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...

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...

Rules-based portfolio sorts are commonplace for the evaluation of style anomalies. An unfortunate consequence of constructing portfolios on a target style is the unintended loading on non-target factors. A plausible approach is the application of optimisation to maintain target factor loading...

In the wake of the Global Financial Crisis (GFC), the so-called “Market Knows Best” mantra is now openly questioned by even its most ardent admirers. Within Capital Markets, the “Market Knows Best” mantra influences the assumptions and conclusions of the Efficient Market Hypothesis (EMH)...