Information revelation in the futures market: Evidence from single stock futures
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In this article, the authors analyzed 31 months of data on 137 single-stock futures traded on OneChicago and found that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks.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.read more
Citations
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What do price discovery metrics really measure
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The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics
TL;DR: In this paper, the authors investigated the impact of the introduction of Universal Stock Futures (USFs) on underlying market dynamics (volatility and the level of feedback trading) and found limited feedback trading in USF stocks, but listing has reduced this further.
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What Do Price Discovery Metrics Really Measure
TL;DR: In this paper, the authors show that the choice and interpretation of price discovery metrics can have a substantial impact on conclusions about price discovery and propose a third price discovery metric, the information leadership share, which is robust to differences in noise levels and therefore correctly attributes price discovery in a wider range of settings.
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Volatility Risk and Stock Return Predictability on Global Financial Crises
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References
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Market Statistics and Technical Analysis: The Role of Volume
TL;DR: In this paper, the authors investigate the informational role of volume and its applicability for technical analysis and develop a new equilibrium model in which aggregate supply is fixed and traders receive signals with differing quality.
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Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
TL;DR: In this article, the authors investigate the informational role of transactions volume in options markets and show that negative and positive option volumes contain information about future stock prices, and that transactions in derivative markets may be an important predictor of future security price movements.
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Fact and Fantasy in the Use of Options
TL;DR: In this paper, Fact and Fantasy in the Use of Options: Fact and fantasy in the use of options, the authors present a survey of options and their use in financial markets.