The effect of option trading at the DTB on the underlying stocks' return variance View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

1997-06

AUTHORS

Burkhard Heer, Mark Trede, Mark Wahrenburg

ABSTRACT

The effects of option trading at the DTB on the variance of the underlying stocks are examined. We use a new distribution free test being based on the empirical distribution functions. The evidence indicates that stock return variance increased after the introduction of the DTB. This effect can be partly explained by the strong increase in trading volume for option listed stocks. Our results stand in stark contrast to prior studies of both American and European financial markets. More... »

PAGES

233-245

References to SciGraph publications

  • 1994-09. German stock market dynamics in EMPIRICAL ECONOMICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/bf01205357

    DOI

    http://dx.doi.org/10.1007/bf01205357

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1037330853


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