Wei, Peihwang; Poon, Percy S; Zee, Susan - In: Review of Quantitative Finance and Accounting 9 (1997) 2, pp. 165-80
This paper examines the changes in spreads, price volatility, and trading activity surrounding option listing for a sample of 144 OTC stocks. For this sample, both price volatility and volume increase, but the evidence on spreads is mixed. The increase in price volatility is attributed primarily...
