Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5107345 | Research in International Business and Finance | 2017 | 9 Pages |
Abstract
This study tests whether investors and speculators in stock index futures contracts on the South African stock market use feedback trading strategies. Feedback trading can be destabilizing and impede on the risk mitigation and price discovery functions of futures contracts. Using the Sentana and Wadhwani (1992) model, and accounting for the global financial crisis, we find no evidence of feedback trading in the Top40 futures index or the Top40 mini futures index contracts. Our findings have important implications for investors who wish to use index futures to mitigate risk or exploit arbitrage opportunities and regulators concerned about the destabilizing effects of futures trading.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Ailie Charteris, Arnold Musadziruma,