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...

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Year of publication:	2001-09-01
Authors:	Kraus, Thomas ; Zimmermann, Heinz
Institutions:	Kraus Partner Investment Solutions AG, St. Gallen
Subject:	Kreditmarkt \| Optionspreistheorie \| Swiss Options and Financial Futures Exchange AG \| EUREX

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Extent:	281600 bytes 31 p. application/pdf
Series:	WWZ - Department of Finance - Publikationen WWZ/Department of Finance, Working Paper No. 7/01
Type of publication:	Book / Working Paper
Language:	English
Classification:	G14 - Information and Market Efficiency; Event Studies ; Corporate statistics and corporate cost accounting ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; Switzerland. General Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005866713