Cyber-attacks and IT governance disclosures of JSE listed financial institutions
- Authors: Hill, Callyn
- Date: 2021
- Subjects: Johannesburg Stock Exchange , Corporate governance , Cyberterrorism , Financial institutions
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/478360 , uj:43230
- Description: Abstract: Financial institutions worldwide are under constant pressure in the current financial climate to maintain technological safeguards that help combat cyber-attacks’ ever-prevalent risk. It is increasingly significant for financial institutions to identify and address their Information Technology (IT) weaknesses in IT security and governance to protect their financial holding and, most importantly, their stakeholders’ financial interests. The methods of identifying and mitigating IT weaknesses partially fall under the banner of the corporate governance of a company. In a South African context, the financial institutions listed on the Johannesburg Stock Exchange (JSE) are required to ensure that they are in compliance with the KING IV Code for all financial year ends starting on or after 1 April 2017. The KING IV Code requires all listed companies on the JSE to apply and explain all the principles of KING IV and report all required disclosures, such as the disclosures included in principle 12 relating to IT governance... , M.Com. (Computer Auditing)
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- Authors: Hill, Callyn
- Date: 2021
- Subjects: Johannesburg Stock Exchange , Corporate governance , Cyberterrorism , Financial institutions
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/478360 , uj:43230
- Description: Abstract: Financial institutions worldwide are under constant pressure in the current financial climate to maintain technological safeguards that help combat cyber-attacks’ ever-prevalent risk. It is increasingly significant for financial institutions to identify and address their Information Technology (IT) weaknesses in IT security and governance to protect their financial holding and, most importantly, their stakeholders’ financial interests. The methods of identifying and mitigating IT weaknesses partially fall under the banner of the corporate governance of a company. In a South African context, the financial institutions listed on the Johannesburg Stock Exchange (JSE) are required to ensure that they are in compliance with the KING IV Code for all financial year ends starting on or after 1 April 2017. The KING IV Code requires all listed companies on the JSE to apply and explain all the principles of KING IV and report all required disclosures, such as the disclosures included in principle 12 relating to IT governance... , M.Com. (Computer Auditing)
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The effect of capital structure choice on the profitability of selected JSE-listed General Retailers
- Authors: Hlahla, Billy
- Date: 2021
- Subjects: Johannesburg Stock Exchange , Corporations - Finance
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/485180 , uj:44092
- Description: Abstract: This study investigated the impact of capital structure choice on the profitability of selected JSE-listed General Retailers in South Africa from 2010 to 2018. Using panel regression analysis, this study examined the impact of capital structure on profitability of selected JSE listed General Retailers. The importance of managing capital structure has been stressed by corporate collapse due to mismanagement of debt, as seen in the global financial crisis of 2007-8. The final sample consisted of 11 JSE listed General Retailers. Return on equity (ROE) was used as a dependent variable to measure profitability. Short-term debt to total assets ratio (SDA), long-term debt to total assets ratio (LDA) and interest coverage ratio (ICR) were used as independent variables to represent capital structure. Firm size (LOGSIZE) was used as a control variable. The study used panel data regression with pooled, fixed effects and random effects. However, the final model selected according to the Hausman test was the fixed effects model. The outcomes of this study show a statistically insignificant but positive relationship between short-term debt to total assets ratio and profitability. A negative and statistically significant relationship was found between the ratio of long-term debt to total assets (LDA) and profitability (ROE). Furthermore, a negative and statistically insignificant relationship was found between the ratio of interest coverage ratio (ICR) and profitability (ROE). Firm size (LOGSIZE) had a negative and insignificant relationship with profitability (ROE). The study has shown that long-term debt has an inverse relationship with profitability. These outcomes are therefore contrary to the trade-off theory of capital structure which encourages companies to use more debt to fund the purchase of assets. This study has contributed to the existing literature on the impact of capital structure on the profitability of listed General Retailers since there are fewer studies conducted in this area in South Africa. The findings have important implications for policymakers, finance providers, entrepreneurs, and company managers alike. , M.Com. (Finance)
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The effect of capital structure choice on the profitability of selected JSE-listed General Retailers
- Authors: Hlahla, Billy
- Date: 2021
- Subjects: Johannesburg Stock Exchange , Corporations - Finance
