OPTIONS LISTING, MARKET LIQUIDITY AND STOCK BEHAVIOUR: SOME CANADIAN EVIDENCE
研究加拿大市场期权上市对股票价格波动、交易量和流动性的影响，发现与美股不同，加拿大市场未观察到显著变化。
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.