The impact of options trading on the market quality of the underlying security: An empirical analysis

• 成果类型: Article
• 署名作者: Kumar, R; Sarin, A; Shastri, K
• 署名单位: Virginia Polytechnic Institute & State University; Santa Clara University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.285595
• 发表日期: 1998
• 页码: 717-732
• 关键词: BID-ASK SPREAD; volatility; stocks

摘要

We find that option listings are associated with a decrease in the variance of the pricing error, a decrease in the adverse selection component of the spread, and an increase in the relative weight placed by the specialist on public information in revising prices for the underlying stocks. We also find that there is a decrease in the spread and increases in quoted depth, trading volume, trading frequency, and transaction size after option listings. Overall, our results suggest that option listings improve the market quality of the underlying stocks.