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• W3118277672 abstract "Based on the proposed difference-in-difference design, we scrutinize the influence of stock derivatives on the underlying assets by differentiating the influence between stock futures and options. The empirical results indicate that option trading reduces equity volatility in the Shanghai Stock Exchange. The alleviation effect starts to show quickly after the introduction of SSE 50 ETF options. The component stocks in the index experience lower volatility than non-component stocks. We also document that the impact of option trading is stronger in downside volatility (bear markets) than upside volatility (bull markets). In addition, we conduct evolutionary trace analysis and show the empirical results are sensitive to the length of sample periods. This finding may explain the mixed conclusions in current literature." @default.
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• W3118277672 date "2021-05-01" @default.
• W3118277672 modified "2023-10-18" @default.
• W3118277672 title "Index option trading and equity volatility: Evidence from the SSE 50 and CSI 500 stocks" @default.
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• W3118277672 doi "https://doi.org/10.1016/j.iref.2020.12.034" @default.
• W3118277672 hasPublicationYear "2021" @default.
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