Short Sales and Option Listing Decisions

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2011-03-02 DOI:10.2139/ssrn.1260354

Benjamin M. Blau, Tyler Brough

引用次数: 3

Abstract

type="main"> We find that stocks with higher levels of prelisting short activity have a greater probability of option listing. These results are driven by the prelisting short activity of market makers, which suggests that exchanges believe that stocks with greater short selling will provide option market makers a better opportunity to hedge with short sales in the spot market. We also confirm that after options are listed, stocks with more prelisting short activity have more option trading activity. These results indicate that option exchanges strategically list options for stocks they believe with generate high trading volume thereby maximizing the profits of exchange members.

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卖空和期权上市决策

我们发现，上市前做空活动水平越高的股票，期权上市的可能性越大。这些结果是由做市商上市前的卖空活动推动的，这表明交易所认为，卖空较多的股票将为期权做市商提供更好的机会，以对冲现货市场上的卖空。我们也证实了期权上市后，上市前做空活动较多的股票期权交易活动较多。这些结果表明，期权交易所战略性地列出他们认为可以产生高交易量的股票期权，从而使交易所成员的利润最大化。

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

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets