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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorJouaber, Kaouther*
hal.structure.identifier
dc.contributor.authorTekaya, Rim*
dc.date.accessioned2014-07-02T08:48:03Z
dc.date.available2014-07-02T08:48:03Z
dc.date.issued2012-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13636
dc.language.isoenen
dc.subjectOption listingen
dc.subjectEfficiencyen
dc.subjectPrice durationen
dc.subjectLog-ACD modelen
dc.subjectLiquidityen
dc.subjectInformed tradingen
dc.subject.ddc658.1en
dc.subject.classificationjelC.C1.C12en
dc.subject.classificationjelC.C1.C13en
dc.subject.classificationjelC.C4.C41en
dc.subject.classificationjelC.C5.C51en
dc.subject.classificationjelG.G1.G14en
dc.titleHow Does Option Listing Affect Underlying Stock Efficiency? Evidence from a Duration Modelen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe empirically investigate the effect of option listing on the underlying stock efficiency by examining the stock price duration dynamic and the informed trading activity around option listing. We use univariate tests and extended Log-ACD models that account for liquidity. Despite a significant increase in the price duration, option listing seems not to deteriorate the underlying stock efficiency. The results reject a permanent change in the informed trading activity but suggest a positive intraday seasonal impact. However, this result is not confirmed for low volume stocks. Furthermore, Euronext and Liffe merger in 2002 seems to have an impact on the duration process and the efficiency of underlying stocks.en
dc.identifier.citationpages39en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2181391en
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.description.submittednonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01525792*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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