The impact of listing stock options on the underlying securities: the case of Taiwan
AbstractBased on the asymmetric information and complete market hypotheses, this article attempts to explain the impact of listing stock options on the abnormal return, volatility, trading volume and market depth of the underlying securities in Taiwan. The empirical results find that positive abnormal returns exist, the degree of volatility decreases, trading volume increases and market depth also increases following the introduction of the stock options. The empirical results for the sub-sample are found to be consistent with those for the full sample, but not all parameters are significant. It appears that the Taiwan stock market has become more efficient, and ever since the stock options were introduced information has been disseminated more rapidly due to the investors' self-interested behaviour.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 18 (2008)
Issue (Month): 14 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper 46512, University Library of Munich, Germany.
- 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.
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