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Price and Volume Effects of Exchange-Traded Barrier Options: Evidence from Callable Bull/Bear Contracts
Lei,Adrian C.H.
2015-11-01
Source PublicationJournal of Futures Markets
ISSN10969934 02707314
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
Language英语
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Cited Times [WOS]:4   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorLei,Adrian C.H.
AffiliationDepartment of Finance and Business Economics,Faculty of Business Administration,University of Macau,,Taipa, Macau,Macao
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Lei,Adrian C.H.. 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 Lei,Adrian C.H..(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 Lei,Adrian C.H.."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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