Are single stock futures used as an alternative during a short-selling ban?

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygladolygiad gan gymheiriaid

Fersiynau electronig

Dogfennau

Dangosydd eitem ddigidol (DOI)

The reaction of the single stock futures (SSF) market to the UK short-selling ban in 2008-09 is investigated. The study tests the hypothesis that traders use SSF as a substitute instrument for short-selling, in which case they will shift to SSF trading when short-sales are banned. A significant increase in the trading activity of SSF in the London market during the 2008-09 ban period is documented, accompanied by narrower spreads, i.e. higher liquidity. Volatility did not react to the ban which suggests that the increase in trading activity did not weaken SSF market quality. The quality of the underlying market in the presence of SSF is also assessed and the results suggest that SSF market activity has neither positive nor negative effects on the underlying assets’ liquidity, volatility, and volume during the ban period. The findings offer important insights into the merits of SSF and the effectiveness of regulatory interventions on short-selling.
Iaith wreiddiolSaesneg
Tudalennau (o-i)66-82
CyfnodolynJournal of Futures Markets
Cyfrol38
Rhif y cyfnodolyn1
Dyddiad ar-lein cynnar28 Ebr 2017
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - Ion 2018

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