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

33 Pages Posted: 20 Jun 2004

See all articles by James S. Ang

James S. Ang

Florida State University; Florida State University - College of Law

Yingmei Cheng

Florida State University - College of Business

Date Written: June 2004

Abstract

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.

Keywords: Single stock futures, large returns, market efficiency

Suggested Citation

Ang, James S. and Cheng, Yingmei, Financial Innovations and Market Efficiency: The Case of Single Stock Futures (June 2004). Available at SSRN: https://ssrn.com/abstract=557041 or http://dx.doi.org/10.2139/ssrn.557041

James S. Ang

Florida State University ( email )

College of Business
Tallahassee, FL 32306-1042
United States
904-644-8208 (Phone)

Florida State University - College of Law ( email )

425 W. Jefferson Street
Tallahassee, FL 32306
United States

Yingmei Cheng (Contact Author)

Florida State University - College of Business ( email )

423 Rovetta Business Building
Tallahassee, FL 32306-1110
United States
850-644-7869 (Phone)