Topic
Single-stock futures
About: Single-stock futures is a research topic. Over the lifetime, 112 publications have been published within this topic receiving 676 citations. The topic is also known as: stock future.
Papers published on a yearly basis
Papers
More filters
TL;DR: In this paper, the authors examined whether the introduction of trading in share futures contracts on individual stocks (i.e., individual share futures, or ISFs) has impacted on the systematic risk and volatility of the underlying shares.
Abstract: We examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (i.e., individual share futures, or ISFs) has impacted on the systematic risk and volatility of the underlying shares. The use of ISFs allows a unique experimental design that complements existing work on index futures. Our major findings are as follows. First, we found a general reduction in systematic risk on individual stocks after the listing of futures. Second, we found evidence of a decline in unconditional volatility. Third, we found mixed evidence concerning the impact on conditional volatility. Fourth, the introduction of futures was found to impact on the market dynamics, as reflected by a change in the asymmetric volatility response, although the direction of that change is stock-specific. In general, the results point to a number of features that are case-specific and provide new insights into the mixed results that are typical of existing studies.
103 citations
TL;DR: In this article, the authors construct a market-related arbitrage-free implied volatility surface, by using a quadratic deterministic function, for two stock indices and ten single stock futures.
40 citations
TL;DR: 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.
36 citations
TL;DR: This article showed that the number of unexplained large stock returns decreases for SSF firms in comparison to the pre-SSF period, and to the matched nonSSF sample, and the reduction is positively related to the extent of trading activity in the single stock futures market.
Abstract: Market efficiency improves for stocks that are listed on the newly established single stock futures (SSF) exchanges. After identifying information associated with large price changes, we show that the number of unexplained large stock returns decreases for SSF firms in comparison to the pre-SSF period, and to the matched non-SSF sample. The reduction is positively related to the extent of trading activity in the single stock futures market.
26 citations
TL;DR: In this article, two new exchanges, OneChicago and NQLX, began trading single stock futures (SSFs) and the selection process is consistent with the objective of maximizing the market opening success.
25 citations