The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange

This study covers the period from 1990 to 1997 and investigates the relationship between the volume and value of index futures trading for the three main share indices and the volatility of the underlying assets on the JSE. The results of the regression tests indicate significant positive relationships between futures trading activity and the volatility of the underlying assets for the All Gold Index and the Industrial Index. This suggests that increased futures trading is associated with increased volatility in the underlying assets. The relationships were not significant for the All Share Index. The results support the hypothesis that index futures trading increases the volatility of the underlying assets.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

1998

Author dc:creator

• Swart, Andre

Advisor dc:contributor.advisor

• Uliana, Enrico

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/9723

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/9723