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Option listing, returns and volatility: evidence from Greece

Author

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  • George Filis
  • Christos Floros
  • Bruno Eeckels

Abstract

This study examines the effect of the first introduction of Greek stock options (Greek Telecommunication Organisation, Intracom, National Bank of Greece and Alpha Bank) on stock prices and volatility for the period 1999 to 2002. We examine the asymmetric information hypothesis using a standard event study methodology and asymmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) type models. Event study results indicate that abnormal returns existed in the prelisting period, but tend to disappear in the post listing period. Asymmetric component Threshold Generalized Autoregressive Conditional Heteroscedasticity (TGARCH) models with Generalized Error Distribution (GED) show that the introduction of stock options has led to increased volatility (positive effect) for Greek Telecommunication Organisation, Intracom and National Bank of Greece only (Alpha Bank shows a positive but insignificant effect). We argue that our results provide support to the asymmetric information hypothesis, suggesting that the Greek market has become more efficient after the introduction of stock options.

Suggested Citation

  • George Filis & Christos Floros & Bruno Eeckels, 2011. "Option listing, returns and volatility: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1423-1435.
  • Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1423-1435
    DOI: 10.1080/09603107.2011.577005
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    References listed on IDEAS

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    1. Stewart Mayhew & Vassil Mihov, 2000. "Another Look at Option Listing Effects," Finance 0004002, EconWPA.
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    Cited by:

    1. Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013. "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 166-173.

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