Department/School
Finance
Date of this version
10-2010
Document Type
Article
Keywords
single stock futures, return volatilities, Russian equity markets
Abstract
This paper looks into the effect of Single Stock Futures (SSF) introduction on the trading volume and volatility of underlying stocks in two different Russian markets. The results indicate that there is very little evidence of trading volume shift from the spot market to the futures markets. Using a GARCH(1,1) model the underlying stock volatility for 5 different stocks are estimated and these results indicate that there is a reduction in volatility after the introduction of SSF in the majority of the stocks. Granger causality tests do not indicate that the futures trading causes significant changes in stock volatility.
Volume
15
Issue
2
Published in
Global Business and Financial Review
Citation/Other Information
Vol 15 (2) 156-168