An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case
The volatility implications of derivatives listing are not understood. Theoretical and empirical analyses on this issue have led to conflicting conclusions. This paper analyses the volatility effect of the initial exchange-listing of options and futures on the Portuguese capital market.
Volume (Year): 15 (2005)
Issue (Month): 13 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Chaudhury, Mohammed & Elfakhami, Said, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, Elsevier, vol. 6(1), pages 57-75.
- Deirdre N. McCloskey & Stephen T. Ziliak, 1996. "The Standard Error of Regressions," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 97-114, March.
- Sean Becketti & Dan J. Roberts, 1990. "Will increased regulation of stock index futures reduce stock market volatility?," Economic Review, Federal Reserve Bank of Kansas City, issue Nov, pages 33-46.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:15:y:2005:i:13:p:907-913. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.