2020年9月1日
When trading options is not the only option
Journal of Futures Markets
- ,
- ,
- 巻
- 40
- 号
- 9
- 開始ページ
- 1398
- 終了ページ
- 1419
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1002/fut.22126
- 出版者・発行元
- Wiley-Liss Inc.
<p>We use the 2008 short-selling ban to examine the impact of single-stock futures (SSFs) trading on options market quality. We show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, our results show that SSFs trading had a significant effect in narrowing the bid-ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put-call parity during the ban period. Our results suggest that SSFs trading helps mitigate the negative effect of the short-selling ban on options market quality documented in the literature.</p>
- リンク情報
- ID情報
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- DOI : 10.1002/fut.22126
- ISSN : 0270-7314
- ISSN : 1096-9934
- ORCIDのPut Code : 107199044
- SCOPUS ID : 85084493113