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

Simple item page
dc.contributor.advisorUliana, Enricoen_ZA
dc.contributor.authorSwart, Andreen_ZA
dc.date.accessioned2014-11-18T18:28:56Z
dc.date.available2014-11-18T18:28:56Z
dc.date.issued1998en_ZA
dc.descriptionBibliography: leaves 68-71.en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationSwart, A. (1998). <i>The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/9723en_ZA
dc.identifier.chicagocitationSwart, Andre. <i>"The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 1998. http://hdl.handle.net/11427/9723en_ZA
dc.identifier.citationSwart, A. 1998. The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Swart, Andre AB - 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. DA - 1998 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 1998 T1 - The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange TI - The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange UR - http://hdl.handle.net/11427/9723 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/9723
dc.identifier.vancouvercitationSwart A. The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 1998 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/9723en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Managementen_ZA
dc.titleThe impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchangeen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_1998_swart_a (1).pdf
Size:
6.07 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters