This paper examines the price performance of call warrants on the China security market.A recent sample of the daily call warrant prices observed during the period from August 2005 to March 2007 is used.On average,we find that the observed market prices are irrationally higher than the BlackScholes model prices by 80.38%(using the 180day history volatility)and 140.50%(using the EGARCH volatility).Besides,we find that some of call warrant prices are,not only lower than model prices,but also anomalously below the lower bounds recently.It seems to violate the “no arbitrage” principle.Among the convincing reasons,our findings indicate that trading mechanism constraints on the China security market prevent rational investors driving the prices of these call warrants to a reasonable level.Arbitrage chances exist in some specific cases when some call warrant prices are below their lower bounds.