Sequential information arrival in the Finnish stock index derivatives markets
- 1 June 1996
- journal article
- research article
- Published by Informa UK Limited in The European Journal of Finance
- Vol. 2 (2), 207-217
- https://doi.org/10.1080/13518479600000005
Abstract
This paper investigates the hypothesis of sequential information arrival in the Finnish stock index futures and options markets. With no short selling restrictions in the derivatives markets, no causality relationships between returns and trading volume are observed. However, by using the so-called call-put signal, based on call and put volumes, causality between returns and volume is found supporting the hypothesis of sequential information arrival. In addition, it is discovered that the increased volume in stock index options relative to index futures has significantly increased their importance in the intermarket price discovery process.Keywords
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