Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market

2019 ◽  
Vol 40 (3) ◽  
pp. 355-373
Author(s):  
Anirban Banerjee ◽  
Ashok Banerjee
Keyword(s):  
Futures Market ◽  
Trading Behavior ◽  
Trade Size ◽  
Size Restriction ◽  
Single Stock Futures

Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Conghua Wen ◽  
Fei Jia ◽  
Jianli Hao
Keyword(s):  
High Frequency ◽  
Realized Volatility ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Behavior ◽  
Volatility Forecasting ◽  
Content Type ◽  
Index Futures ◽  
Intraday Data

PurposeUsing intraday data, the authors explore the forecast ability of one high frequency order flow imbalance measure (OI) based on the volume-synchronized probability of informed trading metric (VPIN) for predicting the realized volatility of the index futures on the China Securities Index 300 (CSI 300).Design/methodology/approachThe authors employ the heterogeneous autoregressive model for realized volatility (HAR-RV) and compare the forecast ability of models with and without the predictive variable, OI.FindingsThe empirical results demonstrate that the augmented HAR model incorporating OI (HARX-RV) can generate more precise forecasts, which implies that the order imbalance measure contains substantial information for describing the volatility dynamics.Originality/valueThe study sheds light on the relation between high frequency trading behavior and volatility forecasting in China's index futures market and reveals the underlying market mechanisms of liquidity-induced volatility.

scholarly journals Information revelation in the futures market: Evidence from single stock futures

2008 ◽  
Vol 28 (4) ◽  
pp. 335-353 ◽  
Author(s):  
Kuldeep Shastri ◽  
Ramabhadran S. Thirumalai ◽  
Chad J. Zutter
Keyword(s):  
Futures Market ◽  
Information Revelation ◽  
Single Stock Futures

scholarly journals Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market

2013 ◽  
Vol 18 (1) ◽  
pp. 63-80 ◽  
Author(s):  
Safi Ullah Khan ◽  
Zaheer Abbas
Keyword(s):  
Empirical Evidence ◽  
Emerging Market ◽  
Systematic Risk ◽  
Estimation Procedure ◽  
Futures Market ◽  
Control Group ◽  
Index Futures ◽  
Market Effects ◽  
Underlying Stocks ◽  
Single Stock Futures

This paper examines the behavior of beta coefficients (systematic risk) for underlying stocks around the introduction of single-stock futures (SSFs) contracts in the Pakistani market, by employing models that account for nonsynchronous and thin trading and varying market conditions as “bull” and “bear” markets. Unlike the results of earlier studies on US markets, the empirical evidence tends to support a decline in systematic risk for the majority of underlying stocks in the post-futures listings period. Nevertheless, similar to SSFs stocks, we also find empirical evidence of a decrease in systematic risk for many of the control group stocks. This indicates that changes in beta estimates for SSFs-listed stocks might not be induced by the introduction of SSFs contract trading, but could be attributed to other market-wide or industry changes that have affected the overall market. Several plausible reasons, such as lack of program trading activities normally associated with index futures, market microstructure differences between developed markets and a developing market such as Pakistan, and the capturing of the “bear” and “bull” market effects on stock betas in our estimation procedure could explain these different results for Pakistan’s market.

scholarly journals INFORMATION CONTENT OF INTER-TRANSACTION TIME: A STRUCTURAL APPROACH

2015 ◽  
Vol 16 (4) ◽  
pp. 697-711 ◽  
Author(s):  
Doojin Ryu
Keyword(s):  
Regression Analysis ◽  
Information Content ◽  
Market Microstructure ◽  
Futures Market ◽  
Informed Trading ◽  
Significant Information ◽  
Trade Size ◽  
Microstructure Model ◽  
Intraday Data

This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two consecu- tive trades) reveals significant information, and that fast trading is indicative of informed trading. This result remains robust when the effect of trade size is incorporated into the model. Our regression analysis indicates that the information role of inter-transaction time becomes more important when informed trading is less concentrated, liquidity is lower, and the market is more volatile.

Analysis of Price Discovery Effect in the Single Stock Futures Market

2018 ◽  
Vol 26 (4) ◽  
pp. 425-463
Author(s):  
Woo–baik Lee
Keyword(s):  
Price Discovery ◽  
Futures Market ◽  
Spot Price ◽  
Vector Error Correction ◽  
Vector Error ◽  
Securities Transaction Tax ◽  
Market Linkage ◽  
The Difference ◽  
Transaction Taxes ◽  
Single Stock Futures

This paper examines the price dynamics in the single stocks futures and spot markets. In order to enhance the liquidity of the stock futures market, Korea Exchange introduced the liquidity provider in 2014, and exempted the securities transaction taxes on stocks sold for hedging purposes of liquidity provider from 2015. This study performed a vector error correction model (VECM) based on spot-futures market linkage to evaluate the effectiveness of the liquidity policy by examining the difference in the price discovery around the event. The main empirical analysis results are summarized as follows. First, a statistically significant sample of price discovery over the entire period was evident in the interrelationship between spot and futures. This implies that stock futures have information effect equivalent to spot price, which is different from the previous studies in which futures lead the spot price discovery significantly as in the case of KOSPI200 futures market. Second, the tendency of feedback between spot and futures is consistent in price discovery even after introduction of liquidity provider and exemption of securities transaction tax. Overall, empirical results suggest that the effectiveness of the stock futures market policy is limited during the sample period and the additional measures to enhance the long term activation are needed.

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