Title: Options markets and stock return volatility
Abstract: This study examines the variance of returns on common stocks around the time exchange-traded options are listed on these stocks. The evidence indicates that stock return variance declines after options listing, and that this phenomenon is not fully explained by contemporaneous shifts in market volatility. In addition, stock market trading volume increases, on average, after options are listed on firms' stocks. I examine the hypothesis that the variance changes are related to changes in 'trading noise" in the stock, but find little direct support for this explanation.
Publication Year: 1989
Publication Date: 1989-06-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 285
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot