The Price and Risk Effects of Option Introductions on the Nordic Markets

Staffan Lindén

No 434, European Economy - Economic Papers 2008 - 2015 from Directorate General Economic and Financial Affairs (DG ECFIN), European Commission

Abstract: This paper examines the effects of option introductions on the price and risk of the underlying assets. The data, covering 58 introductions during the period 1985-1997, have been collected from the Nordic markets (Denmark, Finland, Norway, and Sweden). A persistent increase of stock returns is found right after the announcement date, rather than at the introduction date, as in US data. The volatility is found to decrease continuously over the ten-month period following the introduction of stock options.

JEL-codes: G12 G13 G14 G15 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2010-12
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:euf:ecopap:0434

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