While the issue of the effect of stock index futures trading on the volatility of the underlying asset has been extensively examined in finance literature, the Single Stock Futures SSFs being relatively newer derivative products have not received much attention in the finance literature. Given the distinctive features of SSFs, this market provides an important opportunity to examine a number of issues that have not been adequately addressed in the literature, particularly in the emerging markets.

This paper examines the SSFs contract trading on the Karachi Stock Exchange and investigates the changes in the return volatility of the underlying stocks using an augmented GJR-GARCH model as well the more traditional measures of return volatility. Overall, we find mixed results for both the SSFs-listed stocks and the sample of control group stocks in terms of changes in volatility of daily stock returns in the post-futures periods using traditional measures of return volatility as well as the econometric investigations.

Hence, indictments of single stock futures as having caused changes in the return volatility of the underlying stocks cannot be made. Khan, Safiullah and Shah, Attaullah and Abbas, Zaheer, Impact of Single Stock Futures Trading on Stock Price Volatility of Underlying Stocks: Journal of Basic and Applied Scientific Research, Vol.

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Download this Paper Open PDF in Browser Share: Using the URL or DOI link below will ensure access to this page indefinitely. Safiullah Khan Kohat University of Science and Technology Attaullah Shah Institute of Management Sciences, Peshawar Zaheer Abbas II International Islamic University.

Abstract While the issue of the effect of stock index futures trading on the volatility of the underlying asset has been extensively examined in finance literature, the Impact of futures trading on spot price volatility evidence from pakistan Stock Futures SSFs being relatively newer derivative products have not received much attention in the finance literature.

Safiullah Khan Kohat University of Forex exchange rates rss and Technology email Kohat Kohat Pakistan. Zaheer Abbas II International Islamic University email PO Box Sector H Islamabad, Kpk Pakistan.

The Impact of Single Stock Futures on Market Efficiency and Volatility: A Dynamic CAPM Approach: Emerging Markets Finance and Trade: Vol 53, No 2

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