Journal of Banking & Finance Vol. 22 No. 9 1998
A note on the impact of options on stock return volatility
Abstract
This paper measures the impact of option introductions on the return variance of underlying stocks. Past research generally finds a significant reduction in stock return variance following the listing of options through 1986. Using a more extensive sample, I compare changes in the return variance of optioned stocks to changes in the return variance of a control group. Since the average change in the control group is statistically indistinguishable from the average change in the optioned stocks, I conclude that option introductions do not significantly affect stock return variance.
- DOI
- 10.1016/s0378-4266(98)00056-9
- Volume
- 22
- Issue
- 9
- Pages
- 1181-1191
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib