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- W89497323 abstract "In this paper, we re-examine the impact of options listing on the volatility of the underlying stocks. We take into consideration the possible presence of dual effect, learning effect, and the endogenous nature of the options listing decision in our sample. We argue the empirical results are likely to depend on the characteristics of the stocks included in the sample, the sample size and time frame of the empirical study, if these effects are ignored. Our analyses are based on both a portfolio approach and an individual stock approach applied on both the sample of optioned stocks and the control sample. We argue that the individual stock approach is more likely to provide accurate results as it is based on both the sign and the statistical significance of the individual stock's variance change. However, unlike the individual stock approach, the portfolio approach, which is more frequently used, relies more on the sign, rather than the statistical significance, of the change in the individual stock variance. Based on these analyses we find no evidence of the presence of the options listing effect on the volatility of the underlying stocks." @default.
- W89497323 created "2016-06-24" @default.
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- W89497323 date "2002-01-01" @default.
- W89497323 modified "2023-09-23" @default.
- W89497323 title "New Evidence on the Effect of CBOE Options Listing on the Volatility of NYSE Listed Stocks: Examining the Periods of 1980s and 1990s" @default.
- W89497323 doi "https://doi.org/10.2139/ssrn.316486" @default.
- W89497323 hasPublicationYear "2002" @default.
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