OPTIONS LISTING, MARKET LIQUIDITY AND STOCK BEHAVIOUR: SOME CANADIAN EVIDENCE Journal Articles

abstract

• This study examines the price behaviour, trading volume and liquidity of stocks in the Canadian market at the time of options listing. Unlike some studies examining similar effects in the United States, the present one finds no evidence to indicate that either daily return volatility or trading volume is affected by the listing. Similarly, liquidity, as measured by the bid‐ask spread, is unaffected. At the same time, cross‐sectional tests indicate an inverse relationship between before‐to‐after trading volume and the before‐to‐after bid‐ask spread.

authors

• Chamberlain, Trevor William
• Cheung, Chun-sang-sherman
• Kwan, Clarence C Y

status

• published 

publication date

• September 1993

has subject area

• 1501 Accounting, Auditing and Accountability (FoR)
• 1502 Banking, Finance and Investment (FoR)
• Finance (Science Metrix)

published in

• Journal of Business Finance & Accounting  Journal

keywords

• 35 Commerce, Management, Tourism and Services
• 3502 Banking, Finance and Investment

Digital Object Identifier (DOI)

• 10.1111/j.1468-5957.1993.tb00284.x

start page

• 687

end page

• 698

volume

• 20

issue

• 5