While the issue of the effect of stock index futures trading on the volatility of the underlying asset has been extensively examined in finance literature, the Single Stock Futures (SSFs) being relatively newer derivative products have not received much attention in the finance literature. Given...

This paper empirically examines the hypothesis that diffusion of information is not uniform across all sectors of a market. Large industries or industries where trading volume is substantially larger attract attention of a large number of investors who in turn make these industries...

The slow diffusion of information hypothesis has emerged as a more convincing explanation for lead-lag patterns in assets returns compared to traditional explanations such as non-synchronous or thin trading, liquidity factor, or size factor, etc. We provide further support to slow diffusion of...