An analysis of Australian exchange traded options and warrants

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Document Type

Journal Article

Publication Details

Interim status: Citation only.

Bertin, W. J., Fowler, P., Michayluk, D., & Prather, L. (2010). An analysis of Australian exchange traded options and warrants. Journal of Economics and Finance, 34(2), 150-172.

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2010 HERDC submission. FoR Code: 150299

© Copyright Springer Science + Business Media, LLC 2008


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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This document has been peer reviewed.