The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- 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.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- 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.
- George Pennacchi & Gary Gorton, "undated". "Security Baskets and Index-Linked Securities," Rodney L. White Center for Financial Research Working Papers 29-89, Wharton School Rodney L. White Center for Financial Research.
- Gary Gorton & George Pennacchi, 1991. "Security Baskets and Index-Linked Securities," NBER Working Papers 3711, National Bureau of Economic Research, Inc.
- Stewart Mayhew & Vassil Mihov, 2000. "Another Look at Option Listing Effects," Finance 0004002, University Library of Munich, Germany.
- 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.
- 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.
- Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
- 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.
- repec:bla:jfinan:v:53:y:1998:i:2:p:717-732 is not listed on IDEAS
- 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..
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394-394.
- 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.
- 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.
- 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 335-351, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- 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.
- 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.
- 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.
- 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.
- 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).
- Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.
- 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.
- 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.
- 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.
- 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.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- 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.
- George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
- 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.
- Alagidede, Paul & Panagiotidis, Theodore, 2009.
"Modelling stock returns in Africa's emerging equity markets,"
International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
- Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
- Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
- Claudiu Tiberiu Albulescu & Daniel Goyeau, 2011. "Financial Volatility And Derivatives Products: A Bidirectional Relationship," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2011, pages 57-69, july.
- Desislava Chetalova & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr, 2013. "Portfolio return distributions: Sample statistics with non-stationary correlations," Papers 1308.3961, arXiv.org, revised Jun 2014.
- Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
- Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- 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.
- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge Books,
Cambridge University Press, number 9780521779654, September.
- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, October.
- Bengt Holmström & Jean Tirole, 2001.
"LAPM: A Liquidity‐Based Asset Pricing Model,"
Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
- Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers 6673, National Bureau of Economic Research, Inc.
- Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity Based Asset Pricing Model," Working papers 98-8, Massachusetts Institute of Technology (MIT), Department of Economics.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility,"
Papers
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sharif Ullah Jan & Hashim Khan, 2018. "Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(2), pages 1-28, June.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
- Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
- Daly, Kevin, 2008. "Financial volatility: Issues and measuring techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2377-2393.
- Imran Riaz Malik & Attaullah Shah, 2016. "Resumption of Single Stock Futures (SSFs) with Stringent Regulations and their Impact on the Risk Characteristics of the Underlying Stocks," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 8(2), pages 1-22, October.
- Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:11:y:2004:i:5:p:695-708. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jempfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.