The impact of CBOE options listing on the volatility of NYSE traded stock: a time varying risk approach

Description

No / 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.

Links & Downloads

1. Mazouz, K. (2004). The impact of CBOE options listing on the volatility of NYSE traded stock: a time varying risk approach. Journal of Empirical Finance. Vol. 11, No. 5, pp. 695-708.
2. http://hdl.handle.net/10454/3155
3. https://doi.org/10.1016/j.jempfin.2003.09.003

Tags

Time-varying variance approach

CBOE

NYSE

Additional Fields

Identifer	oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/3155
Date	January 2004
Creators	Mazouz, Khelifa
Source Sets	Bradford Scholars
Language	English
Detected Language	English
Type	Article, No full-text in the repository