Index Options and Informativeness of the Underlying Stocks' Prices: An Empirical Study

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Title:	Index Options and Informativeness of the Underlying Stocks' Prices: An Empirical Study
Other Titles:	指數選擇權與標的股價價格可提供的訊息
Authors:	Liu, Shinhua;Hung, Ken;Duan, Chang-Wen
Contributors:	淡江大學財務金融學系
Keywords:	S&P 100指數選擇權;標的股票;報酬可預測性;價格可提供之資訊;S&P 100 index options;underlying stocks;return predictability;price informativeness
Date:	2011-12-31
Issue Date:	2014-10-15 14:28:35 (UTC+8)
Publisher:	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:	財務金融學刊 19(4), p.119-139
DOI:	10.6545/JFS.2011.19(4).4
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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