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

Research output: Contribution to journal › Article › peer-review

Standard Standard

Are single stock futures used as an alternative during a short-selling ban? / Benzennou, Bouchra; ap Gwilym, Owain ; Williams, Gwion.
In: Journal of Futures Markets, Vol. 38, No. 1, 01.2018, p. 66-82.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Benzennou, B, ap Gwilym, O & Williams, G 2018, 'Are single stock futures used as an alternative during a short-selling ban?', Journal of Futures Markets, vol. 38, no. 1, pp. 66-82. https://doi.org/10.1002/fut.21849

APA

Benzennou, B., ap Gwilym, O., & Williams, G. (2018). Are single stock futures used as an alternative during a short-selling ban? Journal of Futures Markets, 38(1), 66-82. https://doi.org/10.1002/fut.21849

CBE

Benzennou B, ap Gwilym O , Williams G. 2018. Are single stock futures used as an alternative during a short-selling ban?. Journal of Futures Markets. 38(1):66-82. https://doi.org/10.1002/fut.21849

MLA

Benzennou, Bouchra, Owain ap Gwilym, and Gwion Williams. "Are single stock futures used as an alternative during a short-selling ban?". Journal of Futures Markets. 2018, 38(1). 66-82. https://doi.org/10.1002/fut.21849

VancouverVancouver

Benzennou B, ap Gwilym O , Williams G. Are single stock futures used as an alternative during a short-selling ban? Journal of Futures Markets. 2018 Jan;38(1):66-82. Epub 2017 Apr 28. doi: 10.1002/fut.21849

Author

Benzennou, Bouchra ; ap Gwilym, Owain ; Williams, Gwion. / Are single stock futures used as an alternative during a short-selling ban?. In: Journal of Futures Markets. 2018 ; Vol. 38, No. 1. pp. 66-82.

RIS

TY - JOUR

T1 - Are single stock futures used as an alternative during a short-selling ban?

AU - Benzennou, Bouchra

AU - ap Gwilym, Owain

AU - Williams, Gwion

PY - 2018/1

Y1 - 2018/1

N2 - 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.

AB - 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.

U2 - 10.1002/fut.21849

DO - 10.1002/fut.21849

M3 - Article

VL - 38

SP - 66

EP - 82

JO - Journal of Futures Markets

JF - Journal of Futures Markets

SN - 0270-7314

IS - 1

ER -