This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone, simultaneous listings of both call and put options, and listings of put options alone. A significant decline in stock price is observed with the introduction of option trading. But, no significant effect takes place on the volatility of underlying stocks. Although the evidence is in sharp contrast to the so-called “established view”, it is consistent with recent studies.
|Place of Publication||Tilburg|
|Number of pages||24|
|Publication status||Published - 1997|
|Name||CentER Discussion Paper|
- Option listing
- stock price
- stock volatility