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The Journal of Derivatives

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Determinants of Trading Activity on the
Single-Stock Futures Market: Evidence from the
Eurex Exchange

Jedrzej Bialkowski and Jacek Jakubowski
The Journal of Derivatives Spring 2012, 19 (3) 29-47; DOI: https://doi.org/10.3905/jod.2012.19.3.029
Jedrzej Bialkowski
is a senior lecturer in the Department of Economics and Finance at the University of Canterbury in Christchurch, New Zealand.
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  • For correspondence: jedrzej.bialkowski@canterbury.ac.nz
Jacek Jakubowski
is an associate professor at the Institute of Mathematics at the University of Warsaw in Warsaw, Poland.
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  • For correspondence: j.jakubowski@mimuw.edu.pl
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Abstract

Futures contracts on stock indexes, both broad and narrow, have been traded for a long time in many countries, but single-stock futures (SSFs) were more controversial, and their introduction was delayed by regulatory authorities. SSFs did not begin trading until 2002 in the U.S. and 2005 at the Eurex. As is normal for new contracts, success in the marketplace has differed across names. In this article, the authors examine what factors contribute to open interest and trading volume for 420 single-stock futures contracts. Important variables contributing to high trading activity include factors relating to the market for the underlying stock, such as trading volume, market capitalization, and volatility; characteristics of the futures contract, including tick and contract size; characteristics of the firm’s home country; and such other factors as the degree of institutional ownership of the underlying stock and the extent of arbitrage opportunities due to futures mispricing. The results confirm the importance of most of the hypothesized relationships. In addition, the authors look closely at a specific dividend capture strategy using SSFs that should be especially attractive to German investors. They find that the behavior of SSFs around ex-dividend days shows clear evidence that a substantial volume of trading activity appears to be generated by traders implementing this strategy.

TOPICS: Futures and forward contracts, developed markets, in markets

  • © 2012 Pageant Media Ltd
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The Journal of Derivatives: 19 (3)
The Journal of Derivatives
Vol. 19, Issue 3
Spring 2012
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Determinants of Trading Activity on the
Single-Stock Futures Market: Evidence from the
Eurex Exchange
Jedrzej Bialkowski, Jacek Jakubowski
The Journal of Derivatives Feb 2012, 19 (3) 29-47; DOI: 10.3905/jod.2012.19.3.029

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Determinants of Trading Activity on the
Single-Stock Futures Market: Evidence from the
Eurex Exchange
Jedrzej Bialkowski, Jacek Jakubowski
The Journal of Derivatives Feb 2012, 19 (3) 29-47; DOI: 10.3905/jod.2012.19.3.029
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    • INSTITUTIONAL BACKGROUND AND PRELIMINARY DATA ANALYSIS
    • HYPOTHESES DEVELOPMENT
    • EMPIRICAL RESULTS
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