When trading options is not the only option: The effects of single-stock futures trading on options market quality

被引：3
|
作者：
Jiang, George J. [1 ]
Shimizu, Yoshiki [2 ]
Strong, Cuyler [1 ]
机构：
[1] Washington State Univ, Dept Finance & Management Sci, Carson Coll Business, Pullman, WA 99164 USA
[2] Univ Minnesota, Labovitz Sch Business & Econ, Dept Accounting & Finance, Duluth, MN 55812 USA
来源：
JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 09期
关键词：
financial crisis; options market quality; short-selling ban; single-stock futures; SHORT SALES EVIDENCE; RESTRICTIONS; CONSTRAINTS; PRICES; BANS; ASK;
D O I：
10.1002/fut.22126
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We use the 2008 short-selling ban to examine the impact of single-stock futures (SSFs) trading on options market quality. We show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, our results show that SSFs trading had a significant effect in narrowing the bid-ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put-call parity during the ban period. Our results suggest that SSFs trading helps mitigate the negative effect of the short-selling ban on options market quality documented in the literature.
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页码：1398 / 1419
页数：22
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