The impact of warrant issuance on underlying stock performance: An application on the BIST

The aim of this study is to investigate whether the issuance of covered warrants has an effect on the abnormal returns, trading volumes, and return volatility of the related underlying stocks. This study covers the period between the years of 2012 and 2014 during which the warrant market had been in a relatively mature phase and uses the event study approach which is the most commonly used method in the literature, was used while examining the returns of the relevant underlying stocks. Both the t-test and a dummy variable regression were used to observe the effects on the trading volumes of the underlying stocks. Finally, testing the volatility on the underlying stocks is modeled within the framework of GARCH. As a result of the study, different effects of the warrants on the abnormal returns, trading volumes, and volatility of the returns of the underlying stocks were found.