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The Effect of Option listing on the Underlying Stock Volume Volatility Relation : A Study of French Underlying Stock Efficiency

dc.contributor.authorJouaber, Kaouther
dc.contributor.authorTekaya, Rim
dc.date.accessioned2012-04-30T10:19:55Z
dc.date.available2012-04-30T10:19:55Z
dc.date.issued2009-12
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9078
dc.language.isoenen
dc.subjectOption listingen
dc.subjectEfficiencyen
dc.subjectPrice durationen
dc.subjectVolumeen
dc.subjectVolatility relationen
dc.subjectBivariate VAR modelen
dc.subject.ddc658.1en
dc.subject.classificationjelG14en
dc.subject.classificationjelC51en
dc.subject.classificationjelC41en
dc.subject.classificationjelC12en
dc.titleThe Effect of Option listing on the Underlying Stock Volume Volatility Relation : A Study of French Underlying Stock Efficiencyen
dc.typeCommunication / Conférence
dc.description.abstractenWe empirically investigated the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation. We use a time-consistent bivariate VAR (Vector Autoregressive Regression) model that accounts for time duration between trades. Post-listing and pre-listing model results are compared over a sample including 34 stocks for which options were newly listed between 1996 and 2006. Despite a significant rise of raw and diurnally adjusted price durations, a positive impact on the underlying stock volume-volatility relation attributable to option listing is found. This better adjustment to new information is observable jointly on contemporaneous and delayed relation. However, when decomposing volatility into informed and non-informed components, no migration of informed traders to the underlying stock market after option listing is documented. Furthermore, Euronext and Liffe merger in 2002 as a structural change in market conditions seems to have an impact on the duration process and on the informational content of underlying stocks. In addition, our results support that listing options for low volume stocks lead to a decrease in adjustment of volume to volatility.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.conftitleSouthwestern Society of Economists Conferenceen
dc.relation.confdate2010-03
dc.relation.confcityDallasen
dc.relation.confcountryÉtats-Unisen


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