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Impact of stock option listings on return and risk characteristics in Finland

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  • Sahlstrom, Petri
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 10 (2001)
    Issue (Month): 1 ()
    Pages: 19-36

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    Handle: RePEc:eee:finana:v:10:y:2001:i:1:p:19-36

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    Web page: http://www.elsevier.com/locate/inca/620166

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    References

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    1. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-98, June.
    2. Berglund, Tom & Liljeblom, Eva, 1988. " Market Serial Correlation on a Small Security Market: A Note," Journal of Finance, American Finance Association, vol. 43(5), pages 1265-74, December.
    3. Ma, Christopher K & Rao, Ramesh P, 1988. "Information Asymmetry and Options Trading," The Financial Review, Eastern Finance Association, vol. 23(1), pages 39-51, February.
    4. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    5. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July.
    6. Hakansson, Nils H, 1978. "Welfare Aspects of Options and Supershares," Journal of Finance, American Finance Association, vol. 33(3), pages 759-76, June.
    7. Kallunki, J-P. & Martikainen, T., 1997. "The covariance-factor structure of daily returns in a thinly traded stock market," Journal of Multinational Financial Management, Elsevier, vol. 7(2), pages 113-125, June.
    8. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-74.
    9. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
    10. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
    11. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    12. Elfakhani, Said & Chaudhury, Mohammed, 1995. "The volatility effect of option listing: Some Canadian evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(1), pages 97-116.
    13. Jennings, Robert & Starks, Laura, 1986. " Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets," Journal of Finance, American Finance Association, vol. 41(1), pages 107-25, March.
    14. Fedenia, Mark & Grammatikos, Theoharry, 1992. "Options Trading and the Bid-Ask Spread of the Underlying Stocks," The Journal of Business, University of Chicago Press, vol. 65(3), pages 335-51, July.
    15. Stucki, Thomas & Wasserfallen, Walter, 1994. "Stock and option markets: the Swiss evidence," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 881-893, October.
    16. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
    17. Neal, Robert, 1987. " Potential Competition and Actual Competition in Equity Options," Journal of Finance, American Finance Association, vol. 42(3), pages 511-31, July.
    18. Nils H. Hakansson., 1978. "Welfare Aspects of Options and Supershares," Research Program in Finance Working Papers 68, University of California at Berkeley.
    19. Kallunki, Juha-Pekka, 1997. "Handling missing prices in a thinly traded stock market: implications for the specification of event study methods," European Journal of Operational Research, Elsevier, vol. 103(1), pages 186-197, November.
    20. Damodaran, Aswath & Lim, Joseph, 1991. "The effects of option listing on the underlying stocks' return processes," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 647-664, June.
    21. Maynes, Elizabeth & Rumsey, John, 1993. "Conducting event studies with thinly traded stocks," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 145-157, February.
    22. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
    23. John, Kose, 1981. "Efficient Funds in a Financial Market with Options: A New Irrelevance Proposition," Journal of Finance, American Finance Association, vol. 36(3), pages 685-95, June.
    24. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
    25. Arditti, Fred D. & John, Kose, 1980. "Spanning the State Space with Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(01), pages 1-9, March.
    26. Atchison, Michael D & Butler, Kirt C & Simonds, Richard R, 1987. " Nonsynchronous Security Trading and Market Index Autocorrelation," Journal of Finance, American Finance Association, vol. 42(1), pages 111-18, March.
    27. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    28. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    29. Tinic, Seha M, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, MIT Press, vol. 86(1), pages 79-93, February.
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    Cited by:
    1. Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.
    2. Asli Ascioglu & Murat Aydogdu & Lynn Phillips Kugele, 2013. "The Impact of Option Listing on the Trading Activity of Turkcell’s American Depository Receipt (ADR)," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 27(1), pages 1-18.
    3. Mazouz, Khelifa & Bowe, Michael, 2006. "The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 1-20.

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