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Option markets impact on stock markets: An event study
Jönköping University, Jönköping International Business School, JIBS, Business Administration. Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In this study we examine the stock price response around interim reports and the differ-ence between companies with listed stock options and companies without is measured. The focus of the study is OMX Nordic large cap list during the years 2010 and 2011 which gave us a sample of 1096 interim reports. A conventional event study were per-formed where the abnormal return around the release of the interim report were meas-ured. The abnormal returns were not different from zero at the 95% confidence level for the pre and post-announcement period. Abnormal returns on the event day were differ-ent from zero at the 95% confidence level in all cases and companies with listed stock options had a significantly higher abnormal return. We found a difference around one percent in stock price response between the two types of companies. The size and the systematic risks of the companies had a significant correlation to abnormal returns but none of them fully explained the differences between the two types of firms. Either the option market causes this difference or an untested systematic difference does.

Place, publisher, year, edition, pages
2012. , 37 p.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-18649OAI: oai:DiVA.org:hj-18649DiVA: diva2:536913
Subject / course
IHH, Business Administration
Presentation
2012-05-30, B3051, Gjuterigatan 5, Jönköping, 13:00 (English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-08-22 Created: 2012-06-25 Last updated: 2012-08-22Bibliographically approved

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Option Markets Impact on Stock Markets(1254 kB)505 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf