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Was there an option-listing effect for the IRX options?

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  • E. Benrud

Abstract

Properties of the 3-month Treasury bill rate changed on and around the listing date of the IRX options for which the Treasury bill rate is the underlying. The level of return declined, the volatility declined and dummy variables for the day of listing and the 2 days after are negative and significant in an econometric model. The changes are consistent with the option-listing effect observed with the listing of options on stocks and American Depositary Receipts (ADRs).

Suggested Citation

  • E. Benrud, 2013. "Was there an option-listing effect for the IRX options?," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 485-488, March.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:5:p:485-488
    DOI: 10.1080/13504851.2012.714060
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Chern, Keh-Yiing & Tandon, Kishore & Yu, Susana & Webb, Gwendolyn, 2008. "The information content of stock split announcements: Do options matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 930-946, June.
    4. repec:bla:jfinan:v:44:y:1989:i:2:p:487-98 is not listed on IDEAS
    5. Damodaran, Aswath & Lim, Joseph, 1991. "The effects of option listing on the underlying stocks' return processes," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 647-664, June.
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