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- W2022999967 abstract "Purpose – In 2001, Euronext‐Liffe introduced single security futures contracts for the first time. The purpose of this paper is to examine the impact that these single security futures had on the volatility of the underlying stocks.Design/methodology/approach – The Inclan and Tiao algorithm was used to show that the volatility of underlying securities did not change after universal futures were introduced.Findings – It was found that in the aftermath of the introduction of universal futures the volatility of the underlying securities increases. Increased volatility is not apparent in the control sample. This suggests that single security futures did have some impact on the volatility of the underlying securities.Originality/value – Despite the huge literature that has examined the effects of a futures listing on the volatility of underlying stock returns, little consensus has emerged. This paper adds to the dialogue by focusing on the effects of a single security futures contract rather than concentrating..." @default.
- W2022999967 created "2016-06-24" @default.
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- W2022999967 date "2008-10-03" @default.
- W2022999967 modified "2023-09-25" @default.
- W2022999967 title "The effects of universal futures on opening and closing returns" @default.
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- W2022999967 doi "https://doi.org/10.1108/10867370810918137" @default.
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