Was there an option-listing effect for the IRX options? created by E. Benrud

By:

Benrud E [author]

Material type: Text

TextSeries: Applied economics letters ; Volume 20, number 5New York: Taylor & Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

13504851

Subject(s):

Option listing effect -- Interest rate options -- IRX

LOC classification:

HB1.A666 APP

Online resources:

Click here to access online

Abstract: Properties of the 3-month Treasury bill rate changed on and around the listing date of the IRX options for which the Treasury bill rate is the underlying. The level of return declined, the volatility declined and dummy variables for the day of listing and the 2 days after are negative and significant in an econometric model. The changes are consistent with the option-listing effect observed with the listing of options on stocks and American Depositary Receipts (ADRs).

Reviews from LibraryThing.com:

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol. 20, no. 5 (pages 485-488)	SP17976	Not for loan	For In House Use Only

Browsing Main Library shelves, Shelving location: - Special Collections Close shelf browser (Hides shelf browser)

Previous	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	Next
Previous	HB1.A666 APP The role of heterogeneous expectations in forward exchange market	HB1.A666 APP Real interest rate parity in OECD countries: New evidence from time series and panel cointegration techniques	HB1.A666 APP Constructing confidence bands for the Hodrick–Prescott filter	HB1.A666 APP Was there an option-listing effect for the IRX options?	HB1.A666 APP Currency crises, uncertain fundamentals and private-sector forecasts	HB1.A666 APP Do female/male distinctions in language matter? Evidence from gender political quotas	HB1.A666 APP Market entry and economic diplomacy	Next

Properties of the 3-month Treasury bill rate changed on and around the listing date of the IRX options for which the Treasury bill rate is the underlying. The level of return declined, the volatility declined and dummy variables for the day of listing and the 2 days after are negative and significant in an econometric model. The changes are consistent with the option-listing effect observed with the listing of options on stocks and American Depositary Receipts (ADRs).

There are no comments on this title.

to post a comment.

here