search query: @indexterm AUTOCORRELATION / total: 12
reference: 9 / 12
| Author: | Sahlstöm, P. |
| Title: | Impact of stock option listings on return and risk characteristics in Finland |
| Journal: | International Review of Financial Analysis
2001 : VOL. 10:1, p. 19-36 |
| Index terms: | AUTOCORRELATION OPTIONS VOLATILITY FINLAND |
| Freeterms: | BID-ASK SPREAD |
| Language: | eng |
| Abstract: | This study investigates the impact of stock option introduction on the return and risk characteristics of underlying stocks in Finland. The results suggest that volatility and bid-ask spread levels are lower after the option listing. Furthermore, return series of stocks exhibit smaller positive first-order autocorrelation. It is found that the adverse selection component, as well as the order processing/inventory holding component of the bid-ask spread, decreases at an equal rate after the option introduction. |
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