The Journal of Finance · 1998 · 251 citations · 24 references
Market MicrostructureOption ListingsEconomicsOption PricingFinancial EconomicsAsset PricingMarket ManipulationEmpirical AnalysisMarket TrendForeign Exchange OptionAccountingUnderlying StocksBusinessUnderlying SecurityPricing ErrorFinanceOptions TradingSecurity Market
ABSTRACT We find that option listings are associated with a decrease in the variance of the pricing error, a decrease in the adverse selection component of the spread, and an increase in the relative weight placed by the specialist on public information in revising prices for the underlying stocks. We also find that there is a decrease in the spread and increases in quoted depth, trading volume, trading frequency, and transaction size after option listings. Overall, our results suggest that option listings improve the market quality of the underlying stocks.
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Information Effects on the Bid‐Ask Spread
Thomas E. Copeland, Dan Galai · The Journal of Finance · 1983 · 1.8K citations
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
Hans R. Stoll · The Journal of Finance · 1978 · 1.4K citations