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Communication dans un congrès Année : 2010

Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks

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

Résumé

We empirically investigated the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation. We use a time-consistent bivariate VAR (Vector Autoregressive Regression) model that accounts for time duration between trades. Post-listing and pre-listing model results are compared over a sample including 34 stocks for which options were newly listed between 1996 and 2006. Despite a significant rise of raw and diurnally adjusted price durations, a positive impact on the underlying stock volume-volatility relation attributable to option listing is found. This better adjustment to new information is observable jointly on contemporaneous and delayed relation. However, when decomposing volatility into informed and non-informed components, no migration of informed traders to the underlying stock market after option listing is documented. Furthermore, Euronext and Liffe merger in 2002 as a structural change in market conditions seems to have an impact on the duration process and on the informational content of underlying stocks. In addition, our results support that listing options for low volume stocks lead to a decrease in adjustment of volume to volatility.
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Dates et versions

halshs-00677740, version 1 (09-03-2012)

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  • HAL Id : halshs-00677740 , version 1

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Kaouther Jouaber, Rim Tekaya. Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks. AFFI 2010, May 2010, Saint-Malo, France. ⟨halshs-00677740⟩
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