Agyei-Ampomah, Sam; Mazouz, Khelifa - In: Journal of Banking & Finance 35 (2011) 8, pp. 2056-2069
This study examines the changes in return comovement around the listing and delisting of stock option contracts. We show that newly option listed stocks experience an increase in comovement with a portfolio of option listed stocks and a decrease in comovement with the portfolio of non-optioned...