Impact de l'introduction d'options sur la dynamique et l'efficience informationnelle des marches supports Le cas des actions francaises cotees sur Euronext Liffe
We investigate the impact of option listing on the underlying stock dynamics and the informational efficiency of the stock market, using data from the French Euronext Paris stock market about new option listing that occurred over the period 1996 2006. We take into account the implementation of a new trading system after the Euronext merger with the Liffe market in 2002 and the macroeconomic changes over the period.Considering different characteristics of stocks, we observe (i) no effect on both volatility and systematic risk measured by the beta, (ii) a negative price effect, although insignificant at the majority of times, (iii) a significant rise in the volume and, finally (iv) a significant decrease in the spread bid ask. By estimating a VAR model, we highlight a better adjustment to new information, observable jointly through contemporaneous and delayed relations between volume and volatility. However, when decomposing volatility into the contributions of informed and non informed agents, we cannot document any migration of informed traders to the underlying stock market after option listing. We confirm the absence of impact of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamics, using a modified Log ACD model that accounts for liquidity captured by trade size.On the other hand, we show that in high volatility periods (low volatility periods) the option market plays a hedging role (speculation and/or arbitrage) The implementation of the new trading system after the Euronext merger with the Liffe market in 2002 appears to have no significant impact on the underlying stock. The global result about the absence impact of option listing is justified by the underlying stock's volatility driven trading. These strategies disturb the connection between option and underlying stock markets and the predictive power of option prices.