Impact of covered warrant issuance on underlying stocks of listed companies in Vietnam

Tóm tắt

Nowadays, covered warrants (CWs) have emerged as a popular financial
instrument in the Vietnamese stock market, offering investors promising
opportunities for profitable returns. However, these instruments also carry
inherent risks, necessitating a thorough understanding of their character
istics. This research aims to evaluate the impact of CW issuance on the
price and liquidity (measured by trading volume and bid-ask spread) of
underlying stocks on the Vietnamese stock market. The study employs the
event study methodology and Wilcoxon test to examine whether abnormal
returns, trading volume, and bid-ask spreads change after CW issuance. The
research uses secondary data of 113 active CWs, based on 20 underlying
stocks listed on HNX and HOSE and are issued from April 2023 to Janu
ary 2024. The findings reveal no significant change in abnormal returns;
however, trading volume and bid-ask spreads exhibit noticeable alterations
following CW issuance. These results provide valuable insights for investors
to consider relevant factors when making informed investment decisions.