The impact of CBOE options listing on the volatility of NYSE traded stock: a time varying risk approach
Mazouz, Khelifa
Mazouz, Khelifa
Publication Date
2004
End of Embargo
Supervisor
Keywords
Rights
Peer-Reviewed
Yes
Open Access status
closedAccess
Accepted for publication
Institution
Department
Awarded
Embargo end date
Collections
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.
Version
No full-text in the repository
Citation
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.
Link to publisher’s version
Link to published version
Link to Version of Record
Type
Article