Options And The Bubble  

Oleh:

Battalio, Robert ; Schultz, Paul

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2071-2102.
Topik: bubbles; studies; many companies; internet; stock prices; option trading; short sales; impact analysis
Fulltext: p 2071.pdf (266.69KB)

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

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Many believe that a bubble existed in internet stocks in the 1999 to 2000 period, and that short sale restrictions prevented rational investors from driving internet stock prices to reasonable levels. In the presence of such short sale constraints, option and stock prices could decouple during a bubble. Using intraday options data from the peak of internet bubble, we find almost no evidence that synthetic stock prices diverged from actual stock prices. We also show that the general public could cheaply short syntheticaly using options. In summary, we find no evidence that short sale restrictions affected internet stock prices.

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