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 language | English |
|---|---|
| Pages (from-to) | 66-82 |
| Number of pages | 17 |
| Journal | The Journal of Futures Markets |
| Volume | 38 |
| Issue number | 1 |
| Early online date | 28 Apr 2017 |
| DOIs | |
| Publication status | Published - Jan 2018 |
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