Jouaber, Kaouther; Tekaya, Rim - Université Paris-Dauphine (Paris IX) - 2010
We empirically investigated the impact of option listing on the underlying stock efficiency by looking at the volume-volatility … positive impact on the underlying stock volume-volatility relation attributable to option listing is found. This better … adjustment to new information is observable jointly on contemporaneous and delayed relation. However, when decomposing volatility …