Change search
ReferencesLink to record
Permanent link

Direct link
Moving Forward Into the Future
Stockholm University, Faculty of Social Sciences, School of Business, Finance.
2008 (English)In: Review of Futures Markets, Vol. 16, 331-356 p.Article in journal (Refereed) Published
Abstract [en]

Recently, the OMX Stockholm Exchange changed the OMXS 30 index futures contract specifications. Before the change, the futures contract was settled forward style, at maturity only, and was not marked-to-market on a daily basis. Following the contract redesign, the contract is subject to daily settlement as on major index futures exchanges all over the world. The change in contract specifications provides this study with a unique opportunity to investigate the effects of the settlement procedure on liquidity, trading activity, and hedging performance of the futures contract. Results show evidence of increased futures trading volume and unaffected bid-ask spread after the change. No significant difference is found between futures hedging performance before and after the redesign event. However, during a transition period, when contracts with both types of settlement are available, hedging performance is worse relative the periods before the change, and after the change was completely implemented. Moreover, during the transition period, the daily settled contracts show considerably lower hedging errors than the contracts with forward style settlement.

Place, publisher, year, edition, pages
2008. Vol. 16, 331-356 p.
National Category
Business Administration
Research subject
Business Administration
URN: urn:nbn:se:su:diva-12760OAI: diva2:179280
Available from: 2008-01-31 Created: 2008-01-31 Last updated: 2011-04-06Bibliographically approved

Open Access in DiVA

No full text

Search in DiVA

By author/editor
Nordén, Lars
By organisation
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 54 hits
ReferencesLink to record
Permanent link

Direct link