IDEAS home Printed from https://ideas.repec.org/a/eee/quaeco/v35y1995i1p97-116.html
   My bibliography  Save this article

The volatility effect of option listing: Some Canadian evidence

Author

Listed:
  • Elfakhani, Said
  • Chaudhury, Mohammed

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:quaeco:v:35:y:1995:i:1:p:97-116
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/1062-9769(95)90065-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:bla:jfinan:v:44:y:1989:i:5:p:1155-75 is not listed on IDEAS
    2. Mary M. Whiteside & William P. Dukes & Patrick M. Dunne, 1983. "Short Term Impact Of Option Trading On Underlying Securities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 313-321, December.
    3. repec:bla:jfinan:v:44:y:1989:i:2:p:487-98 is not listed on IDEAS
    4. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    5. Wi Saeng Kim & Colin M. Young, 1991. "The Effect Of Traded Option Introduction On Shareholder Wealth," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 141-151, June.
    6. Kim, Wi Saeng & Young, Colin M, 1991. "The Effect of Traded Option Introduction on Shareholder Wealth," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 141-153, Summer.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. Kabir, M.R., 1997. "New Evidence on Price and Volatility Effects of Stock Option Introductions," Other publications TiSEM 5cd478a7-38da-4db0-9d8d-a, Tilburg University, School of Economics and Management.
    3. Johnson, Lewis D. & Yu, Wayne W., 2004. "An analysis of the use of derivatives by the Canadian mutual fund industry," Journal of International Money and Finance, Elsevier, vol. 23(6), pages 947-970, October.
    4. Md. Mohibul Islam & Anisul M. Islam, 2017. "Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(9), pages 157-15-172, 09-2017.
    5. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
    6. Charupat, Narat, 2006. "The effect of derivative trading on the underlying markets: Evidence from Canadian instalment receipts trading," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 276-293.
    7. 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.
    8. 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.

    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.
    1. 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.
    2. Mohammed Chaudhury & Said Elfakhami, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, John Wiley & Sons, vol. 6(1), pages 57-75.
    3. Holden, Craig W. & Lundstrum, Leonard L., 2009. "Costly trade, managerial myopia, and long-term investment," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 126-135, January.
    4. Shang-Jin Wei & Jungshik Kim, 1997. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," NBER Working Papers 6256, National Bureau of Economic Research, Inc.
    5. Leonard L. Lundstrum, 2016. "Option listing: market quality revisited," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 565-578, October.
    6. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
    7. 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.
    8. de Jong, C.M., 2001. "Informed Option Trading Strategies," ERIM Report Series Research in Management ERS-2001-55-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    9. Koedijk, Kees & de Jong, Cyriel & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers.
    10. Ramesh P. Rao & Niranjan Tripathy & William P. Dukes, 1991. "Dealer Bid-Ask Spreads And Options Trading On Over-The-Counter Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 317-325, December.
    11. Asli Ascioglu & Murat Aydogdu & Lynn Phillips Kugele, 2013. "The Impact of Option Listing on the Trading Activity of Turkcell’s American Depository Receipt (ADR)," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 27(1), pages 1-18.
    12. Douglas J. Skinner, 1997. "Do Options Markets Improve Informational Efficiency?," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 193-201, June.
    13. Bruce D. Niendorf & David R. Peterson, 1996. "The Cross-Sectional Effects Of Option Listing On Firm Stock Return Variances," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 515-539, December.
    14. George D. Cashman & David M. Harrison & Hainan Sheng, 2022. "Short selling and options trading: A tale of two markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 313-338, June.
    15. Shih Yung Wei & Jack J. W. Yang, 2011. "The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 89-98.
    16. Lundstrum, Leonard L. & Walker, Mark D., 2006. "LEAPS introductions and the value of the underlying stocks," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 494-510, October.
    17. Christian Schlag, 1996. "Expiration day effects of stock index derivatives in Germany," European Financial Management, European Financial Management Association, vol. 2(1), pages 69-95, March.
    18. Johnson, Lewis D. & Yu, Wayne W., 2004. "An analysis of the use of derivatives by the Canadian mutual fund industry," Journal of International Money and Finance, Elsevier, vol. 23(6), pages 947-970, October.
    19. Prof. G.V. Chalam & Mr. R. Sreenivasa Rao, 2014. "A Study on Impact of Non – Price Variables on the Value of Index Options," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 5(1), pages 83-90, January.
    20. 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.

    More about this item

    Statistics

    Access and download statistics

    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:quaeco:v:35:y:1995:i:1:p:97-116. 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/inca/620167 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.