants are issued. The paper also documents the impact that the change from floor trading to electronic trading had on the price formation process in the Australian Options Market.

Throughout this century the importance of liquidity to securities markets has been well recognised by academics and practitioners alike. There have been many papers, both empirical Glosten and Milgrom, 1985, Amihud and Mendelson, 1986, Glosten, 1987, Brock and Kleidon, 1992, McInish and Wood, 1992, Eleswarapu and Reinganum, 1993 and Datar et al., 1998 and theoretical Adamati and Pfleiderer, 1988 and Pagano, 1989, that have considered the effect of market structure on the liquidity of the market. Many of these papers have also examined the relationship between liquidity and the price formation process. In Australia, a unique opportunity has arisen to investigate the relationship between liquidity and market structure, in particular to investigate the effects of changes in the method of trading in the options market and the price formation process in derivatives markets. In 1991, the Australian Stock Exchange (ASX) permitted trading to commence in equity warrants.1 Equity warrants have an identical payoff structure to standard exchange-traded options, but have been subject to a different trading mechanism. Prior to the introduction of the screen-based Derivative Trading Facility (DTF) in November 1997, options were floor-traded whilst warrants have always been screen-traded via the Stock Exchange Automated Trading System (SEATS). Other differences that may influence the relative pricing of these securities include the levels of credit risk associated with the securities, the influence of market-making services and differences in short-selling restrictions. The paper has two major aims. First, the paper tests for any systematic difference in the pricing of equity warrants and options. This analysis will also consider whether any systematic pricing differences have been affected by the switch from floor-based to screen-based option trading. Second, the paper seeks to model the relative pricing difference (RELDIFF) between the two securities. Different empirical specifications are developed to examine whether the RELDIFF may be explained by differences in the way in which these securities are traded and regulated. Section 2 reviews some of those factors that have been found to influence market liquidity. The institutional settings that may influence the relative pricing and/or the level of trading in the two securities are discussed in Section 3 whilst Section 4 outlines the nature and source of the data and research methods used. Section 5 sets out the empirical results and Section 6 presents the conclusions.

Over the period January 1997 to June 1998 warrants were systematically overpriced relative to options when they were matched on the basis of their underlying characteristics. This result is generally robust with respect to non-simultaneity between the matched trades whilst the size of the pricing difference was lower following the introduction of electronic option trading. When options were floor-traded it was found that the relative level of pricing is positively related to the logarithmic transformation of the DTM variable and negatively related to the quadratic form of the relative trading volume variable. These results provide some evidence in support of the presence of a liquidity premium. The identity of warrant-issuers was also related to the level of pricing differences. This could be consistent with warrant prices reflecting the different levels of credit risk associated with different warrant-issuers, or may also be a manifestation of the different characteristics relating to the underlying shares upon which the warrants were issued. The results shows that when the options market began trading electronically, the volume of contracts traded in the option market relative to the warrant market in the week prior to the matched trade is negatively related to the level of relative pricing. This finding, once again, is indicative of a liquidity premium in the warrant market. The results also indicate that when market makers are required to provide a market in an option, the RELDIFF between the warrant and option is reduced. Finally, in the analysis of the full sample period, there is a statistically significant structural change at the time the options market switches to electronic trading. This change is complex and it has had different effects on different variables. In particular, different “liquidity” variables represented by DTM and RELVOL, change in terms of their degree of impact on relative pricing.