How does option listing impact the underlying Stock Duration: A study of the French Market Efficiency

Kaouther Jouaber () and Rim Tekaya ()
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Kaouther Jouaber: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: We empirically investigate the effect of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamic. We use univariate tests and modified Log-ACD models that account for liquidity. Results indicate that option listing neither damages nor improves the underlying stock efficiency. However, they suggest that a new arrival of informed traders could occur during the trading day as a seasonal feature. We also find a decrease in informed trading for low volume stocks. Furthermore, Euronext and Liffe merger seems to have an impact on the duration process and on the informational content of underlying stocks.

Keywords: Option listing; Efficiency; Price duration; Log-ACD model; Liquidity (search for similar items in EconPapers)
Date: 2011-05
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Published in 18th Forecasting Financial Markets conference, May 2011, Marseille, France. pp.45

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00676569

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