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Exploiting the Market Inefficiencies: the Case of Single Stock Futures Arbitrage at Pakistan Stock Exchange Limited

Thesis Info

Access Option

External Link

Author

Meriam Chuhdary

Supervisor

Aisha Ismail

Institute

Virtual University of Pakistan

Institute Type

Public

City

Lahore

Province

Punjab

Country

Pakistan

Thesis Completing Year

2017

Thesis Completion Status

Completed

Subject

Finance

Language

English

Link

http://vspace.vu.edu.pk/detail.aspx?id=56

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676720955050

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This study examines the pricing efficiency of the derivatives segment of Pakistan Stock Exchange (PSX), particularly the Single Stock Futures (SSF), to look for the arbitrage opportunities. Futures provide profit-making opportunities to the arbitragers if these contracts are being traded above or below their theoretical fair price. A positive mispricing helps to get a riskless profit by selling the futures and buying the underlying stock and negative mispricing yields through buying the futures and selling the underlying stock. These contracts are available for more than forty individual stocks listed on PSX that are selected biannually through uniform selection criteria. The analysis is piloted on one-year data collected from twenty-two firms, engaged in stock futures trading on PSX. Summary statistics confirmed numerous instances of deviation of these future contracts from their fair prices calculated by the cost of carry formula. Though negative deviations were greater in magnitude, positive deviations were relatively more in frequency, leading to the conclusion that SSFs are generally sold on premium in our stock market and arbitrage trading is easier in this market. Results of random effect Tobit model indicated that behavior of price deviations in SSFs can be determined by different factors. It is observed that absolute mispricing increases with the increasing time to maturity of these contracts. Increasing price bands are also associated with increasing volatility of underlying stock. Absolute mispricing behaves differently for liquidity, as measured by trading volume, of futures and their underlying stock. Lower liquidity of underlying stock and higher liquidity of SSFs increases the mispricing spreads. Open interest cannot significantly explain the behavior of mispricing.
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راجے دے طوطے

راجے دے طوطے

پرانے زمانے دی گل اے کہ اک پنڈ وچ راجہ ناں دا اک بندہ رہندا سی۔ اوس نوں پالتو جانور تے پرندے پالن دا بہت شوق سی۔ اوس نے بکری، بھیڈ، مجھ، کتا، بلی تے خرگوش توں وکھ کئی پرندے وی پالے ہوئے سن۔ اوس نوں جتھوں وی کوئی سوہنا جانور یاں پرندا ملدا اوہ خرید لیندا تے فیر بہت محنت تے دل نال اوہناں نوں پالدا۔ پرندیاں وچ بھانویں کہ اوس کول تتر، کبوتر تے چڑیاں وڈی تعداد وچ سن پر اوس دا دل نئیں سی بھردا۔ اوہ پرندیاں دی تعداد وچ آئے دن کوئی نواں پرندیاں خرید کے وادھا کردا رہندا۔ اک دفعہ اوہ ایران دی سیر کرن گیا۔ اوتھے اوس نوں کجھ طوطے پسند آئے جو گلاں کردے سن۔ واپس تے اوس اوہ طوطے خریدے تے بڑی حفاظت نال اپنے گھر لے آیا۔ اوہ ایہناں دے بولن پاروں بہت خوش سی۔ اوہ سارا دن ایہناں نال گلاں کردا رہندا۔ جس پاروں طوطے ایس دے گھل مل گئے سن۔ طوطے بہت تیز ہوگئے سن۔ اوہ ہر روز راجے کولوں کدے چوری منگدے تے کدے کوئی پھل، کدے کھان نوں ہری مرچ یاں سبزی منگدے تے کدے بادام۔ راجہ اوہناں دی ہر خواہش پوری کردا سی۔

اک دفعہ نالدے پنڈ وچ میلہ لگا۔ اوس میلے وچ دوروں دوروں لوک اپنے پالتو جانور تے پرندے نمائش لئی لے کے آئے۔ اکثر لوک بیل، گاواں، مجھاں، کتے، بلیاں، خرگوش، گھوڑے، اونٹ لے کے آئے۔ کجھ لوک نچن والے گھوڑے لے کے آئے۔ ہن میلے دے میدان وچ واری واری لوک اپنے جانور یاں پرندے لے کے آندے تے اوہناں دے کرتب وکھاندے۔ سارے لوک اوہناں دے کرتب ویکھ کے بہت خوش ہوندے تے تاڑی وجا کے داد دیندے تے اپنی خوشی دا اظہار کردے۔

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Kras Oncogenic Mutation Pattern in Pakistani Patients Presenting With Colorectal Adenocarcinoma in a Northern Tertiary Referal Centre

Veterinary Pathology Pathology Abstract Colorectal cancer is a global disease with marked morbidity and mortality. Involvement of genetic and environmental factors produces variability in its prevalence. KRAS (Kirsten rat sarcoma viral oncogene homologue) is one of the important genes responsible for sporadic CRC. The constitutive GTPase activity of the gene is lost when it gets mutated and so the deregulated cells undergo unrestricted proliferation leading to oncogenesis. From therapeutic point of view, patients with KRAS mutations do not benefit from epidermal growth factor receptor inhibition drugs as those who possess normal KRAS. The analysis of KRAS mutations is therefore important from both diagnostic as well as therapeutic purposes. Diagnostic methodology and the valuable information of this study will be quite helpful in future. The objectives of this study were to document the KRAS oncogenic mutation pattern mostly in Northern Pakistani residents presenting in AFIP, Rawalpindi after their intestinal resection due to CRC. The other objective was to relate this mutation pattern with histopathological categorical variables like age, gender, presenting clinical complaint, tumor site, size, histological differentiation, modified Duke Stage of tumor, nodal metastasis and metastasis in other organs. Hundred and eighty one cases of CRC from persons residing in northern area of Pakistan were collected and observed for the above mentioned parameters. DNA was extracted from the tumors and normal tissues of all the study subjects. PCR was done for gene amplification and the status of KRAS mutations in Pakistani CRC patients was analyzed by gene sequencing. The results showed more prevalence of CRC in the males of northern areas of Pakistan. Both males and females with higher average age had high tendency to acquire CRC. Rectum was found to be the most common location of CRC, followed by sigmoid. Exophytic well differentiated adenocarcinomas were the most common form of CRC. Gene sequencing did not show even a single KRAS mutation in the tested samples. It can be inferred from this study that either there is no KRAS mutation in northern area patients suffering from CRC or the mutation frequency of this particular gene is relatively very low as compared to the results of studies reported in the literature. A wider scale study of these patients may prove the cause of CRC to be due to mutation of some other genes or may be due to some non-genetic factors.