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Option listing and stock returns : An empirical analysis

Citations

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Cited by:

  1. Jahangir Sultan, 2012. "Options on federal funds futures and interest rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(4), pages 330-359, April.
  2. Mohammed Chaudhury & Said Elfakhami, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, John Wiley & Sons, vol. 6(1), pages 57-75.
  3. Alexander, Gordon J. & Ors, Evren & Peterson, Mark A. & Seguin, Paul J., 2004. "Margin regulation and market quality: a microstructure analysis," Journal of Corporate Finance, Elsevier, vol. 10(4), pages 549-574, September.
  4. Michael Clarke & Gerard Gannon & Russell Vinning, 2011. "The Impact of Warrant Introduction: The Australian Experience," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 213-269.
  5. Shinhua Liu, 2016. "Are SPDR Options Good for the Underlying Stocks?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
  6. Dar-Hsin Chen & Po-Hsun Chang, 2008. "The impact of listing stock options on the underlying securities: the case of Taiwan," Applied Financial Economics, Taylor & Francis Journals, vol. 18(14), pages 1161-1172.
  7. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  8. Constantin Laura-Gabriela & Cernat-Gruici Bogdan & Iamandi Irina-Eugenia, 2014. "Investigating Financial Innovation And European Capital Markets. The Case Of Catastrophe Bonds And Listed Reinsurance Companies," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 6, pages 6-15, December.
  9. Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009. "Convertible bond arbitrage, liquidity externalities, and stock prices," Journal of Financial Economics, Elsevier, vol. 91(2), pages 227-251, February.
  10. Lundstrum, Leonard L. & Walker, Mark D., 2006. "LEAPS introductions and the value of the underlying stocks," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 494-510, October.
  11. Clarke, Michael & Gannon, Gerard & Vinning, Russell, 2007. "The impact of warrant introduction: Australian experience," Working Papers aef_2007_11, Deakin University, Department of Economics.
  12. Kabir, M.R., 1997. "New Evidence on Price and Volatility Effects of Stock Option Introductions," Other publications TiSEM 5cd478a7-38da-4db0-9d8d-a, Tilburg University, School of Economics and Management.
  13. Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M., 2015. "Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market," Journal of Financial Markets, Elsevier, vol. 25(C), pages 16-32.
  14. 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.
  15. H. Henry Cao & Dongyan Ye, 2016. "Transaction Risk, Derivative Assets, and Equilibrium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-20, March.
  16. Karl Schmedders, 2001. "Monopolistic security design in finance economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 18(1), pages 37-72.
  17. Rich Fortin & Judy Maese, 1992. "Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 2(1), pages 39-52, Fall.
  18. Berkman, Henk & Eleswarapu, Venkat R., 1998. "Short-term traders and liquidity: a test using Bombay Stock Exchange data," Journal of Financial Economics, Elsevier, vol. 47(3), pages 339-355, March.
  19. Thuy Khang Huynh & Vijay Shenai, 2019. "Option Trading Volumes and Their Impact on Stock Prices at Earnings’ Announcements: A Study of S & P100 Stocks in the Post Crisis Era 2010-2017," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 9(3), pages 83-103, July.
  20. Adrian C. H. Lei, 2015. "Price and Volume Effects of Exchange‐Traded Barrier Options: Evidence from Callable Bull/Bear Contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1042-1066, November.
  21. Chan, Leo & Lien, Donald, 2006. "Are options redundant? Further evidence from currency futures markets," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 179-188.
  22. Chaudhury, Mohammed & Elfakhami, Said, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, Elsevier, vol. 6(1), pages 57-75.
  23. Susana Yu & Kishore Tandon & Gwendolyn Webb, 2010. "The Effects of Option Introduction on Analyst Coverage and Earnings Estimates," The American Economist, Sage Publications, vol. 55(2), pages 46-66, November.
  24. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
  25. Mr. Jorge A Chan-Lau, 2005. "Hedging Foreign Exchange Risk in Chile: Markets and Instruments," IMF Working Papers 2005/037, International Monetary Fund.
  26. Venkat Eleswarapu & Chandrasekar Krishnamurti, 1995. "Do `speculative traders' increase Stock Price Volatility? Empirical evidence from the Bombay Stock Exchange," Finance 9507006, University Library of Munich, Germany.
  27. Ma, Chenghu & Hu, Jianqiang & Xu, Yifan, 2018. "Margins on short sales and equilibrium price indeterminacy," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 79-92.
  28. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
  29. Dannhauser, Caitlin D., 2017. "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, vol. 125(3), pages 537-560.
  30. Hernandez-Trillo, Fausto, 1999. "Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 153-176, April.
  31. Blau, Benjamin M. & Nguyen, Nga & Whitby, Ryan J., 2014. "The information content of option ratios," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 179-187.
  32. George Filis & Christos Floros & Bruno Eeckels, 2011. "Option listing, returns and volatility: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1423-1435.
  33. Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  34. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
  35. Xiaoyan Ni, Sophie & Pearson, Neil D. & Poteshman, Allen M., 2005. "Stock price clustering on option expiration dates," Journal of Financial Economics, Elsevier, vol. 78(1), pages 49-87, October.
  36. Amira, Khaled & Bennour, Khaled, 2010. "Borrowing Constraint and the Effect of Option Introduction," MPRA Paper 26440, University Library of Munich, Germany.
  37. Chen, K. C. & Wu, Lifan, 2001. "Introduction and expiration effects of derivative equity warrants in Hong Kong," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 37-52.
  38. Bruce D. Niendorf & David R. Peterson, 1996. "The Cross-Sectional Effects Of Option Listing On Firm Stock Return Variances," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 515-539, December.
  39. Banerjee, Pradip & Chatrath, Arjun & Christie-David, Rohan & Maitra, Debasish, 2018. "The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets," Global Finance Journal, Elsevier, vol. 35(C), pages 157-169.
  40. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
  41. Cuny, Charles J., 2006. "Why derivatives on derivatives? The case of spread futures," Journal of Financial Intermediation, Elsevier, vol. 15(1), pages 132-159, January.
  42. Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che, 2014. "The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 123-133.
  43. Eli Ofek & Matthew Richardson & Robert F. Whitelaw, 2003. "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets," NBER Working Papers 9423, National Bureau of Economic Research, Inc.
  44. 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, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 27(1), pages 1-18.
  45. Zhou, Yaping & Lu, Baoqun & Lv, Dayong & Ruan, Qingsong, 2019. "The informativeness of options-trading activities: Non-linear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  46. Chan, Yue-cheong & Wei, K. C. John, 2001. "Price and volume effects associated with derivative warrant issuance on the Stock Exchange of Hong Kong," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1401-1426, August.
  47. Hamill, Philip A. & Opong, Kwaku K. & McGregor, Pat, 2002. "Equity option listing in the UK: a comparison of market-based research methodologies," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 91-108, January.
  48. de Jong, C.M., 2001. "Informed Option Trading Strategies," ERIM Report Series Research in Management ERS-2001-55-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  49. Shinhua Liu, 2010. "Equity Options and Underlying Stocks' Behavior: Further Evidence from Japan," International Review of Finance, International Review of Finance Ltd., vol. 10(3), pages 293-312, September.
  50. Du, Brian & Fung, Scott, 2018. "Directional information effects of options trading: Evidence from the banking industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 149-168.
  51. Chiang, Chin-Han, 2014. "Stock returns on option expiration dates: Price impact of liquidity trading," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 273-290.
  52. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
  53. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2009. "Options trading activity and firm valuation," Journal of Financial Economics, Elsevier, vol. 94(3), pages 345-360, December.
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