New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks
This paper re-examines the evidence on how the listing of options impacts on underlying stock’s volatility by taking into consideration the possible presence of a learning effect, along with the impact of the very endogenous nature of the options listing decision itself.Our analyses are centred on...
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my.uum.repo.250992018-10-31T01:08:52Z http://repo.uum.edu.my/25099/ New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks Mazouz, Khelifa HG Finance This paper re-examines the evidence on how the listing of options impacts on underlying stock’s volatility by taking into consideration the possible presence of a learning effect, along with the impact of the very endogenous nature of the options listing decision itself.Our analyses are centred on both the portfolio approach as well as the individual stock approach applied on the sample of optioned stocks with a matched control sample. The results show that the individual stock approach yielded accurate results, as it is amenable to both the sign and the statistical significance test of variance change. However, unlike the individual stock approach, the more frequently applied portfolio approach relies more on the sign rather than the statistical significance. Based on these analyses, we found no evidence of the CBOE-option listing effect’s presence on the volatility of the underlying stocks in the New York Stock Exchange. Universiti Utara Malaysia 2007 Article PeerReviewed application/pdf en http://repo.uum.edu.my/25099/1/IJBF%205%201%202007%2059%2082.pdf Mazouz, Khelifa (2007) New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks. The International Journal of Banking and Finance, 5 (1). pp. 59-82. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/135-the-international-journal-of-banking-and-finance-ijbf-vol-5-no-1-2008 |
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HG Finance Mazouz, Khelifa New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks |
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This paper re-examines the evidence on how the listing of options impacts on underlying stock’s volatility by taking into consideration the possible presence of a learning effect, along with the impact of the very endogenous nature of the
options listing decision itself.Our analyses are centred on both the portfolio approach as well as the individual stock approach applied on the sample of optioned stocks with a matched control sample. The results show that the individual stock
approach yielded accurate results, as it is amenable to both the sign and the statistical significance test of variance change. However, unlike the individual stock approach, the more frequently applied portfolio approach relies more on the sign rather than the statistical significance. Based on these analyses, we found
no evidence of the CBOE-option listing effect’s presence on the volatility of the underlying stocks in the New York Stock Exchange. |
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Article |
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Mazouz, Khelifa |
author_facet |
Mazouz, Khelifa |
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Mazouz, Khelifa |
title |
New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks |
title_short |
New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks |
title_full |
New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks |
title_fullStr |
New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks |
title_full_unstemmed |
New Evidence on the Effect of Cboe Options Listing on the Volatility of New York Listed Stocks |
title_sort |
new evidence on the effect of cboe options listing on the volatility of new york listed stocks |
publisher |
Universiti Utara Malaysia |
publishDate |
2007 |
url |
http://repo.uum.edu.my/25099/1/IJBF%205%201%202007%2059%2082.pdf http://repo.uum.edu.my/25099/ http://ijbf.uum.edu.my/index.php/previous-issues/135-the-international-journal-of-banking-and-finance-ijbf-vol-5-no-1-2008 |
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