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The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach

Mazouz, Khelifa 2004. The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach. Journal of Empirical Finance 11 (5) , pp. 695-708. 10.1016/j.jempfin.2003.09.003

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Abstract

This paper employs the standard General Auto-regressive Conditional Heteroskedasticity (GARCH(1,1)) process to examine the impact of option listing on volatility the underlying stocks. It takes into consideration the time variation in the individual stock's variance and explicitly tests whether option listing causes any permanent volatility change. It also investigates the impact of option listing on the speed at which information is incorporated into the stock price. The study uses clean samples to avoid sample selection biases and control samples to account for the change in the volatility and/or information flows that may be caused by factors other than option listing.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Publisher: Elsevier
ISSN: 0927-5398
Last Modified: 04 Jun 2017 06:32
URI: http://orca.cf.ac.uk/id/eprint/61696

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