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Individual Investors and Volatility

✍ Scribed by THIERRY FOUCAULT; DAVID SRAER; DAVID J. THESMAR

Book ID
109177768
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
310 KB
Volume
66
Category
Article
ISSN
0022-1082

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## Abstract This article examines the effect of options introduction on the conditional volatility of 1,576 individual firms over the 1973–1996 time period. With the use of a GJR‐GARCH specification for daily volatility, it is found, for the majority of firms, that option listing does not impact th