Restrictions on short-selling and futures dynamics
Article Abstract:
The dynamic relationship between index futures and its underlying spot is examined in Hong Kong following the lifting of restrictions on short selling in Jan 1994 and Mar 1996. The examination reveals that the two prices have become more closely integrated after the lifting of the restrictions. Adjustments to long-run equilibrium are done more via index futures, although the role of the spot index in the lead-lag relationship has become more important following the deregulation.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1999
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The Effect of Decimalization on Trade Size and Adverse Selection Costs
Article Abstract:
An analysis is presented on the effects of New York Stock Exchange decimalization on adverse selection costs and size of trade. Topics discussed include increase of percent and dollar adverse selection costs and changes to stealth trading and overall trading volume after decimalization.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2005
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