Theories predict that introduction of option trading should affect the pricing efficiency in the underlying stock market. We further test this hypothesis, employing a recent sample of equity option listings on the Tokyo stock exchange. Using two conventional statistical tests, we find that, with...

This study investigates the price and trading volume effects of changes in the Nikkei 500. On average, price increases (decreases) significantly for stocks added (deleted) with no post-event reversal. Trading volume, on average, increases significantly for both additions and deletions in the...

This study explores the impacts on small securities firms' performance of the multi-stage commission deregulation in Japan from 1994 to 1999. Different from previous findings, market volume does not rise while commission rates fall following each phase of the deregulation. Therefore, securities...

Existing theories predict lower trading volume, but ambiguous changes in price, bid-ask spread, and volatility for the underlying stocks following the advent of index derivatives. We further test these predictions around the introduction of the S&P 100 options in March 1983. Controlling for...

When stocks are added to (deleted from) an index, more (less) information should be generated and incorporated into their prices, leading to higher (lower) pricing efficiency and lower (higher) return predictability for them. We test this hypothesis for the first time using membership changes in...