New Investors and Bubbles: An Analysis of the Baosteel Call Warrant Bubble

• 成果类型: Article
• 署名作者: Gong, Binglin; Pan, Deng; Shi, Donghui
• 署名单位: East China Normal University; Fudan University; Xiamen University; Fudan University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2427
• 发表日期: 2017
• 页码: 2493-2508
• 关键词: ASSET PRICE BUBBLES; new investors; Heterogeneity

摘要

This paper provides an analysis of the impact of new investors on the bubble surrounding the Baosteel call warrant, the first derivative traded in China after a nine-year suspension. We empirically show that new investors initiated the bubble at the opening call auction and were the key driving force to sustain the bubble until the maturity of the warrant.