In this study, linear and nonlinear Granger causality tests are used to examine the dynamics, including return to return and volume to volume relationships, between warrants and their underlying stocks in Taiwan Stock Exchange (TSEC). Results of previous studies are mixed and they only focus on linear relationship between the two markets. Here we take nonlinear relationship into consideration to assist in investigating what the direction of information flow is. We use intraday five-minute high frequency data and the result tells that, overall, for both return to return and volume to volume relations, there is bidirectional but asymmetry linear causality and weak unidirectional nonlinear causality from stock to warrant market between these two markets. Combining the linear and nonlinear results we conclude that the direction of information flow is mainly from stock market to warrant market.