Abstract
The impact of single stock futures on the spot market volatility is still a issue debated in finance literature. The aim of this study is to analyze the effect of introduction of single stock futures on the volatility of Karachi Stock Exchange. This study mainly addresses the changes in level of volatility and structure after the introduction of single stock futures. Twenty four companies listed on KSE were evaluated in terms of possible volatility effect due to stock futures trading. This study applied F-test for differences in variances as a traditional measure for volatility and GARCH(1,1) as a econometric technique for detecting time-varying volatility. The results showed that there was no effect on volatility level and changes were experienced with structure of volatility after stock futures trading.
Keywords
Single stock futures, Derivatives, volatility.
DOI
https://doi.org/10.54784/1990-6587.1219
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Awan, A., & Rafique, A. (2013). The volatility effect of single stock futures trading on Pakistani Stock Market. Business Review, 8(1), 94-122. Retrieved from https://doi.org/10.54784/1990-6587.1219
Submitted
February 25, 2021
Published
January 01, 2013
Included in
Publication Stage
Published
