The Speed of Adjustment of Warrant Prices to Changes in Stock Prices
使用Box-Jenkins双变量传递函数方法，基于逐笔交易数据测量权证价格对股票价格变化的调整速度，发现调整迅速，并评估了模型的预测能力。
This article reports on work designed to measure the time required for a change in a stock's price to be fully reflected in the price of a warrant on that stock. The method employed to measure the adjustment speed is the bivariate transfer function technique of Box and Jenkins. An interesting aspect of the study is the use of trade-by-trade data for measuring stock and warrant returns. The evidence presented here suggests that warrant prices adjust quickly to changes in stock prices. In addition, evidence concerning the ability of the estimated models to forecast warrant prices is presented.