The comovement of option listed stocks
Agyei-Ampomah, S (2011) The comovement of option listed stocks Journal of Banking & Finance, 35 (8). pp. 2056-2069.
Comovement_Revised_Version_4.pdf - Accepted version Manuscript
This study examines the changes in return comovement around the listing and delisting of stock option contracts. We show that newly option listed stocks experience an increase in comovement with a portfolio of option listed stocks and a decrease in comovement with the portfolio of non-optioned stocks. Similarly, stocks that undergo option delisting exhibit a decrease in comovement with option listed stocks and an increase in comovement with non-optioned stocks. We verify the reliability of our findings in several ways. A matched sample analysis suggests that our results are not driven by factors other than option listing and we find similar results using a calendar-time approach. Further analysis reveals that commonalities in option trading may induce the comovement in the option listed stocks. Overall, our evidence is consistent with the predictions of the category or habitat view of comovement.
|Divisions :||Faculty of Arts and Social Sciences > Surrey Business School|
|Date :||August 2011|
|Identification Number :||https://doi.org/10.1016/j.jbankfin.2011.01.016|
|Additional Information :||NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance, 35(8), August 2011, DOI 10.1016/j.jbankfin.2011.01.016.|
|Depositing User :||Symplectic Elements|
|Date Deposited :||22 Mar 2012 12:10|
|Last Modified :||23 Sep 2013 19:12|
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