Speculative ratios and returns volatility in the South African white maize futures market

Speculative ratios and returns volatility in the South African white maize futures market

AbstractThis 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. Tradi...

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Bibliographic Details
Main Authors: Ayesha Sayed, Christo Auret
Format: Article
Language:English
Published: Taylor & Francis Group 2023-12-01
Series:Cogent Economics & Finance
Subjects:
speculation
hedging
maize futures
returns volatility
trading volume
open interest
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2022.2160127

Internet

https://www.tandfonline.com/doi/10.1080/23322039.2022.2160127

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