OPTIONS LISTING, MARKET LIQUIDITY AND STOCK BEHAVIOUR: SOME CANADIAN EVIDENCE
作者： Trevor W. Chamberlain , C. Sherman Cheung , Clarence C.Y. Kwan
DOI: 10.1111/J.1468-5957.1993.TB00284.X
关键词:
摘要: This study examines the price behaviour, trading volume and liquidity of stocks in Canadian market at time options listing. Unlike some studies examining similar effects United States, present one finds no evidence to indicate that either daily return volatility or is affected by Similarly, liquidity, as measured bid-ask spread, unaffected. At same time, cross-sectional tests an inverse relationship between before-to-after spread.
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