Information revelation in the futures market: Evidence from single stock futures
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 sprea...
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| Veröffentlicht in: | The journal of futures markets 2008-04, Vol.28 (4), p.335-353 |
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| container_end_page | 353 |
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| container_issue | 4 |
| container_start_page | 335 |
| container_title | The journal of futures markets |
| container_volume | 28 |
| creator | Shastri, Kuldeep Thirumalai, Ramabhadran S. Zutter, Chad J. |
| description | 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 |
| doi_str_mv | 10.1002/fut.20313 |
| format | Article |
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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. 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Fut. Mark</addtitle><description>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</description><subject>Chicago</subject><subject>Futures</subject><subject>Futures market</subject><subject>Illinois</subject><subject>Information</subject><subject>Stock exchange</subject><subject>Stock exchanges</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Trade volume</subject><subject>U.S.A</subject><subject>Volatility</subject><issn>0270-7314</issn><issn>1096-9934</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2008</creationdate><recordtype>article</recordtype><recordid>eNp1kEtPwzAQhC0EEuVx4B9EHJA4pKzjV8wNobZUqoADiKPlhjWkTROwk0L_PYYAByROu9J-M9oZQo4oDClAdua6dpgBo2yLDChomWrN-DYZQKYgVYzyXbIXwgIAtOYwILfT2jV-ZduyqROPa6z6tayT9hmTaNd5DMnK-iW258loXT5iXcSDb1ZJKOunCpPQNsXyBz0gO85WAQ-_5z65H4_uLq_S2c1kenkxSwsuM5Yix7lArWRurUYGghXS2nnBVCEldwozbRVILpiyEp1yqOyc5wIhRyccZfvkpPd98c1rh6E1qzIUWFW2xqYLhsnPgExE8PgPuGg6X8ffTEZpllMheIROe6jwTQgenXnxZQy9MRTMZ7EmxjNfxUb2rGffygo3_4NmfH_3o0h7RRlafP9VxE6NVEwJ83A9MRJypcRtZoB9AE8HiTY</recordid><startdate>200804</startdate><enddate>200804</enddate><creator>Shastri, Kuldeep</creator><creator>Thirumalai, Ramabhadran S.</creator><creator>Zutter, Chad J.</creator><general>Wiley Subscription Services, Inc., A Wiley Company</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200804</creationdate><title>Information revelation in the futures market: Evidence from single stock futures</title><author>Shastri, Kuldeep ; Thirumalai, Ramabhadran S. ; Zutter, Chad J.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4623-e4eb5e9768aa9e3053c6aabc37c664f7e29a7064537a6ef7fe7ab485e08ef5f13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2008</creationdate><topic>Chicago</topic><topic>Futures</topic><topic>Futures market</topic><topic>Illinois</topic><topic>Information</topic><topic>Stock exchange</topic><topic>Stock exchanges</topic><topic>Stock prices</topic><topic>Studies</topic><topic>Trade volume</topic><topic>U.S.A</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Shastri, Kuldeep</creatorcontrib><creatorcontrib>Thirumalai, Ramabhadran S.</creatorcontrib><creatorcontrib>Zutter, Chad J.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The journal of futures markets</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Shastri, Kuldeep</au><au>Thirumalai, Ramabhadran S.</au><au>Zutter, Chad J.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Information revelation in the futures market: Evidence from single stock futures</atitle><jtitle>The journal of futures markets</jtitle><addtitle>J. Fut. Mark</addtitle><date>2008-04</date><risdate>2008</risdate><volume>28</volume><issue>4</issue><spage>335</spage><epage>353</epage><pages>335-353</pages><issn>0270-7314</issn><eissn>1096-9934</eissn><coden>JFMADT</coden><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. 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| language | eng |
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| source | Wiley Journals; EBSCOhost Business Source Complete |
| subjects | Chicago Futures Futures market Illinois Information Stock exchange Stock exchanges Stock prices Studies Trade volume U.S.A Volatility |
| title | Information revelation in the futures market: Evidence from single stock futures |
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