Shastri, Kuldeep; Thirumalai, Ramabhadran S.; Zutter, … - In: Journal of Futures Markets 28 (2008) 4, pp. 335-353
This paper analyzes 31 months of data on 137 single‐stock futures (SSFs) traded on OneChicago. The results indicate that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks. Information revelation in the SSFs market decreases with the ratio of...