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Sequential information arrival in the Finnish stock index derivatives markets

Author

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  • Teppo Martikainen
  • Vesa Puttonen

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.

Suggested Citation

  • Teppo Martikainen & Vesa Puttonen, 1996. "Sequential information arrival in the Finnish stock index derivatives markets," The European Journal of Finance, Taylor & Francis Journals, vol. 2(2), pages 207-217.
    • Handle: RePEc:taf:eurjfi:v:2:y:1996:i:2:p:207-217
    DOI: 10.1080/13518479600000005
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    References listed on IDEAS

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    Cited by:

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    4. Karanasos, Menelaos & Menla Ali, Faek & Margaronis, Zannis & Nath, Rajat, 2018. "Modelling time varying volatility spillovers and conditional correlations across commodity metal futures," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 246-256.

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    Keywords

    futures; options; volume;
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