Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component sto...
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| Format: | Others |
| Language: | English |
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University of North Texas
2007
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| Online Access: | https://digital.library.unt.edu/ark:/67531/metadc5149/ |