We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data.
- Authors
Danielsen, Bartley R.; Van Ness, Robert A.; Warr, Richard S.
- Abstract
We examine how the introduction of single-stock futures impacts short sale costs and short interest levels in the underlying spot market. We find that short selling in the underling securities declines, after futures are introduced, the cost of borrowing stock for short sales declines and the available unborrowed supply of lendable shares increases. These results are consistent with futures exchanges providing a low-cost substitute market for establishing short positions. Microstructure evidence also suggests that the lower cost and greater ease of short selling via futures markets draws informed traders from the spot market.
- Subjects
UNITED States; MICROSTRUCTURE; STOCK exchanges; SALES; SECURITIES; PRICES; INVESTORS; REGULATORS (Mathematics); MARKET volatility
- Publication
Journal of Business Finance & Accounting, 2009, Vol 36, Issue 9/10, p1273
- ISSN
0306-686X
- Publication type
Article
- DOI
10.1111/j.1468-5957.2009.02159.x