Options listing and the volatility of the underling asset: a study on the derivative market function
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.
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Format: | Digital revista |
Language: | English |
Published: |
Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo
1996
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Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-75901996000100005 |
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