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New Evidence on Price and Volatility Effects of Stock Option Introductions

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  • Kabir, M.R.

    (Tilburg University, Center For Economic Research)

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Suggested Citation

  • Kabir, M.R., 1997. "New Evidence on Price and Volatility Effects of Stock Option Introductions," Discussion Paper 1997-37, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:5cd478a7-38da-4db0-9d8d-a22181ec2079
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/526767/37.pdf
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    References listed on IDEAS

    as
    1. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
    2. 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.
    3. repec:bla:jfinan:v:44:y:1989:i:2:p:487-98 is not listed on IDEAS
    4. 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.
    5. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    6. 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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    Cited by:

    1. Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "Modeling and Simulation of an Artificial Stock Option Market," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 37-53, September.

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