1. Open Access Kent State
  2. Share Price Volatility with the Introduction of Individual Share Futures on the Sydney Futures Exchange
Author(s)
Abstract

This paper examines a recent innovation in financial derivative securities—individual share futures contracts traded on the Sydney Futures Exchange. We investigate changes in the volatility of the underlying shares in the cash market using an asymmetric exponential ARCH model. The overall evidence suggests that the introduction of futures trading has had very little impact on cash market volatility. Trade in the futures market has less of an effect on cash market volatility than cash market trading for most shares.
Format
Article
Identifier(s)
10.1016/S1057-5219(99)00013-7
Publication Date
1999-06-01
Publication Title
International Review of Financial Analysis
Volume
6
Issue
2
First Page
153
Last Page
163
Keywords
Subject
Rights
https://rightsstatements.org/page/InC/1.0/
Community
Department of Finance
Permalink https://oaks.kent.edu/finpubs/11
Dennis, S., & Sim, A. (1999). Share Price Volatility with the Introduction of Individual Share Futures on the Sydney Futures Exchange (1–). International Review of Financial Analysis. https://doi.org/10.1016/S1057-5219(99)00013-7
Dennis, Steven, and Ah Sim. 1999. “Share Price Volatility With the Introduction of Individual Share Futures on the Sydney Futures Exchange”. International Review of Financial Analysis. https://doi.org/10.1016/S1057-5219(99)00013-7.
Dennis, Steven, and Ah Sim. Share Price Volatility With the Introduction of Individual Share Futures on the Sydney Futures Exchange. International Review of Financial Analysis, 1 June 1999, https://doi.org/10.1016/S1057-5219(99)00013-7.