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Mei-Maun Hseu, Huimin Chung & Erh-Yin Sun.(2007). Price Discovery across the Stock Index Futures and the ETF Markets: Intra-Day Evidence from the S&P 500, Nasdaq-100 and DJIA Indices, Review of Pacific Basin Financial Markets and Policies, Vol.10, No. 2 (2007) 1-22. :...
This work aims at studying the impact of the introduction of Single Stock Futures (SSFs) on the underlying traded stock volumes and short selling activity of the stocks comprising the Dow Jones Industrial Average Index (DJIA index). The volumes of stock traded and the short selling activity are...