| Title: | The Relationship between Spot and Futures Index Contracts after the Introduction of Electronic Trading on the Johannesburg Stock Exchange |
| Number: | 02-06 |
| Author: | Owen Beelders |
| Issue Date: | April 2002 |
| Abstract: | The objective of this paper is to analyze the interrelationship between the all share, gold and industrial indexes of the Johannesburg Stock Exchange and the corresponding index futures contracts traded on the South African Futures Exchange after the introduction of electronic trading. For the all share and industrials contracts, we find quicker information transmission between the spot and futures markets after the introduction of electronic trading. In addition, the contemporaneous correlation between the markets increases and the size and asymmetry of the volatiltiy spillovers is reduced. For the gold contract, we find slower information transmission after the introduction of electronic trading, but this result may be biased by the fact that the gold contract was discontinued. |
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