n Investment Analysts Journal - Share volatility after the introduction of index futures

Volume 1997, Issue 45
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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Extracted from text ... Number 45 - Part 1 L Vanden Baviere and JU de Villiers* Share volatility after the introduction of index futures *Respectively Department of Business Economics, University of the Witwatersrand, Private Bag 3, Wits 2050, Republic of South Africa and Department of Business Management, University of Stellenbosch, Private Bag X1, Matieland 7602, Republic of South Africa. The authors wish to thank I-Net for making its financial database available for this research. Introduction This paper studies the effect of the listing of equity futures contracts on the South African Futures Exchange (Safex), on the volatility of the index constituents, listed on the ..

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