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Communication dans un congrès Année : 2009

How does option listing impact the underlying Stock Duration: A study of the French Market Efficiency

Kaouther Jouaber
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  • PersonId : 842434
Rim Tekaya
  • Fonction : Auteur
  • PersonId : 921759

Résumé

We empirically investigate the effect of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamic. We use univariate tests and modified Log-ACD models that account for liquidity. Results indicate that option listing neither damages nor improves the underlying stock efficiency. However, they suggest that a new arrival of informed traders could occur during the trading day as a seasonal feature. We also find a decrease in informed trading for low volume stocks. Furthermore, Euronext and Liffe merger seems to have an impact on the duration process and on the informational content of underlying stocks.
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halshs-00676591, version 1 (05-03-2012)

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  • HAL Id : halshs-00676591 , version 1

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Kaouther Jouaber, Rim Tekaya. How does option listing impact the underlying Stock Duration: A study of the French Market Efficiency. 14th Finsia-MCFS Banking and Finance Conference, Sep 2009, Melbourne, Australia. pp.18. ⟨halshs-00676591⟩
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