Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange

Short-sales constraints and market quality: Evidence from the 2008 short-sales bans

“…Empirical evidence is consistent with this notion and suggests a high level of short-selling is followed by negative abnormal returns and short-selling restrictions are related to positive abnormal 5 Examples of proxies include Figlewski (1981) and Senchack and Starks (1993) who use changes in short interest, Chen, Hong and Stein (2002) employ declines in breadth of ownership, Danielsen and Sorescu (2001) utilize option introductions, Ofek and Richardson (2003) use stock option lockups, Jones and Lamont (2002) employ the cost of short-selling and Haruvy and Noussair (2006) use experimental markets. 6 See also Dennis and Sim (1991) and McKenzie and Kim (2007). 7 Ho (1996) utilizes an event where the Stock Exchange of Singapore suspended trading for three days from December 2, 1985 to December 4, 1985.…”

Spill over effects of futures contracts initiation on the cash market: a regime shift approach

“…Perikli and Koutmos (1997) examined the S&P500 financial index and found that futures trading had no significant impact on cash market activity. Dennis and Sim (1999) examined the individual shares of the Sydney futures exchange and using an EGARCH model concluded that futures trading had no significant impact on cash market volatility. Gullen and Mayhew (2000) used data from 25 countries and found conflicting results of derivatives onset on cash market volatility and concluded that the derivatives onset effects on the spot market volatility are market specific.…”

The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE

“…Stein (1987) and Dennis and Sim (1999) argue that the information flow occasioned by new, less informed, derivative traders may have a destabilising impact on the market, impairing the ability of informed traders in the underlying to make information inferences from prices. This increase in trading noise may be sufficient to more than offset the impact of any increased liquidity, ultimately manifesting itself in an increase in the bid-ask spread.…”