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CHANGES IN THE VOLATILITY LEVEL AND STRUCTURE OF SHARES POST SINGLE STOCK FUTURES TRADING
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Johan De Beer 
Abstract
The introduction of single stock futures to a market presents the opportunity to assess an individual company’s response to futures trading directly, in contrast to the market-wide impact obtained from index futures studies. The listed shares of thirty-eight South African companies were evaluated in terms of a possible volatility effect due to the initial trading of their respective single stock futures contacts. A GARCH(1,1) model established a volatility structure (pattern of behaviour) per company. Results, in general, showed a reduction in the level and changes in the structure of spot market volatility post single stock futures.
Keywords: Single Stock Futures, Equity Shares, GARCH Model, Volatility Level, Volatility Structure, Spot Market, Futures Market
How to cite this paper: de Beer, J. (2009). Changes in the volatility level and structure of shares post single stock futures trading. Corporate Ownership & Control, 7(2-2), 279-295. https://doi.org/10.22495/cocv7i2c2p5
