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Original Research
Implied volatility and warrant issuing strategies: Some evidence from the Johannesburg Stock Exchange
South African Journal of Business Management | Vol 33, No 2 | a700 |
DOI: https://doi.org/10.4102/sajbm.v33i2.700
| © 2018 T. T. Koorts, E. V.D.M. Smit
| This work is licensed under CC Attribution 4.0
Submitted: 12 October 2018 | Published: 30 June 2002
Submitted: 12 October 2018 | Published: 30 June 2002
About the author(s)
T. T. Koorts, Graduate School of Business, University of Stellenbosch, South AfricaE. V.D.M. Smit, Graduate School of Business, University of Stellenbosch, South Africa
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Financial institutions have extended their competitive realm through issuing warrants as retail products. By comparing products from different financial institutions which are similar in all respects, but are differently priced through different implied volatilities, market inefficiencies are demonstrated. Competition between issuers lead to clearly identifiable market strategies. It is further argued that issuers, by providing less than complete market information, have developed a position of relative strength, compared to the buyers of warrants.
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Crossref Citations
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