Spillovers of cum-ex and cum-cum trading with single stock futures

2021 ◽  
Author(s):  
Valerie Laturnus ◽  
Arne Reichel ◽  
Mark Wahrenburg
Keyword(s):  
Single Stock Futures

scholarly journals The price and volume effect of initial single stock futures trading

2009 ◽  
Vol 7 (2) ◽  
pp. 367-386
Author(s):  
Johan de Beer
Keyword(s):  
South African ◽  
Spot Market ◽  
Volume Effect ◽  
Futures Contracts ◽  
Futures Trading ◽  
General Increase ◽  
Volume Comparison ◽  
Share Prices ◽  
Trading Volumes ◽  
Single Stock Futures

The introduction of single stock futures to a market allows for a per company impact-assessment of futures trading activity. Thirty-eight South African companies were evaluated in terms of a possible price and volume effect due to the initial trading of their respective single stock futures contracts. An event study revealed that SSF trading had little impact on the underlying share prices while a normalised volume comparison pre to post SSF trading showed a general increase in spot market trading volumes.

Pitfalls in Single Stock Futures

2013 ◽  
pp. 1-8
Author(s):  
Jayanth R. Varma
Keyword(s):  
Futures Markets ◽  
Market Manipulation ◽  
Valuation Model ◽  
Cost Of Carry ◽  
Single Stock Futures

The case describes two episodes where the basic valuation model (cost of carry model) for single stock futures appears to break down. The first involves market manipulation and the second involves an unexpected change in the record date for an already announced dividend. This breakdown leads to large losses for the participant in these futures markets.

The Expiration Day Effects of Single Stock Futures : Evidence from Korea

2017 ◽  
Vol 25 (3) ◽  
pp. 451-478
Author(s):  
Shiyong Yoo
Keyword(s):  
Institutional Investors ◽  
Stock Prices ◽  
Trading Volume ◽  
Volume Effect ◽  
Individual Investors ◽  
Foreign Investors ◽  
Reversal Effect ◽  
Price Reversal ◽  
Price Shock ◽  
Single Stock Futures

In this study, we analyzed whether the expiration day effect of domestic single stock futures exists. One-minute stock prices and trading volume by trader types is used. Data ranges from May 2008 to June 2016. The expiration day effects are measured by price reversal, price shock, volatility effect, and volume effect. Since the expiration day of single stock futures is on the second Thursday of each month, we analyzed whether the expiration day effects differ between expiration Thursday and non-expiration Thursday. The price reversal effect is evident in Samsung Electronics and Hyundai Steel, and the price shock effect is evident for KT and KT&G. However, price reversals and price shocks are not generally found in other stocks. On the other hand, in most stocks (16 out of 22), the volatility effect variables were statistically significantly larger on the expiration Thursday than non-expiration Thursday. The expiration day effects of single stocks are evident in the trading volume. First of all, trading volume increased significantly on expiration Thursday than non-expiration Thursday. In particular, the trading-volume shares of institutional investors and foreign investors increase and the share of individual investors is decreasing. This suggests that the increase in trading volume on expiration Thursday is mainly due to the increase in the trading-volume shares of institutional investors and foreign investors, who are supposed to be in the information superiority. In addition, we can conjecture that the larger volatility level on expiration Thursday than on non-expiration Thursday may be due to institutional investors and foreign investors rather than individual investors.

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