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- W1615673646 abstract "This paper presents the behavior of option markets of S&P 500 index changes for the first time. The same as the underlying stock markets, we found abnormal returns from AD+1 to CD except for put options of addition stocks. We found evidence supporting the liquidity hypothesis and information hypothesis of stock markets from option side. We derived the mean implied risk-neutral probability density function from a group of stocks for the first time. We found evidence of arbitrage activities and inside trading activities for the index changes. We found S&P would like to delete stocks which have left-shift implied RNDs and add stocks which have right-shift implied RNDs, which means the index changes are not information-free for the markets." @default.
- W1615673646 created "2016-06-24" @default.
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- W1615673646 date "2003-01-01" @default.
- W1615673646 modified "2023-09-23" @default.
- W1615673646 title "The Addition and Deletion Effects of the Standard & Poor's 500 Index on Option Markets" @default.
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- W1615673646 doi "https://doi.org/10.2139/ssrn.459428" @default.
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