Cookies

We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.


Durham Research Online
You are in:

The impact of universal stock futures on feedback trading and volatility dynamics.

Chau, F. and Holmes, P. and Paudyal, K. (2008) 'The impact of universal stock futures on feedback trading and volatility dynamics.', Journal of business finance & accounting., 35 (1-2). pp. 227-249.

Abstract

This paper investigates the impact of the introduction of Universal Stock Futures (USFs) on underlying market dynamics (volatility and the level of feedback trading). Analysis of USFs provides a number of advantages compared to investigation of index futures, leading to reliable and wider ranging insights into the impact of derivatives. Specifically: (i) any impact of derivatives is more likely to be evident in the behaviour of individual stocks; (ii) with USFs it is possible to directly trade the underlying; (iii) USFs have multiple introduction dates within a given market; (iv) differential country/industry effects can be identified; and (v) the endogeneity issue can be addressed using control stocks. Findings suggest limited feedback trading in USF stocks, but listing has reduced this further. While news has less impact and persistence and asymmetry effects are more evident post-futures, control stock results suggest these changes are not futures induced. Differences are evident across industries. The need for analysis of an appropriate (industry based) control sample is highlighted if reliable policy conclusions are to be reached.

Item Type:Article
Keywords:Futures listing, Feedback trading, Volatility dynamics, Universal stock futures.
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1111/j.1468-5957.2007.02067.x
Record Created:22 May 2009 15:35
Last Modified:18 Nov 2010 10:40

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Usage statisticsLook up in GoogleScholar | Find in a UK Library