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How does option listing affect the underlying stock price duration ? A study of French underlying stock efficiency

Jouaber, Kaouther; Tekaya, Rim (2009-09), How does option listing affect the underlying stock price duration ? A study of French underlying stock efficiency, Annual Finsia and Melbourne Centre for Financial Studies Banking and Finance Conference : "Reassessing the Role of Financial Services", 2009-09, Melbourne, Australie

Type
Communication / Conférence
Date
2009-09
Titre du colloque
Annual Finsia and Melbourne Centre for Financial Studies Banking and Finance Conference : "Reassessing the Role of Financial Services"
Date du colloque
2009-09
Ville du colloque
Melbourne
Pays du colloque
Australie
Métadonnées
Afficher la notice complète
Auteur(s)
Jouaber, Kaouther
Tekaya, Rim
Résumé (EN)
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.
Mots-clés
Option listing; Efficiency; Price duration; Log-ACD model; Liquidity
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
C51 - Model Construction and Estimation
C41 - Duration Analysis; Optimal Timing Strategies
C12 - Hypothesis Testing: General

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