Single-stock futures: Evidence from the Indian securities market |
| |
Authors: | Umesh Kumar Yiuman Tse |
| |
Institution: | aSUNY Canton, School of Business & Liberal Arts, Canton, NY 13617, USA;bUniversity of Texas at San Antonio, Department of Finance, San Antonio, TX 78249, USA |
| |
Abstract: | Although single-stock futures (SSFs) are useful multi-purpose stock derivatives, they have not received much attention in developed markets. We analyze SSFs in the Indian market to understand their contribution in price leadership. The findings indicate that trades in the stock market contribute more to price discovery than trades in the SSF market (72% and 28%, respectively), while quotes in the SSF market are more price innovative than quotes in the stock market (39% and 61%, respectively). Our analysis suggests that while stock and SSF trade returns have predictive ability for each other, in the case of quotes, only SSF quotes have predictive ability for stock and SSF returns. |
| |
Keywords: | Single-stock futures Price discovery Information share |
本文献已被 ScienceDirect 等数据库收录! |
|