Single stock futures and their impact on market quality: Be careful what you wish for

Autor:	John W. Hunt, Vito Mollica, Edward Curran
Rok vydání:	2021
Předmět:	Market abuse Economics and Econometrics Leverage (finance) Natural experiment Market manipulation General Business Management and Accounting Market liquidity Microeconomics Derivative (finance) Stock exchange Accounting Economics ComputingMilieux_COMPUTERSANDSOCIETY Finance Single-stock futures
Zdroj:	Journal of Futures Markets. 41:1677-1692
ISSN:	1096-9934 0270-7314
DOI:	10.1002/fut.22253
Popis:	We explore the relationship between efficiency and fairness around a natural experiment resulting in the delisting of equity‐linked single stock futures on the National Stock Exchange of India. We provide evidence that the presence of a derivative improves the liquidity of the underlying but decreases the degree of fairness—proxied by manipulation likelihood. Our study highlights that a leveraged derivative entices manipulation of the underlying and that typical inhibitors of manipulation, high execution costs, are conducive to successful market abuse.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::92d2cd987dc696dffe9c00ac6e4bfbb8 https://doi.org/10.1002/fut.22253 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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