Title

The intraday price behavior of Australian exchange traded options and warrants

Date of this Version

7-20-2007

Document Type

Conference Paper

Publication Details

Published Version.

Bertin, W. J., Michayluk, D. & Prather, L. (2007). The intraday price behavior of Australian exchange traded options and warrants. Paper presented at the 15th annual conference on Pacific Basin Finance, Economics, Accounting and Management (PBFEAM), Ho Chi Min City, Vietnam.

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© Copyright William J. Bertin, David Michayluk & Laurie Prather, 2007

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.