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n Investment Analysts Journal - The relationship between share price volatility on the JSE and mispricing and open interest on SAFEX

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Abstract

Extracted from text ... Number 46 - Part 1 JH Burger and EvdM Smit The relationship between share price volatility on the JSE and mispricing and open interest on SAFEX Introduction Internationally, share index futures have become a popular means of achieving short-run adjustments in asset allocations for pension funds and other institutional investors. Differences between shares and futures influence their relative prices and the degree to which they are employed in reallocating positions. Should the underlying volatility in the share market change, risk-averse investors respond by adjusting their portfolios, affecting the relative prices of shares and index futures. Volatility has historically been a ..

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/content/invest/1997/46/EJC46697
1997-01-01
2016-12-03
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