Premium
Information revelation in the futures market: Evidence from single stock futures
Author(s) -
Shastri Kuldeep,
Thirumalai Ramabhadran S.,
Zutter Chad J.
Publication year - 2008
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20313
Subject(s) - futures contract , futures market , revelation , stock market , volatility (finance) , financial economics , economics , stock (firearms) , price discovery , business , monetary economics , geography , philosophy , context (archaeology) , theology , archaeology
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