Changes in the volatility level and structure of shares post single stock futures trading

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dc.contributor.author De Beer, Johan
dc.date.accessioned 2011-05-30T06:41:03Z
dc.date.available 2011-05-30T06:41:03Z
dc.date.issued 2009
dc.description.abstract The introduction of single stock futures to a market presents the opportunity to assess an individual company’s response to futures trading directly, in contrast to the market-wide impact obtained from index futures studies. The listed shares of thirty-eight South African companies were evaluated in terms of a possible volatility effect due to the initial trading of their respective single stock futures contacts. A GARCH(1,1) model established a volatility structure (pattern of behaviour) per company. Results, in general, showed a reduction in the level and changes in the structure of spot market volatility post single stock futures. en
dc.identifier.citation De Beer, J 2009, 'Changes in the volatility level and structure of shares post single stock futures trading', Corporate Ownership & Control, vol. 7, no. 2, pp. 296-311. [http://www.virtusinterpress.org/] en
dc.identifier.uri http://hdl.handle.net/2263/16656
dc.language.iso en en_US
dc.publisher Virtus Enterpress en_US
dc.rights Virtus Enterpress en_US
dc.subject Equity shareholding en
dc.subject Volatility level en
dc.subject Volatility structure en
dc.subject Spot market en
dc.subject.lcsh Single stock futures en
dc.subject.lcsh GARCH model en
dc.subject.lcsh Futures market en
dc.title Changes in the volatility level and structure of shares post single stock futures trading en
dc.type Article en


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