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/485180 , uj:44092
- Description: Abstract: This study investigated the impact of capital structure choice on the profitability of selected JSE-listed General Retailers in South Africa from 2010 to 2018. Using panel regression analysis, this study examined the impact of capital structure on profitability of selected JSE listed General Retailers. The importance of managing capital structure has been stressed by corporate collapse due to mismanagement of debt, as seen in the global financial crisis of 2007-8. The final sample consisted of 11 JSE listed General Retailers. Return on equity (ROE) was used as a dependent variable to measure profitability. Short-term debt to total assets ratio (SDA), long-term debt to total assets ratio (LDA) and interest coverage ratio (ICR) were used as independent variables to represent capital structure. Firm size (LOGSIZE) was used as a control variable. The study used panel data regression with pooled, fixed effects and random effects. However, the final model selected according to the Hausman test was the fixed effects model. The outcomes of this study show a statistically insignificant but positive relationship between short-term debt to total assets ratio and profitability. A negative and statistically significant relationship was found between the ratio of long-term debt to total assets (LDA) and profitability (ROE). Furthermore, a negative and statistically insignificant relationship was found between the ratio of interest coverage ratio (ICR) and profitability (ROE). Firm size (LOGSIZE) had a negative and insignificant relationship with profitability (ROE). The study has shown that long-term debt has an inverse relationship with profitability. These outcomes are therefore contrary to the trade-off theory of capital structure which encourages companies to use more debt to fund the purchase of assets. This study has contributed to the existing literature on the impact of capital structure on the profitability of listed General Retailers since there are fewer studies conducted in this area in South Africa. The findings have important implications for policymakers, finance providers, entrepreneurs, and company managers alike. , M.Com. (Finance)
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Disclosure of sustainability development goals in the integrated reports of JSE listed companies
- Authors: Katuruza, Tashinga Victoria
- Date: 2020
- Subjects: Johannesburg Stock Exchange , Financial statements , Sustainable development
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/478384 , uj:43233
- Description: Abstract: The United Nations Sustainable Development Goals (hereafter UN’s SDGs) for 2030 call on all to contribute to ensuring a sustainable environment for the benefit of current and future generations, while the United Nations Global Compact appeals to businesses to take the lead in ensuring the achievement of Agenda 2030 by 2030. This study focused on understanding how the 23 JSE-listed companies that were selected for investigation contributed to the UN’s SDGs based on the disclosures they included in their integrated reports. Of the 23 companies, which represented the mining, banking, mobile telecommunications and general retail industries, only seven disclosed how they contributed to the UN’s SDGs. The 2019 integrated reports were analysed, and the results indicated that the companies understood the goals of Agenda 2030, which guided their contributions to the UN’s SDGs. This study highlighted ways in which different industries can work together towards achieving the UN’s SDGs, and this is encouraged by Goal 17: Partnerships for the goals. The disclosures included the reports of the selected companies can be used to define best practice which will ensure comparability and consistency. This study also suggested other avenues that can be explored in this field. , M.Com. (International Accounting)
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- Authors: Katuruza, Tashinga Victoria
- Date: 2020
- Subjects: Johannesburg Stock Exchange , Financial statements , Sustainable development
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/478384 , uj:43233
- Description: Abstract: The United Nations Sustainable Development Goals (hereafter UN’s SDGs) for 2030 call on all to contribute to ensuring a sustainable environment for the benefit of current and future generations, while the United Nations Global Compact appeals to businesses to take the lead in ensuring the achievement of Agenda 2030 by 2030. This study focused on understanding how the 23 JSE-listed companies that were selected for investigation contributed to the UN’s SDGs based on the disclosures they included in their integrated reports. Of the 23 companies, which represented the mining, banking, mobile telecommunications and general retail industries, only seven disclosed how they contributed to the UN’s SDGs. The 2019 integrated reports were analysed, and the results indicated that the companies understood the goals of Agenda 2030, which guided their contributions to the UN’s SDGs. This study highlighted ways in which different industries can work together towards achieving the UN’s SDGs, and this is encouraged by Goal 17: Partnerships for the goals. The disclosures included the reports of the selected companies can be used to define best practice which will ensure comparability and consistency. This study also suggested other avenues that can be explored in this field. , M.Com. (International Accounting)
