TY  - BOOK
AU  - Benrud E.
TI  - Was there an option-listing effect for the IRX options?
SN  - 13504851
AV  - HB1.A666 APP 
PY  - 2013///
CY  - New York
PB  - Taylor & Francis
KW  - Option listing effect
KW  - Interest rate options
KW  - IRX
N2  - 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)
UR  - https://doi.org/10.1080/13504851.2012.714060
ER  -