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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/99141


    Title: Index Options and Informativeness of the Underlying Stocks' Prices: An Empirical Study
    Authors: Liu, Shinhua;Hung, Ken;Duan, Chang-Wen
    Contributors: 淡江大學財務金融學系
    Keywords: SandP 100 index options;underlying stocks;return predictability;price informativeness
    Date: 2011-12-01
    Issue Date: 2014-10-15 14:28:35 (UTC+8)
    Publisher: 臺北市:臺灣財務金融學會
    Abstract: Theories predict that initiation of index derivatives could affect the informativeness of the underlying stocksf prices. We test this hypothesis by exploring stock price behavior around the introduction of the SandP 100 options on the CBOE in March 1983. Applying two alternative statistical methods to both daily and weekly data, we find that, following the listing of the index options, the underlying stocksf returns become significantly more random and, thus, less predictable, net of contemporary marketwide efficiency shifts. That is, the underlying stocksf prices tend to be more informative following the commencement of the index options, consistent with the hypothesis.
    Relation: Journal of Financial Studies=財務金融學刊 19(4), pp.119-
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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