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Options Listing, Market Liquidity And Stock Behaviour: Some Canadian Evidence

Author

Listed:
  • Trevor W. Chamberlain
  • C. Sherman Cheung
  • Clarence C.Y. Kwan

Abstract

This study examines the price behaviour, trading volume and liquidity of stocks in the Canadian market at the time of options listing. Unlike some studies examining similar effects in the United States, the present one finds no evidence to indicate that either daily return volatility or trading volume is affected by the listing. Similarly, liquidity, as measured by the bid‐ask spread, is unaffected. At the same time, cross‐sectional tests indicate an inverse relationship between before‐to‐after trading volume and the before‐to‐after bid‐ask spread.

Suggested Citation

  • Trevor W. Chamberlain & C. Sherman Cheung & Clarence C.Y. Kwan, 1993. "Options Listing, Market Liquidity And Stock Behaviour: Some Canadian Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 20(5), pages 687-698, September.
    • Handle: RePEc:bla:jbfnac:v:20:y:1993:i:5:p:687-698
    DOI: 10.1111/j.1468-5957.1993.tb00284.x
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