The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis
研究发现期权上市后标的股票的定价误差方差减小、价差中逆向选择成分降低、专家在价格修订中更依赖公开信息，同时价差缩小、报价深度和交易量等增加，表明期权上市改善了标的股票的市场质量。
ABSTRACT We find that option listings are associated with a decrease in the variance of the pricing error, a decrease in the adverse selection component of the spread, and an increase in the relative weight placed by the specialist on public information in revising prices for the underlying stocks. We also find that there is a decrease in the spread and increases in quoted depth, trading volume, trading frequency, and transaction size after option listings. Overall, our results suggest that option listings improve the market quality of the underlying stocks.