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.

引用

页码：1398 / 1419

页数：22

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