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Empirical evidence of a systematic tail risk premium in the Johannesburg Stock Exchange
- Authors: Kouadio, Jean Joel Arnaud
- Date: 2020
- Subjects: Johannesburg Stock Exchange , Copulas (Mathematical statistics) , Extreme value theory , Financial risk
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/451433 , uj:39777
- Description: Abstract: This study defines systematic tail risk as a stock’s exposure to market tail events and assesses the impact of it on the cross section of returns from the Johannesburg Stock Exchange (JSE). To determine the extent to which systematic tail risk explains the cross section of returns in the JSE, the study estimates systematic tail risk by combining the statistical concepts of extreme value theory (EVT) and copula. Specifically, the study first characterizes stocks and market tail events under the Block model and subsequently proxies a stock’s systematic tail risk with parameter estimates of an extreme value copula fitted to the bivariate Generalized Extreme Value (GEV) distribution of stock and market tail events. Based on data on JSE All Share Index companies, provided by the JSE for the period of January 2002 through June 2018, results of the traditional asset pricing portfolios formation and crosssectional regressions show that the extreme value copula parameter adequately captures systematic tail risk in the JSE. More importantly, the results support the existence of a systematic tail risk premium in the JSE. Interestingly, the effect of systematic tail risk on the cross section of returns is time-varying and independent from that of risk measures such as beta and downside beta and firm characteristics such as book-to-market (BTM) ratio, size and past returns. In addition, the results provide evidence on the negative impact of the 2008 Global Financial Crisis on crash aversion in the JSE. The practical relevance of these results is of an utmost importance for both academics and finance professionals. The findings implicitly provide support for the downside risk framework as a legitimate perspective on investors’ perception of risk in equity markets and reveal a need to reconsider somehow disfavoured portfolio theories such as the safety-first criterion for asset pricing endeavours. , M.Com. (Financial Economics)
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- Authors: Kouadio, Jean Joel Arnaud
- Date: 2020
- Subjects: Johannesburg Stock Exchange , Copulas (Mathematical statistics) , Extreme value theory , Financial risk
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/451433 , uj:39777
- Description: Abstract: This study defines systematic tail risk as a stock’s exposure to market tail events and assesses the impact of it on the cross section of returns from the Johannesburg Stock Exchange (JSE). To determine the extent to which systematic tail risk explains the cross section of returns in the JSE, the study estimates systematic tail risk by combining the statistical concepts of extreme value theory (EVT) and copula. Specifically, the study first characterizes stocks and market tail events under the Block model and subsequently proxies a stock’s systematic tail risk with parameter estimates of an extreme value copula fitted to the bivariate Generalized Extreme Value (GEV) distribution of stock and market tail events. Based on data on JSE All Share Index companies, provided by the JSE for the period of January 2002 through June 2018, results of the traditional asset pricing portfolios formation and crosssectional regressions show that the extreme value copula parameter adequately captures systematic tail risk in the JSE. More importantly, the results support the existence of a systematic tail risk premium in the JSE. Interestingly, the effect of systematic tail risk on the cross section of returns is time-varying and independent from that of risk measures such as beta and downside beta and firm characteristics such as book-to-market (BTM) ratio, size and past returns. In addition, the results provide evidence on the negative impact of the 2008 Global Financial Crisis on crash aversion in the JSE. The practical relevance of these results is of an utmost importance for both academics and finance professionals. The findings implicitly provide support for the downside risk framework as a legitimate perspective on investors’ perception of risk in equity markets and reveal a need to reconsider somehow disfavoured portfolio theories such as the safety-first criterion for asset pricing endeavours. , M.Com. (Financial Economics)
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The impact of economic factors on the share price of JSE listed retail companies
- Authors: Khadi, Tshenuwani
- Date: 2020
- Subjects: Industries - South Africa - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/478392 , uj:43234
