THE IMPACT OF SINGLE STOCK FUTURES ON THE
Date
2011-04-12
Authors
Frasco, Joao Carlos
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Abstract
Derivatives have become increasingly popular in the past two decades
throughout the world’s leading financial markets. They have been accused by
some of increasing the volatility of the underlying asset’s price.
Volatility of asset prices is used extensively throughout the financial services
industry, from valuing derivatives to estimating risk. Correctly estimating and
forecasting volatility is important to ensure accurate pricing and understanding
of risk.
This research looks at data from South Africa to investigate the impact of
Single Stock Futures on the volatility of the underlying stock.
The main finding of this research is that there is no evidence to support
increased volatility of the underlying stock due to the introduction of Single
Stock Futures.
Description
MBA - WBS
Keywords
Johannesburg Securities Exchange, Single stock futures, Derivatives