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PRICE AND VOLUME EFFECTS OF EXCHANGE‐TRADED BARRIER OPTIONS: EVIDENCE FROM CALLABLE BULL/BEAR CONTRACTS
ADRIAN C. H. LEI
2015
Source PublicationJournal of Futures Markets
ABS Journal Level3
ISSN0270-7314
Volume35Issue:11Pages:1042-1066
Abstract

This study examines the effects of the Mandatory Call Events (MCEs) of Callable Bull/Bear Contracts (CBBCs) on the underlying stocks. The recent development of CBBCs in Hong Kong creates a unique opportunity to study this new derivative instrument. There are significant abnormal returns and volumes around MCEs. The substantial amount of price reversal after MCEs in both interday and intraday results supports the notion of stock price manipulation. Also, a greater outstanding number of issues in the market increases the chance of MCEs. We also show that the abnormal volume leads to the abnormal returns around MCEs, implying that abnormal trading activities can cause MCEs. This article shows that a market with a substantial amount of touch-and-out options trading may induce manipulation of the underlying stocks. Our study suggests that restricting issuers from unwinding hedged positions before the termination of exchange-traded barrier options could improve investors' protection.

DOI10.1002/fut.21689
URLView the original
Indexed BySSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000362448000004
PublisherWILEY, 111 RIVER ST, HOBOKEN 07030-5774, NJ USA
Scopus ID2-s2.0-84943817811
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorADRIAN C. H. LEI
AffiliationDepartment of Finance and Business Economics, Faculty of Business Administration, University of Macau, Av. Padre Tomás Pereira, Taipa, Macau, China
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
ADRIAN C. H. LEI. PRICE AND VOLUME EFFECTS OF EXCHANGE‐TRADED BARRIER OPTIONS: EVIDENCE FROM CALLABLE BULL/BEAR CONTRACTS[J]. Journal of Futures Markets, 2015, 35(11), 1042-1066.
APA ADRIAN C. H. LEI.(2015). PRICE AND VOLUME EFFECTS OF EXCHANGE‐TRADED BARRIER OPTIONS: EVIDENCE FROM CALLABLE BULL/BEAR CONTRACTS. Journal of Futures Markets, 35(11), 1042-1066.
MLA ADRIAN C. H. LEI."PRICE AND VOLUME EFFECTS OF EXCHANGE‐TRADED BARRIER OPTIONS: EVIDENCE FROM CALLABLE BULL/BEAR CONTRACTS".Journal of Futures Markets 35.11(2015):1042-1066.
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