How Do Exchanges Select Stocks for Option Listing ?  

Oleh:

Mihov, Vassil ; Mayhew, Stewart

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 1 (Feb. 2004), page 447-472.
Topik: SHORTLISTING; ooptions markets; new stock market listings; decision analysis; studies; hypotheses; volatility; statistical analysis
Fulltext: p 447.pdf (200.5KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The listing choices made by option exchanges in the United States are studied in an effort to better understand what determines the success of financial innovation, and how derivative markets develop. The empirical approach is to identify the universe of eligible stocks, and then use a logit framework to measure the extent to which the probability of option listing is related to characteristics such as the underlying stock's volume, volatility, and market capitalization. When the moratorium on new listings was lifted in March 1980, exchanges began to focus more on choosing high volatility stocks. In all but the earliest subperiod, it is found that stocks selected for option listing tend to experience a larger volatility increase, or a smaller decrease, then in the control sample. It is verified that the predicted probabilities from the logit model help predict trading volume after listing. The results of the switching model are reported.

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