English, Article edition: The effects of universal futures on opening and closing returns Patricia L. Chelley-Steeley

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Bookmark: http://trove.nla.gov.au/version/8537
Physical Description
  • article
Language
  • English

Edition details

Title
  • The effects of universal futures on opening and closing returns
Author
  • Patricia L. Chelley-Steeley
Physical Description
  • article
Notes
  • Purpose – In 2001, Euronext-Liffe introduced single security futures contracts for the first time. The purpose of this paper is to examine the impact that these single security futures had on the volatility of the underlying stocks. Design/​methodology/​approach – The Inclan and Tiao algorithm was used to show that the volatility of underlying securities did not change after universal futures were introduced. Findings – It was found that in the aftermath of the introduction of universal futures the volatility of the underlying securities increases. Increased volatility is not apparent in the control sample. This suggests that single security futures did have some impact on the volatility of the underlying securities. Originality/​value – Despite the huge literature that has examined the effects of a futures listing on the volatility of underlying stock returns, little consensus has emerged. This paper adds to the dialogue by focusing on the effects of a single security futures contract rather than concentrating on the effects of index futures contracts.
  • Financial markets, Futures markets, Securities, Stock returns
  • RePEc:eme:sefpps:v:25:y:2008:i:4:p:233-252
Language
  • English
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