Text in English with summaries in English and Afrikaans / 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. Thirty-eight South African companies were evaluated in terms of a possible price, volume, and volatility effect due to the initial trading of their respective single stock futures contracts. An event study revealed that SSF trading had little impact on the underlying share prices. A normalised volume comparison pre to post SSF trading showed a general increase in spot market trading volumes. The volatility effect was the main focus of this study with a GARCH(1,1) model establishing a volatility structure (pattern of behaviour) per company. Results showed a reduction in the level and changes in the structure of spot market volatility. In addition, a dummy variable regression could find no evidence of an altered company-market relationship (systematic risk) post futures. / Business Management / M.Com. (Business Management)

Text in English with summaries in English and Afrikaans / 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. Thirty-eight South African companies were evaluated in terms of a possible price, volume, and volatility effect due to the initial trading of their respective single stock futures contracts. An event study revealed that SSF trading had little impact on the underlying share prices. A normalised volume comparison pre to post SSF trading showed a general increase in spot market trading volumes. The volatility effect was the main focus of this study with a GARCH(1,1) model establishing a volatility structure (pattern of behaviour) per company. Results showed a reduction in the level and changes in the structure of spot market volatility. In addition, a dummy variable regression could find no evidence of an altered company-market relationship (systematic risk) post futures. / Business Management / M.Com. (Business Management)

Thesis (MAcc)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: The use of derivative instruments, including single-stock futures, experienced unprecedented growth over the last twenty years. South Africa, like the rest of the world, is still experiencing extraordinary growth in the trading of these instruments. The taxation of these transactions, therefore, are of increasing practical importance. Despite this unprecedented growth, the South African tax policy makers have neglected the tax treatment of these instruments to a large extent. Due to the lack of specific legislative provisions regulating the tax aspects of these instruments, the general principles of the South African income tax law have to be applied. This gives rise to conflicting opinions regarding the tax treatment of these instruments, primarily as a result of the fact that these principles were developed long before the widespread use of derivative instruments. The lack of relevant case law in this regard is also problematic. This results in great uncertainty surrounding the tax treatment of profits from single stock futures. This research paper applies the general principles of the South African income tax law in order to determine when these profits accrue to the taxpayer and to determine the nature thereof. The introduction of capital gains tax has added yet a further dimension to the taxation of these instruments and is also considered. This research paper also considers the income tax treatment of similar instruments in Australia in order to identify useful principles that may be applied within a South African context. In light of the increasing volume and value of derivative transactions, it is imperative that clarity regarding the taxation of these transactions be obtained as soon as possible. Any reform and revised tax rules need to provide certainty to the taxpayer while remaining flexible enough to ensure that future changes in the ever-changing financial instruments environment are accommodated. / AFRIKAANSE OPSOMMING: Die gebruik van afgeleide instrumente, waaronder enkel-aandeeltermynkontrakte, het die afgelope twintig jaar ongekende groei beleef. Suid-Afrika, net soos die res van die wêreld, beleef steeds buitengewone groei in die verhandeling van hierdie instrumente. Die belasbaarheid van hierdie transaksies is gevolglik van toenemende praktiese belang. Ten spyte van hierdie ongekende groei, het die belastingbeleidmakers in Suid-Afrika tot ’n groot mate die belastinghantering van hierdie instrumente verwaarloos. Vanweë die gebrek aan spesifieke wetlike bepalings wat die belastingaspekte van laasgenoemde reguleer, moet die algemene beginsels van die Suid-Afrikaanse inkomstebelastingreg op hierdie instrumente toegepas word. Dié beginsels is egter reeds lank voor die wydverspreide gebruik van afgeleide instrumente ontwikkel en lei tot teenstrydige menings rondom die belastinghantering van hierdie instrumente. Die gebrek aan toepaslike regspraak in hierdie verband is ook problematies. Daar heers gevolglik groot onsekerheid oor die inkomstebelastinghantering van winste verdien uit enkel-aandeeltermynkontrakte. Hierdie navorsingswerkstuk pas die algemene beginsels van die Suid-Afrikaanse inkomstebelastingreg toe ten einde die tydstip waarop dié winste aan die belastingpligtige toeval en die aard daarvan te bepaal. Die inwerkingtreding van kapitaalwinsbelasting het nog 'n verdere aspek aan die belasbaarheid van hierdie instrumente toegevoeg en word ook oorweeg. Die navorsingswerkstuk oorweeg ook die inkomstebelastinghantering van soortgelyke instrumente in Australië ten einde nuttige beginsels te identifiseer wat binne Suid-Afrikaanse konteks toegepas kan word. Indien ag geslaan word op die toename in die aantal en waarde van transaksies in afgeleide instrumente, is dit noodsaaklik dat duidelikheid rakende die belasbaarheid daarvan so spoedig doenlik verkry word. Enige hervorming en hersiende belastingreëls moet sekerheid aan die belastingpligtige verskaf, maar moet terselfdetyd buigsaam genoeg wees om ruimte te skep vir toekomstige veranderinge binne die snelgroeiende finansiële instrumente-omgewing.

Over 22 billion derivative contracts were traded on different stock exchanges globally during the year 2010 of which almost 50% were futures while the remaining 50% were options. An overall 25% increase in such contracts was registered as compared to those traded in the year 2009 (International Options Market Association (IOMA) Report, 2011).Investors often use a wide array of trading tools, market indicators and market trading strategies to get the best possible returns for the money that was invested. The main objective of this paper is to focus on the use of market sentiment indicators, specifically the Put-Call Ratio (PCR) as a predictor of returns for an investor.The Put-Call Ratio is defined as a ratio of the trading volume of put options to call options. It is called a sentiment indicator because it measures the “feelings” of option traders. Additionally, it has longed been viewed as an indicator of investors’ sentiment in the market (Put-Call Ratio, 2012) and is possibly the most favoured description of market psychology (James, 2011). / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted