At least initially, the old and new index futures will trade side by side.
That happened because the price of index futures closed too high on Thursday.
When prices rise more than is generally expected, buyers of index futures win their bet.
As the market began to fall, some institutions sold index futures rather than stock.
The additional transactions costs were only for selling 20 index futures.
Thus, share prices reflect less information than before the introduction of index futures.
In contrast, very little has been written on the presence of a risk premium for index futures.
Therefore, the analysis will be repeated for the specific case of the return on an index future between now and delivery.
There are two studies of the volatility-volume relationship for index futures.
There have been two studies of the maturity-volume relationship for index futures.
