ABSTRACT Given the rapidly changing nature of financial markets, volatility indices often influence the trading behaviour of market participants, as they identify market patterns, predict market risk and gauge market sentiment. This paper examines the effects of uncertainty on the expectations of South African white maize futures traders and on volatility at a daily level. Uncertainty effects are measured using three volatility indices: The SAVI Top 40, the SAVI Dollar and the SAVI White Maize. Investor expectations in the South African white maize futures market are proxied by three momentum indicators, the moving average convergence divergence (MACD), the relative strength index (RSI) and the rate of change (ROC). Volatility is estimated using a fitted GARCH (1,1) model of South African white maize futures closing prices. A time-varying vector autoregressive (VAR) framework is used to examine the reactions of each of the three momentum indicators to shocks from each of the three volatility indices. The results confirm that changes in uncertainty influence the expectations of South African white maize futures momentum traders; and that these resulting trades influence price movements, resulting in increased volatility.

中文翻译：

---

不确定性对南非白玉米期货市场投资者预期和波动的影响

摘要鉴于金融市场的瞬息万变，波动率指数通常会影响市场参与者的交易行为，因为他们确定市场模式，预测市场风险并衡量市场情绪。本文研究了不确定性对南非白玉米期货交易员的预期以及每日波动的影响。不确定性影响使用三个波动率指数来衡量：SAVI Top 40，SAVI Dollar和SAVI White Maize。南非白玉米期货市场的投资者期望通过三个动量指标来衡量，即移动平均趋同散度（MACD），相对强弱指数（RSI）和变化率（ROC）。波动率是使用南非白玉米期货收盘价的拟合GARCH（1,1）模型估算的。时变矢量自回归（VAR）框架用于检查三个动量指标中的每个指标对来自三个波动率指标中的每个指标的冲击的反应。结果证实，不确定性的变化会影响南非白玉米期货动量交易者的预期。并且这些交易会影响价格走势，从而导致波动加剧。