Year: 1999
Author: Herrmann, Ralf
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 85–124
Abstract
Impact of Derivative Securities on Systematic Risk of Stocks
An Empirical Study
The question if derivatives affect the markets of their underlyings is a very controversy discussed question. Especially if derivatives destabilize or stabilize this markets. Empirical studies document an significant increase of the systematic risk of German stocks - especially DAX stocks. This studies examines if this increased risk is the result of derivatives introduced at the Deutsche Terminbörse (DTB). The results show evidence for a significant impact of derivative securities on the systematic risk and the liquidity of the underlying stocks.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.32.1.85
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 85–124
Published online: 1999-01
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 40
Author Details
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