Are single stock futures used as an alternative during a short-selling ban?

Bouchra Benzennou, Owain ap Gwilym, Gwion Williams

Research output: Contribution to journalArticle

2 Citations (Scopus)
2 Downloads (Pure)

Abstract

The response of the single stock futures (SSF) market to a short-selling ban is investigated. The hypothesis is that traders use SSF as a substitute instrument for short-selling. A significant increase in SSF trading activity is documented, accompanied by narrower spreads. SSF market volatility did not react during the ban, which suggests that the increased trading activity did not weaken SSF market quality. The quality of the underlying market during the ban period is also assessed, with the results suggesting that changes in SSF market activity had neither positive nor negative effects on the stocks’ liquidity, volatility, and volume.
Original languageEnglish
Pages (from-to)66-82
Number of pages17
JournalThe Journal of Futures Markets
Volume38
Issue number1
Early online date28 Apr 2017
DOIs
Publication statusPublished - Jan 2018

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Short selling
Futures markets
Trading activity
Liquidity
Traders
Futures trading
Substitute

Bibliographical note

"This is the peer reviewed version of the following article: Bouchra Benzennou, Owain AP Gwilym and Gwion Williams (2017) Are single stock futures used as an alternative during a short-selling ban? Journal of Futures Markets (in press), which has been published in final form at http://dx.doi.org/10.1002/fut.21849. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving."

Keywords

  • Short-selling ban
  • Single Stock Futures

Cite this

Are single stock futures used as an alternative during a short-selling ban? / Benzennou, Bouchra; ap Gwilym, Owain; Williams, Gwion.

In: The Journal of Futures Markets, Vol. 38, No. 1, 01.2018, p. 66-82.

Research output: Contribution to journalArticle

Benzennou, Bouchra ; ap Gwilym, Owain ; Williams, Gwion. / Are single stock futures used as an alternative during a short-selling ban?. In: The Journal of Futures Markets. 2018 ; Vol. 38, No. 1. pp. 66-82.
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