Derivative Warrants and Investor’s Skewness Preference: Evidence from Thailand Stock Market
Post by MSF Chula at Friday, 21 December 2018 02:04 PM

This study empirically examines the skewness preference in Thai derivative warrant (DW) market in the belief that preference towards skewness exists in a lottery-like financial instrument like DW. Specifically, the study investigates the relationship between the ex ante total skewness of DW and the DW outstanding held by investors. The evidence from year 2014-2016 shows that there is a strong positive relationship between the skewness and the DW outstanding. In addition, the positive relationship is consistent across different statistical tests and across months after the DW’s issuance date. We conclude that there is a strong preference toward positively skewed DWs among the investors who trade in Thai stock market.

Last updated at Friday, 21 December 2018 02:04 PM