The Impact of Option Introduction on Stock Return Variances: The Role of Bid-Ask Spreads, Return Autocorrelations, and Intrinsic Variances

The purpose of this paper is to examine changes in stock return variances following option introduction. The sample consists of National Market System stocks and employs both transaction returns and returns based on bid and ask quotes. Variances are decomposed into portions attributable to bid-ask spreads, return autocorrelations, and intrinsic variances. Spreads play a negligible role in explaining variance changes. A generally positive component to short-term autocorrelations falls following option introduction, increasing variances over short holding periods. Intrinsic variances fall prior to the October 1987 crash, but do not change after the crash with option introduction.     

Informed Trading in Stock and Option Markets

We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) "information share" approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.     

The Effect of Option Listing on Bid-Ask Spreads,Price Volatility,and Trading Activity of the Underlying OTC Stocks

This paper examines the changes in spreads, price volatility, and trading activity surrounding option listing for a sample of 144 OTC stocks. For this sample, both price volatility and volume increase, but the evidence on spreads is mixed. The increase in price volatility is attributed primarily to an increase in residual return variances. Furthermore, price volatility increases even after controlling for volume, insider trading, and spreads. Although these variables do not fully explain the causes for the increase in price volatility after option listing, the results suggest that liquidity trading or volume has a stronger effect on price volatility than insider trading. This study also finds that both the number of trades and institutional holdings show substantial increases, which are supportive of the notion that listing of options on OTC stocks attracts more attention.     

Product Market Competition, Insider Trading, and Stock Market Efficiency

How does competition in firms' product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? We examine these questions in a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. Firms use their monopoly power to pass on shocks to customers, thereby insulating their profits. This encourages stock trading, expedites the capitalization of private information into stock prices and improves the allocation of capital. Several implications are derived and tested.     

Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

This study investigates intraday relations between price changes and trading volume of options and stocks for a sample of firms whose options traded on the CBOE during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time-series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer.     

Earnings Announcements,Stock Price Adjustment,and the Existence of Option Markets

This paper employs a new approach to study the effects of option trading on the behavior of underlying stock prices. Extant research compares distributional properties of the stock price at two points in time divided by an event in the option market that might affect price behavior. As an alternative, we examine the stock price adjustment to the release of quarterly earnings using samples of firms with and without listed options. We find the two samples exhibit different adjustment processes, with the nonoption firms requiring substantially more time to adjust.     

建立和发展我国完善的股票期权市场

股票期权是人们进行投融资业务不可缺少的工具，但在我国由于各种条件的限制，并未出现真正意义上的股票期权市场。本着重分析了我国在建立和发展股票期权市场的必要性及可行性，并在此基础上提出了有关的战略规划。     

全球债券市场跑赢股市

债券基金的高效运作和低风险特点吸引了众多投资者 　　据ICI机构统计,今年4月份,流入股票基金的资金从3月份的296亿美元减少至118亿美元,减幅为60.14%;而流入债券基金的资金却从67亿美元增至78亿美元,增幅为16.42%,这一减一增缩小了两者之间的差距.在华尔街,过去债券基金是最不得宠的金融产品.人们普遍认为,投资于债券基金需要付出各种费用,不如直接投资债券来得划算.而现在,人们的观点似乎正在改变.……     

股指期权合约规格设计研究——基于全球股指期权市场对比的视角

为了探索股指期权产品合约规格设计的一般规律,对全球主要市场中股指期权产品业务实践进行了调查、对比分析与总结。分析结果表明,全球主要市场的股指期权以欧式行权与现金交割的方式为主,注重近月合约月份,在行权价格间距、行权价格序列、合约乘数以及报价单位的设计上会综合考虑它们对流动性等因素的影响,合约编码主要采用交易代码、合约到期日、合约类型以及行权价格四个要素依次排列的结构。这些都为未来在境内市场推出股指期权产品,开展股指期权业务提供了重要参考。     

股指期权对股指期货的促进作用:来自韩国的证据

本文结合解析韩国KOSPI200期权对于KOSPI200期货市场的影响,论证股指期权市场对股指期货市场在提高流动性和培育机构投资者方面的显著作用。借鉴韩国股指衍生品市场发展经验,笔者认为在沪深300股指期货平稳运行之后,要选择时机及时推出股指期权,这样可以保证良好的流动性。为此,应当加快制定股指衍生品市场体系的发展战略。     

Market Imperfections, Investment Flexibility, and Default Spreads

This paper develops a structural model that determines default spreads in a setting where the debt's collateral is endogenously determined by the borrower's investment choice, and a demand variable with permanent and temporary components. We also consider the possibility that the borrower cannot commit to taking the value‐maximizing investment choice, and may, in addition, be constrained in its ability to raise external capital. Based on a model calibrated to data on office buildings and commercial mortgages, we present numerical simulations that quantify the extent to which investment flexibility, incentive problems, and credit constraints affect default spreads.     

