Abstract
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 characteristics. 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 January 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.
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