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- W78367689 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." @default.
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- W78367689 date "2009-01-01" @default.
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- W78367689 title "Changes in the volatility level and structure of shares post single stock futures trading" @default.
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- W78367689 doi "https://doi.org/10.22495/cocv7i2c2p5" @default.
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