文章基本信息

标题：Single Stock Futures and their Impact on Risk Characteristics of the Underlying Stocks: A Dynamic CAPM Approach
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作者：Imran Riaz Malik ; Attaullah Shah
期刊名称：South Asian Journal of Management Sciences
印刷版ISSN：2074-2967
出版年度：2018
卷号：12
语种：English
出版社：Iqra University
摘要：The concern regarding destabilizing ability of trading in futures markets in terms of increase in risk is still unresolved in developed and developing economies. This discussion also prevailed in Pakistan after the Global Financial Crisis (GFC). To investigates this concern with respect to Single Stock Futures (SSFs) and their impact on the underlying stocks, this study made use of data from 1999 to 2008. Specically, this study investigates the introduction of SSFs in relevance to their impact on the systematic and unsystematic risk of their counterparts. The statistical results of the study show that introduction of SSFs does not enhance the overall risk of the underlying stocks. Therefore, it can be concluded that SSFs cannot be blamed for any apparent volatility in the Pakistan Stock Exchange (PSX) at and before GFC. There could be some other reasons for change in risk level (accounting and macroeconomic fundamentals or industry specific etc.). The results of this study are in line with a category of earlier studies, which show that introduction of futures do not destabilize the underlying market. The study implies that flexible regulated futures markets can improve price discovery and liquidity of the market, while acting as an agent for hedgers.
关键词：Systematic risk; un-systematic risk; SSFs; capital asset pricing model; GJR- GARCH; leptokurtic