Does options improve the information absorption? Evidence from the introduction of weekly index options

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2022-02-23 DOI:10.1111/irfi.12372

Prachi Jain, Kiran Kumar Kotha

引用次数: 0

Abstract

This paper empirically examines the effect of weekly options introduction on the benchmark index of Indian stock market, NIFTY50. The paper evaluates the possible stabilizing or destabilizing nature of impact on underlying volatility focusing on the relation between information and volatility using GARCH framework. The results indicate that the onset of weekly index options has improved the information assimilation and reduced the persistence of old information on volatility. Further, similar changes are not evident on a control index, NIFTY NEXT50. Overall, the results indicate an increase in market efficiency with weekly index options trading.

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选项是否能提高信息吸收？引入周指数期权的证据

本文实证检验了每周期权引入对印度股市基准指数NIFTY50的影响。本文利用GARCH框架，关注信息与波动之间的关系，评估影响潜在波动的可能稳定或不稳定性质。结果表明，周指数期权的引入改善了信息同化，降低了旧信息对波动率的持久性。此外，在对照指数NIFTY NEXT50上，类似的变化并不明显。总体而言，结果表明每周指数期权交易增加了市场效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.