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

Mazouz, Khelifa; Bowe, Michael - In: Applied financial economics 19 (2009) 1/3, pp. 203-212

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...

Persistent link: https://www.econbiz.de/10003825907

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

Mazouz, Khelifa; Bowe, Michael - In: Applied financial economics 19 (2009) 1-3, pp. 203-212

Persistent link: https://www.econbiz.de/10008210134

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

Mazouz, Khelifa; Bowe, Michael - In: Applied financial economics 19 (2009) 3, pp. 203-212

Persistent link: https://www.econbiz.de/10008167077