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The impact of single stock futures on the South African equity market

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dc.contributor.advisor Marx, Johan en De Beer, Johannes Scheepers en 2009-08-25T10:51:54Z 2009-08-25T10:51:54Z 2009-08-25T10:51:54Z 2008-11-30 en
dc.identifier.citation De Beer, Johannes Scheepers (2009) The impact of single stock futures on the South African equity market, University of South Africa, Pretoria, <> en
dc.description Text in English with summaries in English and Afrikaans
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. 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. en
dc.format.extent 1 online resource
dc.language.iso en en
dc.subject Equity shares en
dc.subject Event study en
dc.subject Futures trading en
dc.subject GARCH model en
dc.subject Price effect en
dc.subject Single stock futures en
dc.subject Spot market en
dc.subject Volatility effect en
dc.subject Volatility level en
dc.subject Volatility structure en
dc.subject Volume effect en
dc.subject.ddc 332.64268
dc.subject.lcsh Stock exchanges -- South Africa
dc.subject.lcsh Single stock futures -- South Africa
dc.subject.lcsh Futures -- South Africa
dc.title The impact of single stock futures on the South African equity market en
dc.type Dissertation en
dc.description.department Business Management en M.Com. (Business Management) en

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