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

Sayed, Ayesha; Auret, C. - In: Cogent economics & finance 11 (2023) 1, pp. 1-21

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...

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