Options listing and the volatility of the underlying asset: a study on the derivative market function

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Marc Chesney
William Eid Júnior

Abstract

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 introductionin the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk leveI. Our results are the same found in the USand 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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How to Cite
CHESNEY, M.; EID JÚNIOR, W. Options listing and the volatility of the underlying asset: a study on the derivative market function. RAE - Revista de Administracao de Empresas , [S. l.], v. 36, n. 1, p. 28–32, 1996. Disponível em: https://periodicos.fgv.br/rae/article/view/38043. Acesso em: 24 jul. 2024.
Section
Administração contábil e financeira