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

✍ Scribed by Kuldeep Shastri; Ramabhadran S. Thirumalai; Chad J. Zutter

Publisher: John Wiley and Sons
Year: 2008
Tongue: English
Weight: 293 KB
Volume: 28
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20313

No coin nor oath required. For personal study only.

✦ Synopsis

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. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:335– 353, 2008

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