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A note on the impact of options on stock return volatility1

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  • Bollen, Nicolas P. B.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(98)00056-9
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 22 (1998)
    Issue (Month): 9 (September)
    Pages: 1181-1191

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    Handle: RePEc:eee:jbfina:v:22:y:1998:i:9:p:1181-1191
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-298, July.
    2. Damodaran, Aswath & Lim, Joseph, 1991. "The effects of option listing on the underlying stocks' return processes," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 647-664, June.
    3. Stephan, Jens A & Whaley, Robert E, 1990. " Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets," Journal of Finance, American Finance Association, vol. 45(1), pages 191-220, March.
    4. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    5. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-498, June.
    6. Fedenia, Mark & Grammatikos, Theoharry, 1992. "Options Trading and the Bid-Ask Spread of the Underlying Stocks," The Journal of Business, University of Chicago Press, vol. 65(3), pages 335-351, July.
    7. Bansal, Vipul K & Pruitt, Stephen W & Wei, K C John, 1989. "An Empirical Reexamination of the Impact of CBOE Option Initiation on the Volatility and Trading Volume of the Underlying Equaties: 1973-1986," The Financial Review, Eastern Finance Association, vol. 24(1), pages 19-29, February.
    8. Chan, Kalok & Chung, Y Peter & Johnson, Herb, 1993. " Why Option Prices Lag Stock Prices: A Trading-Based Explanation," Journal of Finance, American Finance Association, vol. 48(5), pages 1957-1967, December.
    9. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    10. Jeff Fleming & Barbara Ostdiek & Robert E. Whaley, 1996. "Trading costs and the relative rates of price discovery in stock, futures, and option markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(4), pages 353-387, 06.
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