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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