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ASYMMETRIC INFORMATION IMPACTS: EVIDENCE FROM THE AUSTRALIAN TREASURY-BOND FUTURES MARKET

✍ Scribed by Liping Zou; Lawrence C Rose; John F Pinfold

Book ID
111047644
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
290 KB
Volume
12
Category
Article
ISSN
1361-374X

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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 r