Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks?
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 ef...
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ndltd-TW-107NKUS02180302019-07-19T03:36:32Z http://ndltd.ncl.edu.tw/handle/qj6jw8 Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks? 選擇權的上市和交易是否能降低選擇權標的個股的個別風險? JHAO, AN-CI 趙安淇 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 HSIEH, SHU-FAN 謝舒帆 2019 學位論文 ; thesis 47 zh-TW |
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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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HSIEH, SHU-FAN |
author_facet |
HSIEH, SHU-FAN JHAO, AN-CI 趙安淇 |
author |
JHAO, AN-CI 趙安淇 |
spellingShingle |
JHAO, AN-CI 趙安淇 Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks? |
author_sort |
JHAO, AN-CI |
title |
Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks? |
title_short |
Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks? |
title_full |
Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks? |
title_fullStr |
Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks? |
title_full_unstemmed |
Do the Introduction and Trading of Stock Options Reduce the Idiosyncratic Risk of Underlying Stocks? |
title_sort |
do the introduction and trading of stock options reduce the idiosyncratic risk of underlying stocks? |
publishDate |
2019 |
url |
http://ndltd.ncl.edu.tw/handle/qj6jw8 |
work_keys_str_mv |
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