Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data
研究个股期货推出如何影响现货市场的卖空成本和卖空量，发现期货为建立空头头寸提供了低成本替代市场，并吸引了知情交易者。
Abstract: We examine how the introduction of single‐stock futures impacts short sale costs and short interest levels in the underlying spot market. We find that short selling in the underling securities declines, after futures are introduced, the cost of borrowing stock for short sales declines and the available unborrowed supply of lendable shares increases. These results are consistent with futures exchanges providing a low‐cost substitute market for establishing short positions. Microstructure evidence also suggests that the lower cost and greater ease of short selling via futures markets draws informed traders from the spot market.