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434 - The Price and Risk Effects of Option Introductions on the Nordic Markets

Author(s): Staffan Lindén, European Commission

The Price and Risk Effects of Option Introductions on the Nordic Marketspdf(793 kB) Choose translations of the previous link 

Summary for non-specialistspdf(94 kB) Choose translations of the previous link 


This paper examines the effects of option introductions on the price and risk of the underlying assets. The data, covering 58 introductions during the period 1985-1997, have been collected from the Nordic markets (Denmark, Finland, Norway, and Sweden). A persistent increase of stock returns is found right after the announcement date, rather than at the introduction date, as in US data. The volatility is found to decrease continuously over the ten-month period following the introduction of stock options.

(European Economy. Economic Papers 434. December 2010. Brussels. PDF. 50pp. Tab. Graph. Bibliogr. Free.)

KC-AI-10-434-EN-N (online)
ISBN 978-92-79-14920-7 (online)
ISSN 1725-3195 (online)
doi: 10.2765/46537 (online)

JEL classification: G12, G13, G14, G15

Economic Papers are written by the staff of the Directorate-General for Economic and Financial Affairs, or by experts working in association with them. The Papers are intended to increase awareness of the technical work being done by staff and to seek comments and suggestions for further analysis. The views expressed are the author’s alone and do not necessarily correspond to those of the European Commission.

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