Information revelation in the futures market: Evidence from single stock futures

Shastri, K and Thirumalai, R S and Zutter, C J (2008) Information revelation in the futures market: Evidence from single stock futures. Journal of Futures Markets, 28 (4). pp. 335-353.

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Abstract

This paper analyzes 31 months of data on 137 single-stock futures (SSFs) traded on OneChicago. The results indicate that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks. Information revelation in the SSFs market decreases with the ratio of spreads in the futures and the stock markets and the volatility in the stock market. Moreover, the quality of the market for the underlying stocks improves substantially after the introduction of the SSFs market, with the largest improvement occurring on days with SSFs trading.

ISB Creators:
ISB CreatorsORCiD
Thirumalai, R SUNSPECIFIED
Item Type: Article
Uncontrolled Keywords: Stock Market,
Subjects: Business and Management
Depositing User: Veeramani R
Date Deposited: 01 Nov 2014 16:16
Last Modified: 02 Nov 2014 05:08
URI: http://eprints.exchange.isb.edu/id/eprint/117
Publisher URL: http://dx.doi.org./10.1002/fut.20313
Publisher OA policy: http://www.sherpa.ac.uk/romeo/issn/0270-7314/
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