Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/303920 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 11 [Issue:] 1 [Article No.:] 2160127 [Year:] 2023 [Pages:] 1-21
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
This paper examines the relationship between trading activity and returns volatility in white maize futures listed on the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns volatility is estimated using a GARCH (1,1) model. Trading activity changes are observed by computing two negatively correlated ratios from daily trading volume and open interest. The dynamic relationship between volatility and trading activity is explored over the period April 2000 to May 2022 using a vector autoregressive framework. The paper examines not only the Granger-causality between speculative and hedging ratios and volatility but also assesses their interactions through variance decomposition and impulse response functions. The first ratio, of volume to open interest, is used to capture speculative market activity; and the second, a ratio of the change in open interest to volume, is used to reflect the activity of hedgers. The results shed light on the effectiveness of targeting speculators for regulation in grain futures markets, while also contributing to the veracity of price limits in effectively moderating volatility.
Schlagwörter: 
hedging
maize futures
open interest
price limits
returns volatility
speculation
trading volume
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.