Changes in the volatility level and structure of shares post single stock futures trading
| dc.contributor.author | De Beer, Johan | |
| dc.contributor.email | js.debeer@up.ac.za | en_US |
| 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 |