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Single-stock futures: Evidence from the Indian securities market

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  • Kumar, Umesh
  • Tse, Yiuman
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 20 (2009)
    Issue (Month): 3 ()
    Pages: 220-234

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    Handle: RePEc:eee:glofin:v:20:y:2009:i:3:p:220-234

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    Web page: http://www.elsevier.com/locate/inca/620162

    Related research

    Keywords: Single-stock futures Price discovery Information share;

    References

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    Cited by:
    1. Ivanov, Stoyu I. & Jones, Frank J. & Zaima, Janis K., 2013. "Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery," Global Finance Journal, Elsevier, Elsevier, vol. 24(3), pages 171-187.

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