Author: | Clerc, N. Gibson, R. |
Title: | Do newly listed derivatives affect the market risk premium in a thin stock market? |
Journal: | European Finance Review
2000 : VOL. 4:2, p. 97-127 |
Index terms: | FUTURES MARKETS OPTIONS RISK PREMIUM VOLATILITY SWITZERLAND |
Language: | eng |
Abstract: | This study examines the effects on the stock market unitary risk premium and volatility associated with the listing of stock index derivatives in Switzerland. Based on a univariate GARCH (1,1) specification of the stock index variance and a time-varying unitary risk premium representation, the hypothesis that stock and stock index derivatives listings do not affect the total risk premium can be rejected. |
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