The Volatility Effect of Single-Stock Futures Trading on the Pakistani Stock Market

dc.contributor.author	Adil Awan
dc.contributor.author	Amir Rafique
dc.date.accessioned	2014-08-21T07:11:10Z
dc.date.available	2014-08-21T07:11:10Z
dc.date.issued	2013-06
dc.description	PP. 29, ill.	en_US
dc.description.abstract	The impact of single-stock futures on spot market volatility is still debated in the finance literature. The aim of this study is to analyze the effect of the introduction of single-stock futures on the volatility of the Karachi Stock Exchange (KSE). We examine changes in the level of volatility and structure after the introduction of single-stock futures, evaluating 24 companies listed on the KSE. The study applies the F-test to determine differences in variance as a traditional measure for volatility and uses GARCH (1,1) as an econometric technique for detecting time-varying volatility. The results show that there is no effect on the volatility level but that changes occur in the structure of volatility after stock futures trading.	en_US
dc.identifier.citation	The Lahore Journal of Business ,Vol. 01, No. 2	en_US
dc.identifier.issn	ISSN 2223-0025
dc.identifier.uri	http://hdl.handle.net/123456789/6206
dc.language.iso	en	en_US
dc.publisher	© Lahore School of Economics	en_US
dc.subject	Single-stock futures	en_US
dc.subject	Derivatives	en_US
dc.subject	Volatility	en_US
dc.title	The Volatility Effect of Single-Stock Futures Trading on the Pakistani Stock Market	en_US
dc.type	Article	en_US

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