| Summary: | 碩士 === 國立高雄科技大學 === 金融系 === 107 === We find that the Idiosyncratic Return Volatility (IV) of the underlying stock declines significantly after its stock option is listed. Furthermore, we find evidences to support that stock option listing reduce the IV of underlying stock by enhancing information efficiency. Moreover, the results suggest that after financial crisis of year 2008, the stock with poor information efficiency shows more pronounced effect of stock option listing on IV is more. Finally, we examine whether the stocks with higher option trading volume have smaller IV. The results show that option trading volume is positively related to Idiosyncratic Return Volatility. The finding suggests that more option trading volume might include more noise trading. Thus, higher option trading volume may not contain more information and may increase the IV of stocks
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