| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 99 === In this study, we investigate the impact of listing stock options on the stock market’s short sales restrictions. Using event study methodology, we first observe abnormal return and change in short interest around stock options listing. Our findings show that abnormal returns surrounding the listing days are not significant, but short interests increase after stock options are listed. On the other hand, we examine the trading volume of new listed options and find that signed volume is more bullish than bearish during the first week of trading. We extend the observing period to one month and find that the trading volume of call option is still more than put option. Moreover, we find no significant relation between signed option volume and abnormal stock returns surrounding option listing. Finally, we investigate whether short selling or put-option activity can predict returns. Our evidences show that short selling activity is better at predicting negative returns at the daily level than put-option activity. This finding support the idea that some pessimistic, informed traders prefer short sales to options. To sum up, stock options introduction do not release the short sale constraints in an economically meaningful way.
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