Are single stock futures used as an alternative during a short-selling ban?

Benzennou, Bouchra; ap Gwilym, Owain; Williams, Gwion

Abstract

The response of the single stock futures (SSF) market to a short-selling ban is investigated. The hypothesis is that traders use SSF as a substitute instrument for short-selling. A significant increase in SSF trading activity is documented, accompanied by narrower spreads. SSF market volatility did not react during the ban, which suggests that the increased trading activity did not weaken SSF market quality. The quality of the underlying market during the ban period is also assessed, with the results suggesting that changes in SSF market activity had neither positive nor negative effects on the stocks’ liquidity, volatility, and volume.

• Journal Article Type: Article
• Acceptance Date: Feb 12, 2017
• Online Publication Date: Apr 28, 2017
• Publication Date: Jan 1, 2018
• Deposit Date: May 25, 2021
• Publicly Available Date: May 27, 2021
• Journal: Journal of Futures Markets
• Print ISSN: 0270-7314
• Electronic ISSN: 1096-9934
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 38
• Issue: 1
• Pages: 66-82
• DOI: https://doi.org/10.1002/fut.21849
• Keywords: Short-selling ban; Single Stock Futures
• Public URL: https://uwe-repository.worktribe.com/output/6015889
• Related Public URLs: https://research.bangor.ac.uk/portal/files/17692877/2017_Are_single_stock_futures.pdf.pdf