haku: @author Fedenia, M. / yhteensä: 3
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| Tekijä: | Fedenia, M. Grammatikos, T. |
| Otsikko: | Options trading and the bid-ask spread of the underlying stocks |
| Lehti: | Journal of Business
1992 : JUL, VOL. 65:3, p. 335-352 |
| Asiasana: | BUSINESS ECONOMICS OPTIONS TRADE |
| Kieli: | eng |
| Tiivistelmä: | This study shows that options listing significantly affects the spreads of the underlying stock. The authors identify a trade-off between the benefits of increased liquidity and the cost of informational externalities. Highly liquid stocks tend to have spread increases, while liquid stocks experience spread decreases. The effect occurs in concert with nonlisting volatility changes. The spread changes do not appear to be caused by shifts in liquidity between the stock and options market. |
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