Does options listing impact on the time-varying risk characteristics of the underlying stocks? evidence from NYSE stocks listed on the CBOE

This article extends Mayhew and Mihov (2004) and Mazouz (2004) by investigating if either the (time-varying) systematic or diversifiable risk of a NYSE-traded stock is impacted when its option is listed on the Chicago Board Option Exchange (CBOE). We employ a Kalman Filter to estimate time-varying b...

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Veröffentlicht in:Applied financial economics
1. Verfasser: Mazouz, Khelifa (VerfasserIn)
Weitere Verfasser: Bowe, Michael (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2009
Schlagworte:
Aktienoption > Zweitlisting > USA > Zustandsraummodell > ARCH-Modell > Aufsatz in Zeitschrift
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Zusammenfassung:This article extends Mayhew and Mihov (2004) and Mazouz (2004) by investigating if either the (time-varying) systematic or diversifiable risk of a NYSE-traded stock is impacted when its option is listed on the Chicago Board Option Exchange (CBOE). We employ a Kalman Filter to estimate time-varying betas, and apply a GARCH(1,1) process on the one-step-ahead forecast error to estimate conditional diversifiable risk. An individual stock approach rather than the customary portfolio approach is adopted. A control sample accommodates possible risk changes resulting from the endogenous nature of the exchange's option listing decision, and the potential impact of changes in market- and industry-wide conditions. The evidence indicates that option listing has no significant predictable impact on either risk characteristic.
Beschreibung:graph. Darst.
ISSN:0960-3107