资产专用性、产品市场竞争和资本结构——基于我国上市公司的实证分析

本文研究资产专用性和产品市场竞争对公司资本结构的影响,发现我国上市公司资本结构与产品市场强度和资产专用性负相关。在高资产专用性行业,资产清算价值受到影响,产品市场竞争越激烈,发生清算的概率越大,公司负债率越低。我们运用沪深上市公司面板数据进行检验,实证分析支持我们的理论假设,并且三者之间的关系在不同行业表现出不同的特征,这主要是受不同的行业竞争结构和资产专用性的影响。理论和实证分析表明在我国某些竞争性行业存在＂过度监管＂现象,融资条件过于苛刻而不能得到有效的股权融资。     

Credit Spreads in Illiquid Markets: Model and Implementation

This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term structures for each risk class using a multifactor Vasicek model with some common and some risk class-specific factors. The approach uses information on the cross section and time series of corporate bonds in all the risk classes to estimate the term structure of credit spreads in each risk class. The model is jointly estimated using an extended Kalman filter and implemented using Chilean corporate and government bonds.     

Law,Stock Markets,and Innovation

We study a broad sample of firms across 32 countries and find that strong shareholder protections and better access to stock market financing lead to substantially higher long‐run rates of R&D investment, particularly in small firms, but are unimportant for fixed capital investment. Credit market development has a modest impact on fixed investment but no impact on R&D. These findings connect law and stock markets with innovative activities key to economic growth, and show that legal rules and financial developments affecting the availability of external equity financing are particularly important for risky, intangible investments not easily financed with debt.     

The Information Content of Dividend Initiations and Firm Size: An Analysis Using Bid-Ask Spreads

The bid-ask spread of stock prices is examined for a sample of dividend initiating firms. The average percentage and dollar bid-ask spreads increase significantly on the day preceding the Wall Street Journal Index announcement date, possibly reflecting, on average, the market maker's anticipatory uncertainty. The day -1 increase in spread is inversely associated with firm size, an information environment proxy, after considering the simultaneous effects of dividend yield, returns variance, dollar trading volume and share price. The average percentage spread declines significantly on day 0 from its day -1 level and remains lower, on average, over a 365 day post-announcement period than 90 day pre-announcement levels. Similar results are obtained for dollar spread averages. The post-announcement percentage spread decline suggests a resolution of uncertainty, and is positively associated with the dividend yield. Dividend initiation announcements appear to reduce informational asymmetry.     

基于收益率视角的中国股市与国际股票市场联动性研究

本文采用回归分析、模拟交易和极值分析等实证分析方法,考察了道琼斯工业平均指数、标准普尔500指数和伦敦金融时报指数与上证综指收益率之间的联动关系.结果显示,当前我国股市指数与国外主要股市指数之间已经具有了较明显的联动性.     

中外股票市场收益率相关性分析及其影响路径分解

本文通过计算相关系数,研究了过去15年中国股票市场与国际股票市场收益率的相关性,发现在金融危机爆发的年份里,中外股票市场的收益率存在负相关关系。本文在此基础上利用面板数据回归模型,研究了影响中外股票市场收益率相关性的主要因素,发现出口路径会显著增强收益率的正相关性,对经济危机起到传导作用;外商直接投资路径会显著增强收益率的负相关性,对经济危机起到缓冲作用。建议政府在制定应对金融危机的政策时,积极利用外商直接投资的缓冲作用,同时不断引导出口企业增强国际竞争力,努力扩大内需,减少经出口路径传导至我国的外部冲击。     

Internal Market Efficiency,Market Co-movement,and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets

We examine the effects of the 2008 financial crisis on the cross-market efficiency of the Hong Kong and Shanghai stock markets. Our results show a sharp decline in the cross-market efficiency during the financial crisis. We investigate whether this is due to lower internal market efficiency or higher market co-movement. The results show no evidence that the internal market efficiency dropped in Hong Kong or Shanghai during the crisis. In contrast, we document a strong increase in the market co-movement during the crisis. These results suggest that the decline in cross-market efficiency during the financial crisis is due to increased market co-movement and not a decline in internal market efficiency.     

The Behavior of Bid–Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999

In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple‐listing status by the end of September. Effective and quoted bid–ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and support the view that interexchange competition reduces option transaction costs.     

The Effect of Option Trading on the Structure of Equity Bid/Ask Spreads

This paper investigates empirically the direct effect of option trading on the structure of costs that comprise the underlying equity bid-ask spread. Our results show that the spread declines over a 30-day period following initiation of option trading, but the decline vanishes when price, volume, and volatility effects are considered. Changes in the composition of the spread reflect primarily a reduction in adverse information costs. Additionally, consistent with previous research, we find significant transaction-type clustering in our intraday data.