کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5075476 | 1477162 | 2009 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Single-stock futures: Evidence from the Indian securities market
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Global Finance Journal - Volume 20, Issue 3, 2009, Pages 220-234
Journal: Global Finance Journal - Volume 20, Issue 3, 2009, Pages 220-234
نویسندگان
Umesh Kumar, Yiuman Tse,