McKenzie, Michael D.; Brailsford, Timothy J.; Faff, … - In: Journal of Futures Markets 21 (2001) 3, pp. 237-255
We examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (i.e., individual share futures, or ISFs) has impacted on the systematic risk and volatility of the underlying shares. The use of ISFs allows a unique experimental design that...