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The effect of derivative trading on the underlying markets: Evidence from Canadian instalment receipts trading

  • Charupat, Narat
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4G313DX-1/2/50864d0ef464e9f3efb4620074f4ff4e
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 15 (2006)
    Issue (Month): 3 ()
    Pages: 276-293

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    Handle: RePEc:eee:reveco:v:15:y:2006:i:3:p:276-293
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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    1. Elfakhani, Said & Chaudhury, Mohammed, 1995. "The volatility effect of option listing: Some Canadian evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(1), pages 97-116.
    2. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
    3. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-98, June.
    4. Robert A. Korajczyk & Deborah J. Lucas & Robert L. McDonald, 1989. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Working Papers 3170, National Bureau of Economic Research, Inc.
    5. Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
    6. Myers, Stewart C. & Majluf, Nicolás S., 1945-, 1984. "Corporate financing and investment decisions when firms have information that investors do not have," Working papers 1523-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    7. Scholes, Myron S, 1972. "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices," The Journal of Business, University of Chicago Press, vol. 45(2), pages 179-211, April.
    8. Stewart Mayhew & Vassil Mihov, 2000. "Another Look at Option Listing Effects," Finance 0004002, EconWPA.
    9. B. Wade Brorsen, 1991. "Futures trading, transaction costs, and stock market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 153-163, 04.
    10. Carl D. Hudson & Marlin R. H. Jensen & William N. Pugh, 1993. "Informational Versus Price-Pressure Effects: Evidence From Secondary Offerings," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 193-207, 09.
    11. Raman Kumar & Atulya Sarin & Kuldeep Shastri, 1998. "The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 53(2), pages 717-732, 04.
    12. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    13. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    14. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
    15. Gerard, Bruno & Nanda, Vikram, 1993. " Trading and Manipulation around Seasoned Equity Offerings," Journal of Finance, American Finance Association, vol. 48(1), pages 213-45, March.
    16. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    17. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
    18. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    19. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-37, December.
    20. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
    21. Myers, Stewart C. & Majluf, Nicholas S., 1984. "Corporate financing and investment decisions when firms have information that investors do not have," Journal of Financial Economics, Elsevier, vol. 13(2), pages 187-221, June.
    22. Stewart C. Myers & Nicholas S. Majluf, 1984. "Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have," NBER Working Papers 1396, National Bureau of Economic Research, Inc.
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