Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks

Global Business & Finance Review, Volume 15, No. 2, Fall 2010

Posted: 29 Aug 2014

See all articles by Thadavillil Jithendranathan

Thadavillil Jithendranathan

University of St. Thomas - Department of Financial Management

David Vang

University of St. Thomas - Department of Finance

Date Written: August 27, 2010

Abstract

This paper looks into the effect of Single Stock Futures (SSF) introduction on the trading volume and volatility of underlying stocks in two different Russian markets. The results indicate that there is very little evidence of trading volume shift from the spot market to the futures markets. Using a GARCH (1,1) model the underlying stock volatility for 5 different stocks are estimated and these results indicate that there is a reduction in volatility after the introduction of SSF in the majority of the stocks. Granger causality tests do not indicate that the futures trading causes significant changes in stock volatility.

Suggested Citation

Jithendranathan, Thadavillil and Vang, David, Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks (August 27, 2010). Global Business & Finance Review, Volume 15, No. 2, Fall 2010, Available at SSRN: https://ssrn.com/abstract=2488069

Thadavillil Jithendranathan (Contact Author)

University of St. Thomas - Department of Financial Management ( email )

1000 LaSalle Ave
St. Paul, MN 55403
United States
651-962-5123 (Phone)
651-962-5093 (Fax)

David Vang

University of St. Thomas - Department of Finance ( email )

1000 LaSalle Avenue
TMH 443
Minneapolis, MN 55403
United States

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