New Investors and Bubbles: An Analysis of the Baosteel Call Warrant Bubble

This paper provides an analysis of the impact of new investors on the bubble surrounding the Baosteel call warrant, the first derivative traded in China after a nine‐year suspension. We empirically show that new investors initiated the bubble at the opening call auction and were the key driving force to sustain the bubble until the maturity of the warrant. This paper was accepted by Wei Jiang, finance.