Equity Option Listing and Underlying Market Quality: Evidence from a Price Duration Model
Kaouther Jouaber-Snoussi and
Additional contact information
Kaouther Jouaber-Snoussi: Paris-Dauphine, PSL Research University, CNRS, DRMFinance
Rim Tekaya: Time Higher School, Tunis
Bankers, Markets & Investors, 2016, issue 145, 14-25
We empirically investigate the effect of option listing on the underlying stock market quality by examining the stock price duration dynamic, the liquidity and the informed trading activity around option listing. We use trade-to-trade data accounting for intraday seasonality and find evidence of less frequent trades and higher intraday seasonal liquidity after option listing. Our Log-ACD models, jointly with the informed trading activity results indicate no permanent change in the underlying market quality and reject the hypothesis of a permanent move of informed traders. Our findings suggest that a new arrival of informed traders could occur during the trading day as a seasonal feature. Robustness check tests confirm these results except for the low-volume stocks for which we find evidence of informed traders’ migration. Further tests show that the Euronext and Liffe merger in 2002 had an impact on the duration process and on its informational content.
Keywords: Option Listing; Market Quality; Price Duration; Log-ACD Model; Informed Trading (search for similar items in EconPapers)
JEL-codes: C12 C13 C41 C51 G14 (search for similar items in EconPapers)
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.revue-banque.fr/article/equity-option-l ... rlying-market-qualit (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rbq:journl:i:145:p:14-25
Ordering information: This journal article can be ordered from
12 rue du Quatre-Septembre, 75002 PARIS France
Access Statistics for this article
More articles in Bankers, Markets & Investors from ESKA Publishing
Series data maintained by Marise Urbano ().