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THE PRICE AND VOLUME EFFECT OF INITIAL SINGLE STOCK FUTURES TRADING

Johan de Beer

DOI: 10.22495/cocv7i2c3p4

Abstract

The introduction of single stock futures to a market allows for a per company impact-assessment of futures trading activity. Thirty-eight South African companies were evaluated in terms of a possible price and volume effect due to the initial trading of their respective single stock futures contracts. An event study revealed that SSF trading had little impact on the underlying share prices while a normalised volume comparison pre to post SSF trading showed a general increase in spot market trading volumes.

Keywords: Single Stock Futures, Equity Shares, Event Study, Price Effect, Volume Effect, Spot Market, Futures Market

How to cite this paper: de Beer, J. (2009). The price and volume effect of initial single stock futures trading. Corporate Ownership & Control, 7(2-3), 267-286. http://doi.org/10.22495/cocv7i2c3p4

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