dc.contributor.author |
De Beer, Johan
|
|
dc.date.accessioned |
2011-05-30T06:41:03Z |
|
dc.date.available |
2011-05-30T06:41:03Z |
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dc.date.issued |
2009 |
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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 |
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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 |