Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Options listing and the volatility of the underling asset: a study on the derivative market function |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Revista de administração de empresas |
| Publisher | Fundação Getúlio Vargas |
| Geographical Reach | international |
| ISSN | 0034-7590 |
| Volume | 36 |
| Number | 1 |
| Page Range | 28 - 32 |
| Date | 1996 |
| Abstract Text | There are basic misunderstandings on derivative markets. Some professionals believe that they are a kind of casinos and have no utility for the investors. This work looks at the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk leveI. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility becames more stochastic with this alternative. |
| Digital Object Identifier | 10.1590/S0034-75901996000100005 |
| Other Identification Number | merlin-id:13232 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|
| Keywords | Option introduction, volatility, GARCH |