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OPTIONS LISTING, MARKET LIQUIDITY AND STOCK BEHAVIOUR: SOME CANADIAN EVIDENCE
Author(s) -
Chamberlain Trevor W.,
Cheung C. Sherman,
Kwan Clarence C.Y.
Publication year - 1993
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1993.tb00284.x
Subject(s) - market liquidity , listing (finance) , cross listing , bid–ask spread , financial economics , monetary economics , volatility (finance) , economics , business , stock (firearms) , stock market , market maker , liquidity crisis , finance , corporate governance , mechanical engineering , paleontology , horse , biology , engineering
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.