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

dc.contributor.authorJouaber, Kaouther
dc.contributor.authorTekaya, Rim
dc.date.accessioned2012-04-30T10:09:21Z
dc.date.available2012-04-30T10:09:21Z
dc.date.issued2009-09
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9076
dc.language.isoenen
dc.subjectOption listingen
dc.subjectEfficiencyen
dc.subjectPrice durationen
dc.subjectLog-ACD modelen
dc.subjectLiquidityen
dc.subject.ddc658.1en
dc.subject.classificationjelG14en
dc.subject.classificationjelC51en
dc.subject.classificationjelC41en
dc.subject.classificationjelC12en
dc.titleHow does option listing affect the underlying stock price duration ? A study of French underlying stock efficiencyen
dc.typeCommunication / Conférence
dc.description.abstractenWe 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.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.conftitleAnnual Finsia and Melbourne Centre for Financial Studies Banking and Finance Conference : "Reassessing the Role of Financial Services"en
dc.relation.confdate2009-09
dc.relation.confcityMelbourneen
dc.relation.confcountryAustralieen


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