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dc.contributor.authorAgyei-Ampomah, S.*
dc.contributor.authorMazouz, Khelifa*
dc.date.accessioned2014-03-10T18:20:49Z
dc.date.available2014-03-10T18:20:49Z
dc.date.issued2011
dc.identifier.citationAgyei-Ampomah, S., Mazouz, Khelifa (2011) The comovement of option listed stocks. Journal of Banking & Finance, 35 (8), 2056-2069.
dc.identifier.urihttp://hdl.handle.net/10454/5808
dc.description.abstractThis study examines the changes in return comovement around the listing and delisting of stock option contracts. We show that newly option listed stocks experience an increase in comovement with a portfolio of option listed stocks and a decrease in comovement with the portfolio of non-optioned stocks. Similarly, stocks that undergo option delisting exhibit a decrease in comovement with option listed stocks and an increase in comovement with non-optioned stocks. We verify the reliability of our findings in several ways. A matched sample analysis suggests that our results are not driven by factors other than option listing and we find similar results using a calendar-time approach. Further analysis reveals that commonalities in option trading may induce the comovement in the option listed stocks. Overall, our evidence is consistent with the predictions of the category or habitat view of comovement.en
dc.relation.isreferencedbyhttp://dx.doi.org/10.1016/j.jbankfin.2011.01.016
dc.subjectREF 2014; Comovement; Equity option listing; Beta
dc.titleThe comovement of option listed stocks
dc.typeArticle


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