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New Insights into the Impact of the Introduction of Futures Trading on Stock Price Volatility

McKenzie, Michael D; Brailsford, Tim; Faff, Robert W

Description

In this paper we examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (ISF) has impacted on the systematic risk and volatility of the underlying shares. The use of ISF allows a unique experimental design that complements existing work on index futures. Our major findings are as follows. First, we find a general reduction in systematic risk on individual stocks following the listing of futures. Second, we find evidence of a decline in...[Show more]

CollectionsANU Research Publications
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40681
http://digitalcollections.anu.edu.au/handle/1885/40681
Source: Journal of Futures Markets
DOI: 10.1002/1096-9934(200103)21:3<237::AID-FUT3>3.0.CO;2-0

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