文章基本信息

标题：Impact of Single Stock Futures on Feedback Trading, Trading Volume and Volatility: A Modiﬁed Approach
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作者：Imran Riaz Malik ; Attaullah Shah
期刊名称：Journal of Finance & Economics Research
印刷版ISSN：2415-2463
电子版ISSN：2415-2455
出版年度：2019
卷号：4
期号：2
页码：15-29
DOI：10.20547/jfer1904202
出版社：Geist Science
摘要：While an extensive amount of literature exists on the role of futures markets in influencing various dynamics of spot markets, the question whether they stabilize or destabilize the underlying spot market is unresolved. This study addresses this concern and investigates the impact of SSFs (particularly in terms of their destabilizing ability) on the underlying stocks. This study contributes to the literature of financial economics by modifying the famous (Sentana & Wadhwani, 1992) model and adding trading volume as a control variable along with Generalized Error Distribution (GED) to capture leptokurtic nature of financial time series data for introduction episode of SSFs in Pakistan. The results of CAPM augmented GJR-GARCH process suggest an insignificant change in coefficients used to gauge market inefficiencies, feedback trading, trading volume and volatility. The findings do not support the hypothesis that the introduction of futures markets significantly impacts positive feedback trading and volatility dynamics of underlying stocks. The results are consistent with some of the earlier studies that futures markets have, at least, no destabilizing effect on the underlying stock market.
关键词：Feedback trading; SSFs; dynamic CAPM; GJR-GARCH; GED.