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Der Einfluß von derivativen Wertpapieren auf das systematische Risiko von Aktien
Eine empirische Analyse
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 85–124
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Ralf Herrmann, Karlsruhe
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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.