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    Determinants of Trading Activity on Single Stock Futures Market-Evidences from Eurex Exchange (2010)

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    Type of Content
    Discussion / Working Papers
    UC Permalink
    http://hdl.handle.net/10092/4558
    
    Publisher
    Social Science Research Network
    University of Canterbury. Department of Economics and Finance
    Collections
    • Business: Working Papers [193]
    Authors
    Bialkowski, J.
    Jakubowski, J.
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    Abstract

    This paper investigates to what extent underlying specific properties together with contract design determine level of trading activity on the Eurex derivative exchange. The study looks beyond systematic reasons extensively examined in prior research. It is found that trading activity is higher for single stock futures on stock characterized by low institutional ownership, and high volume on spot market. The mispricing between spot and futures market also attracts investors to single stock futures market. Moreover the factors, such as a size of contract, tick size and age of contract on particular stock significantly contribute to increase open interest and traded volume. Furthermore, evidences are found that single stock futures become more efficiently priced around ex-dividend date for underlying stock. Our findings have important implications for investors who have interest in that segment of derivatives market. They should also be taken into consideration by market regulators.

    Citation
    Bialkowski, J., Jakubowski, J. (2010) Determinants of Trading Activity on Single Stock Futures Market-Evidences from Eurex Exchange. 24..
    This citation is automatically generated and may be unreliable. Use as a guide only.
    Keywords
    single stock futures; futures market efficiency; listing selection; short sale
    ANZSRC Fields of Research
    35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk management
    38 - Economics::3801 - Applied economics::380107 - Financial economics
    Rights
    https://hdl.handle.net/10092/17651

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