Stock Option Listings:Information versus Liquidity Effects
AbstractWe investigate the impact of options listings on the variance of the underlying stock returns in the Swiss equity market using a non-parametric approach. The emergence of multiple share categories in most Swiss firms, combined with the fact that (listed) options are typically not introduced on all of these categories simultaneously, allows us to discriminate between share specific liquidity effects and firm wide information effects. We are able to attribute the well-known stabilization effects of options listings primarily to these latter information effects. Moreover, the study explicitly differentiates between short and long term variance effects and finds substantial differences in the timely reaction pattern.
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Bibliographic InfoArticle provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.
Volume (Year): 138 (2002)
Issue (Month): I (March)
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More information through EDIRC
option listings; liquidity effects; information effects; Swiss options exchange (SOFFEX/EUREX);
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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