Title

Share Price Volatility with the Introduction of Individual Share Futures on the Sydney Futures Exchange

Publication Title

International Review of Financial Analysis

Publication Date

6-1999

Document Type

Article

DOI

10.1016/S1057-5219(99)00013-7

Keywords

share futures, stock price volatility

Disciplines

Finance and Financial Management

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.

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