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The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach

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  • Mazouz, Khelifa

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  • Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 695-708, December.
    • Handle: RePEc:eee:empfin:v:11:y:2004:i:5:p:695-708
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    1. Gorton, Gary B & Pennacchi, George G, 1993. "Security Baskets and Index-Linked Securities," The Journal of Business, University of Chicago Press, vol. 66(1), pages 1-27, January.
    2. Dennis, Steven A. & Sim, Ah Boon, 1999. "Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 153-163, June.
    3. Stein, Jeremy C, 1987. "Informational Externalities and Welfare-Reducing Speculation," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1123-1145, December.
    4. Hernandez-Trillo, Fausto, 1999. "Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 153-176, April.
    5. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, 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. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. 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.
    9. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    10. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
    11. Stewart Mayhew & Vassil Mihov, 2000. "Another Look at Option Listing Effects," Finance 0004002, University Library of Munich, Germany.
    12. 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.
    13. repec:bla:jfinan:v:53:y:1998:i:2:p:717-732 is not listed on IDEAS
    14. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    15. 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.
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    Cited by:

    1. Khelifa Mazouz & Michael Bowe, 2009. "Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 203-212.
    2. Phillips, Blake, 2011. "Options, short-sale constraints and market efficiency: A new perspective," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 430-442, February.
    3. GAO Tian Chen & GAO Hui, 2023. "Volatility and Asymmetric Effect of Crude Oil Options on Crude Oil Market: Empirical Evidence from China," Applied Economics and Finance, Redfame publishing, vol. 10(1), pages 4467-4467, February.
    4. Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper 46512, University Library of Munich, Germany.
    5. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "Does proprietary day trading provide liquidity at a cost to investors?," International Review of Financial Analysis, Elsevier, vol. 68(C).
    6. Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.
    7. Susana Yu & Kishore Tandon & Gwendolyn Webb, 2010. "The Effects of Option Introduction on Analyst Coverage and Earnings Estimates," The American Economist, Sage Publications, vol. 55(2), pages 46-66, November.
    8. Shih-Yung Wei & Li-Wei Lin & Surong Yan & Lu-jie Zhu, 2019. "Empirical Analysis on Price-Volume Relation in the Stock Market of China," International Journal of Economics and Financial Issues, Econjournals, vol. 9(5), pages 94-103.
    9. 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.
    10. Mazouz, Khelifa & Bowe, Michael, 2006. "The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 1-20.
    11. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    12. Sui, Cong & Lung, Peter & Yang, Mo, 2021. "Index option trading and equity volatility: Evidence from the SSE 50 and CSI 500 stocks," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 60-75.

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