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)
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:unisa/oai:umkn-dsp01.int.unisa.ac.za:10500/1339 |
| Date | 30 November 2008 |
| Creators | De Beer, Johannes Scheepers |
| Contributors | Marx, Johan |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Dissertation |
| Format | 1 online resource |
Page generated in 0.0026 seconds