A note on the impact of options on stock return volatility1
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- Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-98, June.
- 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 1957-67, December.
- 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.
- Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
- 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 335-51, July.
- Grossman, Sanford J, 1988.
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- 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.
- 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.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- 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.
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