Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange
研究台湾股市中股票卖空限制与认沽权证交易的关系，发现卖空受限时认沽权证交易增加，导致价差扩大和隐含波动率上升，且权证发行人的动态对冲行为影响现货市场。
Abstract This study investigates the relationship between stock short‐selling restrictions and bearish equity warrants on the Taiwan Stock Exchange to clarify the substitutive role of put warrants for underlying stocks subject to short‐sale constraints. We show that put warrant transactions increase when short selling is prohibited in the spot market and the substitutive increase in trading also leads to wider bid–ask spreads and higher implied volatility for put warrants. Moreover, we find that the increased trading activities in put warrants could subsequently affect spot market trading through warrant issuers' required dynamic hedging behaviors.