Unveiling market dynamics: Assessing the impact of derivatives contract redesign on market quality

Rahul Kumar & Prasenjit Chakrabarti

International Journal of Financial Engineering2025https://doi.org/10.1142/s242478632550001xarticle
ABDC C
Weight
0.44

What the paper says

This paper examines the impact of upward revision of contract size on market quality. We use a natural experimental setting to investigate the changes in price volatility and trading activities after the revision of contract size. We use the fixed effect panel regression model and find out the impact of change in contract specification, that is contract size in three different time frames: short-term, medium-term and long-term. We find an increase in price volatility and trading activities in the short term. We find an increase in trading activities in the long and medium-term, whereas price volatility decreases. We conduct robustness checks using different proxies of price volatility and trading activities. We contribute to the literature of the contract design. Our study is one of the few investigating the upward revision of contract size in futures markets. This is the first report to examine the impact of changes in contract size on the market quality of single stock futures.

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https://doi.org/https://doi.org/10.1142/s242478632550001x

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@article{rahul2025,
  title        = {{Unveiling market dynamics: Assessing the impact of derivatives contract redesign on market quality}},
  author       = {Rahul Kumar & Prasenjit Chakrabarti},
  journal      = {International Journal of Financial Engineering},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1142/s242478632550001x},
}

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Evidence weight

0.44

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.