Stock price management prior to warrant expirations; Evidence from Stock Exchange of Thailand
Post by MSF Chula at Sunday, 10 January 2021 06:21 PM

Firm intervention in the stock market appears globally through information disclosure, accounting and financial operations exploiting the existing market inefficiency. It stems from information asymmetry that persists between parties often causing inevitable loss to investors. This research investigated through financial tools contributing clarification how firms’ price manipulation operate in Thai stock market particularly prior to warrant expiration date. Abnormal return pattern prior to warrant expiration date is monitored in order to determine price manipulation appearance and sensitivity level. The result shows that negative additional abnormal return occurred in [42, 84] days time window prior to ITM warrant expiration. Specific corporate variables proven to have impact on the share price movement sensitivity level with result from firms contain high D/E ratio CGR and MCAP illustrate resistance toward the negative price movement. The abnormal share price movements near expiry dates are consistent with what one would expect to see if prices were indeed manipulated. However, additional information on how the manipulation is conducted is required in order to confirm the theory. Investors should be aware of the risk and avoid trading against the direction of the price movement near the warrant expiration date.

Last updated at Sunday, 10 January 2021 06:21 PM