Abstract
The impact of information flows on market variables such as traded volume have been well documented in the literature. In this article, the issue as to whether trading volume in derivatives responds to information flows in the underlying asset is considered. Using Hong Kong individual stock futures data, empirical analysis of information flows proxied by cash market volume and stock futures volume provides evidence that suggests that it is not the arrival of news to the market which motivates derivatives trading. Thus, the mystery of low volumes and illiquid markets for ISF cannot be explained by information arrival for the underlying stocks on which they are traded.
| Original language | English |
|---|---|
| Pages (from-to) | 123-131 |
| Number of pages | 9 |
| Journal | Applied Financial Economics |
| Volume | 13 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Feb 2003 |