The Impact of Options Introduction on the Price and Volatility of Underlying Securities: A Study of American Depository Receipts

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dc.contributor.authorPayne, Janet
dc.date.accessioned2008-04-04T10:06:37Z
dc.date.available2012-02-24T10:06:38Z
dc.date.issued2006-06
dc.descriptionResearch Enhancement Program Final Report
dc.description.abstractWe examine 125 option introductions on newly listed options for ADRs over the period of 1982 to 2006. We test the short sales constraint in an environment potentially less susceptible to short sales constraints for many of the firms. We find that there is a negative abnormal stock return associated with the options introduction. We also find that the trading volume does go down relative to a peer group. However, it quickly rebounds to pre-optioned levels. Factors driving option listing on the options exchanges are comparable to those in US domestic securities with the addition of the change in relative short interest as well as an industry specific effect.
dc.description.departmentSponsored Programs
dc.formatText
dc.format.extent1 page
dc.format.medium1 file (.pdf)
dc.identifier.citationPayne, J. (2006). The impact of options introduction on the price and volatility of underlying securities: A study of American depository receipts. Research Enhancement Program, Texas State University, San Marcos, Texas.
dc.identifier.urihttps://hdl.handle.net/10877/2861
dc.language.isoen
dc.subjectoptions
dc.subjectsecurities
dc.subjectsecurities volatility
dc.subjectsecurities price
dc.subjectdepository receipts
dc.titleThe Impact of Options Introduction on the Price and Volatility of Underlying Securities: A Study of American Depository Receipts
dc.typeReport

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