An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case

Joao Paulo Tome Calado, Maria Teresa Garcia () and Sergio Emanuel Tome Mendes Pereira

Applied Financial Economics, 2005, vol. 15, issue 13, 907-913

Abstract: The volatility implications of derivatives listing are not understood. Theoretical and empirical analyses on this issue have led to conflicting conclusions. This paper analyses the volatility effect of the initial exchange-listing of options and futures on the Portuguese capital market.

Date: 2005
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DOI: 10.1080/09603100500120159

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