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. ISSN 1096-9934

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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.

Item Type: Article
Subjects: Business and Management
Date Deposited: 01 Nov 2014 16:16
Last Modified: 06 Jul 2023 21:29
URI: https://eprints.exchange.isb.edu/id/eprint/117

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