SPDR期权对标的股票有利吗

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2016-11-21 DOI:10.1142/S201013921650021X

Shinhua Liu

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引用次数: 0

摘要

关于引入一篮子证券对标的股票的各种影响，理论尚无定论。我们采用2005年1月标准普尔500存托凭证(spdr)期权上市的方法，在交易所交易基金(etf)期权上市前后首次探讨了这些影响。在分别控制已知因素的情况下，我们发现spdr期权的引入导致交易量降低，买卖价差增大，系统风险和总风险增大，标的股票价格降低，这与一篮子衍生品的出现改变了相关市场中各种类型的投资组合交易者的组合的理论相一致。

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Are SPDR Options Good for the Underlying Stocks

Theories are inconclusive about the various impacts of the introduction of basket securities on the underlying stocks. We explore those effects for the first time around the launch of options on exchange traded funds (ETFs), employing the listing of the options on the S&P 500 Depository Receipts (SPDRs) in January 2005. With known factors controlled respectively, we find that the introduction of the SPDRs options leads to lower trading volume, higher bid–ask spread, higher systematic and total risks, and lower prices for the underlying stocks, consistent with the theory that the advent of basket derivatives alters the mix of various types of portfolio traders in the related markets when they are fully integrated.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.