SHORT TERM IMPACT OF OPTION TRADING ON UNDERLYING SECURITIES

Mary M. Whiteside, William P. Dukes and Patrick M. Dunne

Journal of Financial Research, 1983, vol. 6, issue 4, 313-321

Abstract: This paper examines the short-term impact of option listing before and after the moratorium. There is no clear evidence that option trading has an effect on volatility or variability of shares traded daily. However, when the results are evaluated by year of trading, two significant trends can be identified. A trend toward decreased price volatility and increased variability in the number of shares traded daily is shown in the underlying security shortly after option trading begins.

Date: 1983
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