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THE IMPACT OF OPTION LISTING ON UNDERLYING STOCK RETURNS: THE UK EVIDENCE
16 references·9 citing·47 second hop
THE IMPACT OF OPTION LISTING ON UNDERLYING STOCK RETURNS: THE UK EVIDENCE (1992)THE IMPACT OF OPTION LISTING ON UNDERLYIN…Options, Short Sales, and Market Completeness (1993)Options, Short Sales, and Mar…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Price Effect of Option Introduction (1989)The Price Effect of Option In…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1988)An Analysis of the Implicatio…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Informational Externalities and Welfare-Reducing Speculation (1987)Informational Externalities a…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Stock return variances (1986)Stock return variancesDo Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Options and Efficiency (1976)Options and EfficiencyCorporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Corporate Forecasts of Earnin…Managerial Discretion in Accruals and Informational Efficiency (2017)Managerial Discretion in Accr…Information revelation in the futures market: Evidence from single stock futures (2008)Information revelation in the…The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE (2005)The volatility effect of futu…Equity option listing in the UK: a comparison of market-based research methodologies (2002)Equity option listing in the …The Derivative Warrant Market in Hong Kong (2001)The Derivative Warrant Market…Stock futures: the effects of their trading on the underlying stocks in Australia (1998)Stock futures: the effects of…Der Einfluß des Wechsels vom Rechnungslegungsstandard auf die Risikoparameter von schweizerischen Aktien (1998)Der Einfluß des Wechsels vom …Listing of put options: Is there any volatility effect? (1997)Listing of put options: Is th…Event studies based on volatility of returns and trading volume: A review (1992)Event studies based on volati…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Theory of rational option pricing (2005)Neglected risks, financial innovation, and financial fragility (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring security price performance (1980)Earnings Management During Import Relief Investigations (1991)Event Studies in Economics and Finance (1997)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1986Stock return variances1,813 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test1,749 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1976Options and Efficiency830 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1993Options, Short Sales, and Market Completeness463 cited
  • 1987Informational Externalities and Welfare-Reducing Speculation433 cited
  • 1989The Price Effect of Option Introduction352 cited
  • 1988An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

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332 cited

Cited by

  • 2008Information revelation in the futures market: Evidence from single stock futures35 cited
  • 2005The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE30 cited
  • 1998Stock futures: the effects of their trading on the underlying stocks in Australia26 cited
  • 2017Managerial Discretion in Accruals and Informational Efficiency25 cited
  • 2001The Derivative Warrant Market in Hong Kong25 cited
  • 2002Equity option listing in the UK: a comparison of market-based research methodologies24 cited
  • 1997Listing of put options: Is there any volatility effect?24 cited
  • 1992Event studies based on volatility of returns and trading volume: A review19 cited
  • 1998Der Einfluß des Wechsels vom Rechnungslegungsstandard auf die Risikoparameter von schweizerischen Aktien16 cited