Staffan Lindén, European Commission
(European Economy. Economic Papers. 434. December 2010.
Brussels. PDF. 50pp. Tab. Graph. Bibliogr. Free.)
KC-AI-10-434-EN-N ISBN: 978-92-79-14920-7 ISSN: 1725-3195
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.