Author: | Peterson, D. |
Title: | The influence of organized options trading on stock price behavior following large one-day stock price declines |
Journal: | Journal of Financial Research
1995 : SPRING, VOL. 18:1, P. 33-44 |
Index terms: | FINANCE RESEARCH SHARE PRICES |
Language: | eng |
Abstract: | In this study the author examines the effect of organized options trading on stock price behavior immediately following stock price declines of 10 percent or more. A matched-pair sample of National Market System option and nonoption firms are analyzed from June 1985 through December 1992. After controlling for the bid-ask bounce, firm size, share price, return standard deviation, and beta he finds that three-day cumulative abnormal returns for option firms are approximately 1.57 percent less than those for nonoption firms. |
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