Stock Option Listings: Information versus Liquidity Effects

We investigate the impact of options listings on the variance of the underlyingstock returns in the Swiss equity market using a non-parametric approach.The emergence of multiple share categories in most Swiss firms,combined with the fact that (listed) options are typically not introduced onall of these categories simultaneously, allows us to discriminate betweenshare specific liquidity effects and firm wide information effects. We areable to attribute the well-known stabilization effects of...