Financial Innovations and Market Efficiency: The Case for Single Stock Futures

@inproceedings{Ang2004FinancialIA,
  title={Financial Innovations and Market Efficiency: The Case for Single Stock Futures},
  author={James Soo Keng Ang and Yingmei Cheng},
  year={2004}
}
Market efficiency improves for stocks that are listed on the newly established single stock futures (SSF) exchanges. After identifying information associated with large price changes, we show that the number of unexplained large stock returns decreases for SSF firms in comparison to the pre-SSF period, and to the matched non-SSF sample. The reduction is positively related to the extent of trading activity in the single stock futures market. 

Citations

Publications citing this paper.
SHOWING 1-10 OF 12 CITATIONS