Influência e causalidade entre o mercado de ações e o mercado de opções: revisão de literatura e novos resultados

This paper provides a synthesis of the existing literature on the expiration-day effects and presents some new results on the subject. These effects are related to the impact of the expiration of options on the trading volume, price, and return of the underlying securities. Event study and Granger causality tests were used to evaluate the influence of the expiration of the options traded in BOVESPA on the underlying stocks with daily and weekly data, in the period of 1998 to 2001. Also, the use of closing prices and maximum prices for the proposed study were compared. The results showed a significant influence of the options market on the market of the underlying asset during the expiration day, contrasting with market efficiency and implicating in the possibility of obtaining extraordinary returns at least at that time. It was also concluded that although bilateral causality of the returns existed between the markets, there was no evidence that nor the volume of titles negotiated in the option market caused the volume of titles negotiated in the market of the underlying asset nor the opposite, and that the more in-the-money was the series of options, more important became the returns calculated with the daily high prices in the two markets for effects of the proposed causality study.