論文

査読有り
2020年9月1日

When trading options is not the only option

Journal of Futures Markets
  • George J. Jiang
  • ,
  • Yoshiki Shimizu
  • ,
  • Cuyler Strong

40
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
DOI
https://doi.org/10.1002/fut.22126
URL
https://experts.umn.edu/en/publications/f8e12eb0-ba80-4d3d-8890-38561ef6952b
ID情報
  • DOI : 10.1002/fut.22126
  • ISSN : 0270-7314
  • ISSN : 1096-9934
  • ORCIDのPut Code : 107199044
  • SCOPUS ID : 85084493113

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