THE IMPACT OF CALL OPTION ON THE BEHAVIOR OF UNDERLYING STOCKS: THE CASE OF BRAZIL

摘要

This paper aims to verify the impact of call option expirations on the behavior of underlying stocks onrnthe BOVESPA. In order to verify that proposition, expected returns were calculated, following thernMarket Model, with a portfolio formed by Ibovespa participants and traded options in the analyzedrnperiod. Then, expected returns and actual returns are compared searching for abnormal returns atrnexpiration weeks. The results showed that, for the time frame from November 99 to December 2000,rnthere is no statistical significant abnormal returns in the stock market at call option expirations.