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The effects of newly listed derivatives in a thin stock market

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Abstract

This study examines the informational feedback effects associated to the listing and trading of derivatives in Switzerland. The observed changes in the price and higher moments of stock returns are representative of a thin stock market. The listing of stock options and index futures generated positive abnormal returns for large stocks and for the index while small stocks essentially benefited from the launching of index options. While reducing the variance of blue chips and of the index, their variance's stochasticity increased (decreased) at index options' (futures) listings. Finally, we detect significant stock and index derivatives' price leads which do not however generate arbitrage opportunities.

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Authors and Affiliations

  1. Ecole des HEC, University of Lausanne, 1015, Lausanne, Switzerland

    Martin Bruand & Rajna Gibson-Asner

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  1. Martin Bruand
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  2. Rajna Gibson-Asner
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Bruand, M., Gibson-Asner, R. The effects of newly listed derivatives in a thin stock market. Rev Deriv Res 2, 59–86 (1998). https://doi.org/10.1007/BF01487307

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