How does option listing impact the underlying Stock Duration: A study of the French Market Efficiency
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- handle: 10670/1.47kuji
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Trading, Stock Common stocks Stock offerings Stock issues Equity financing Stock trading Common shares Equity capital Shares of stock EquitiesCiter ce document
Kaouther Jouaber et al., « How does option listing impact the underlying Stock Duration: A study of the French Market Efficiency », HAL-SHS : économie et finance, ID : 10670/1.47kuji
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We empirically investigate the effect of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamic. We use univariate tests and modified Log-ACD models that account for liquidity. Results indicate that option listing neither damages nor improves the underlying stock efficiency. However, they suggest that a new arrival of informed traders could occur during the trading day as a seasonal feature. We also find a decrease in informed trading for low volume stocks. Furthermore, Euronext and Liffe merger seems to have an impact on the duration process and on the informational content of underlying stocks.