| dc.contributor.author | Jouaber, Kaouther | |
| dc.contributor.author | Tekaya, Rim | |
| dc.date.accessioned | 2012-04-30T10:09:21Z | |
| dc.date.available | 2012-04-30T10:09:21Z | |
| dc.date.issued | 2009-09 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/9076 | |
| dc.language.iso | en | en |
| dc.subject | Option listing | en |
| dc.subject | Efficiency | en |
| dc.subject | Price duration | en |
| dc.subject | Log-ACD model | en |
| dc.subject | Liquidity | en |
| dc.subject.ddc | 658.1 | en |
| dc.subject.classificationjel | G14 | en |
| dc.subject.classificationjel | C51 | en |
| dc.subject.classificationjel | C41 | en |
| dc.subject.classificationjel | C12 | en |
| dc.title | How does option listing affect the underlying stock price duration ? A study of French underlying stock efficiency | en |
| dc.type | Communication / Conférence | |
| dc.description.abstracten | 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. | en |
| dc.description.sponsorshipprivate | oui | en |
| dc.subject.ddclabel | Organisation et finances d'entreprise | en |
| dc.relation.conftitle | Annual Finsia and Melbourne Centre for Financial Studies Banking and Finance Conference : "Reassessing the Role of Financial Services" | en |
| dc.relation.confdate | 2009-09 | |
| dc.relation.confcity | Melbourne | en |
| dc.relation.confcountry | Australie | en |
