An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case
AbstractThe volatility implications of derivatives listing are not understood. Theoretical and empirical analyses on this issue have led to conflicting conclusions. This paper analyses the volatility effect of the initial exchange-listing of options and futures on the Portuguese capital market.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 15 (2005)
Issue (Month): 13 ()
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Web page: http://www.tandfonline.com/RAFE20
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