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The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange
Bibliography: leaves 68-71.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2014
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| _version_ | 1867613217717485568 |
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| access_status_str | Open Access |
| author | Swart, Andre |
| author2 | Uliana, Enrico |
| author_browse | Swart, Andre Uliana, Enrico |
| author_facet | Uliana, Enrico Swart, Andre |
| author_sort | Swart, Andre |
| collection | Thesis |
| description | Bibliography: leaves 68-71. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/9723 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:38.580Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/9723 The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange Swart, Andre Uliana, Enrico Financial Management Bibliography: leaves 68-71. 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. 2014-11-18T18:28:56Z 2014-11-18T18:28:56Z 1998 Master Thesis Masters MCom http://hdl.handle.net/11427/9723 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Management Swart, Andre The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange |
| thesis_degree_str | Master's |
| title | The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange |
| title_full | The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange |
| title_fullStr | The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange |
| title_full_unstemmed | The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange |
| title_short | The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange |
| title_sort | impact of share index futures trading on the volatility and liquidity of the underlying assets on the johannesburg stock exchange |
| topic | Financial Management |
| url | http://hdl.handle.net/11427/9723 |
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