The research investigates the impact of transitioning from cash settlement to physical delivery in Individual Share Futures (ISF) contracts on the information flow between the spot and futures market. Using Geweke’s Model measures of information feedback, the study examines the F _f→s values, denoting the information flow from the futures market to the spot market and F _{s→ f} values, which signify information flow from the spot market to the futures market, and of F _s↔f values depict instantaneous information flow between the spot and futures markets. The findings suggest that following the shift to the physical delivery system, information transmission between the spot and futures markets decreases significantly. Both the information flow from the spot to the futures market (Fsf) and from futures to the spot market (F _f→s ) declined for a significant number of stocks. Additionally, the instantaneous feedback measures (nF _{s ↔f} ) indicate reduced information flow between the markets under the physical delivery system. The study concludes that the implementation of the physical delivery system led to a reduction in information flow between the spot and futures markets for many stocks. Furthermore, it notes an increase in market segmentation following the switch to physical delivery, which resulted in a decline in the market performance of individual share futures contracts.