Residential College | false |
Status | 已發表Published |
PRICE AND VOLUME EFFECTS OF EXCHANGE‐TRADED BARRIER OPTIONS: EVIDENCE FROM CALLABLE BULL/BEAR CONTRACTS | |
ADRIAN C. H. LEI | |
2015 | |
Source Publication | Journal of Futures Markets |
ABS Journal Level | 3 |
ISSN | 0270-7314 |
Volume | 35Issue: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. |
DOI | 10.1002/fut.21689 |
URL | View the original |
Indexed By | SSCI |
Language | 英語English |
WOS Research Area | Business & Economics |
WOS Subject | Business, Finance |
WOS ID | WOS:000362448000004 |
Publisher | WILEY, 111 RIVER ST, HOBOKEN 07030-5774, NJ USA |
Scopus ID | 2-s2.0-84943817811 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | Faculty of Business Administration DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
Corresponding Author | ADRIAN C. H. LEI |
Affiliation | Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Av. Padre Tomás Pereira, Taipa, Macau, China |
First Author Affilication | Faculty of Business Administration |
Corresponding Author Affilication | Faculty 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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