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- W1698069079 abstract "We investigate the price discovery mechanism among the single-stock futures (SSFs) and underlying stock markets in four emerging organized markets: India, Korea, Poland, and Russia. We find that the contribution of the SSF market to price discovery is, on average, 47 percent when utilizing daily data and 36 percent when utilizing intraday data. We further find that according to our cross-sectional analysis, spot market turnover, spot market capitalization, and age of the futures contract affect the role of SSF in the price discovery process." @default.
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- W1698069079 date "2015-05-04" @default.
- W1698069079 modified "2023-10-14" @default.
- W1698069079 title "Interaction Between Single-Stock Futures and the Underlying Securities: A Cross-Country Analysis" @default.
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- W1698069079 doi "https://doi.org/10.1080/1540496x.2014.998568" @default.
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