- Description: Abstract: The retail sector is vital to the South African economy in terms of GDP and employment. However, the sector has been in decline recently and has lost close to 20% of its market capitalisation in the past three years. This study attempts to explain what drives the perception of value in the sector, by investigating the factors that impact performance in the JSE listed retail companies. The findings suggest that retailers need to focus on both company-specific factors and changing macroeconomic factors to ensure good performance. Sales volume growth attracts investment. Smaller retailers perform better than large caps in the longer term but are more affected during economic downturns than large caps. The positive and significant relationship between debt to equity ratio and the share price suggests that retailers are not penalised when increasing their leveraged ratios. However, retailers should protect themselves from problems by putting a ceiling on debt they acquire... , M.Com. (Finance)
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- Authors: Khadi, Tshenuwani
- Date: 2020
- Subjects: Industries - South Africa - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/478392 , uj:43234
- Description: Abstract: The retail sector is vital to the South African economy in terms of GDP and employment. However, the sector has been in decline recently and has lost close to 20% of its market capitalisation in the past three years. This study attempts to explain what drives the perception of value in the sector, by investigating the factors that impact performance in the JSE listed retail companies. The findings suggest that retailers need to focus on both company-specific factors and changing macroeconomic factors to ensure good performance. Sales volume growth attracts investment. Smaller retailers perform better than large caps in the longer term but are more affected during economic downturns than large caps. The positive and significant relationship between debt to equity ratio and the share price suggests that retailers are not penalised when increasing their leveraged ratios. However, retailers should protect themselves from problems by putting a ceiling on debt they acquire... , M.Com. (Finance)
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The performance of volatility models in forecasting the share returns of the industrial sector on the Johannesburg Stock Exchange
- Authors: Bere, Tafara
- Date: 2020
- Subjects: Economic forecasting , Dividends - Forecasting , Earning per share - Forecasting , GARCH model , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/485092 , uj:44081
- Description: Abstract: This study looks at the performance of volatility models in forecasting share returns of the Industrial sector on the JSE. The major goal of the study is to determine which volatility model produces better forecast results of share returns and also to see which volatility model performs better between a symmetric model and an asymmetric model. In general, share return forecasting presents significant implications for market participants especially those whose major focus is on risk-adjusted returns. Having the ability to forecast tomorrow’s share return accurately provides an edge for market participants in making sound investment decisions. However, achieving a precise prediction in volatile markets such as stock markets is a challenging issue. Share prices are random variables and this feature makes it difficult to predict their returns accurately. Currently, the GARCH models are the most popular volatility models for forecasting share returns and have been used extensively by researchers in developed countries though there has been a lack of consensus as to which volatility model produces better forecast results. In this study, four volatility models were used and these include: ARMA (1,1), GARCH (1,1), T-GARCH (0,2) and an E-GARCH (2,2) model. From these four models, an ARMA (1,1) model was used as a benchmark model against the other three models. The major reason why these four models were selected for the study is that the best forecast results have come from either one of the four models. Two types of sample forecast namely In-sample and out-of-sample forecast were conducted to determine which volatility model produced better forecast results. The results of the study indicate that an ARMA (1,1) benchmark model outperformed all the other three family of GARCH models in a pseudo out-of sample forecast. On the other hand, a GARCH (1,1) model performed slightly better than the EGARCH (2,2) and TGARCH (0,2) models. These results are aligned with some of the studies in South Africa and abroad. , M.Com. (Finance)
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- Authors: Bere, Tafara
- Date: 2020
- Subjects: Economic forecasting , Dividends - Forecasting , Earning per share - Forecasting , GARCH model , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/485092 , uj:44081
- Description: Abstract: This study looks at the performance of volatility models in forecasting share returns of the Industrial sector on the JSE. The major goal of the study is to determine which volatility model produces better forecast results of share returns and also to see which volatility model performs better between a symmetric model and an asymmetric model. In general, share return forecasting presents significant implications for market participants especially those whose major focus is on risk-adjusted returns. Having the ability to forecast tomorrow’s share return accurately provides an edge for market participants in making sound investment decisions. However, achieving a precise prediction in volatile markets such as stock markets is a challenging issue. Share prices are random variables and this feature makes it difficult to predict their returns accurately. Currently, the GARCH models are the most popular volatility models for forecasting share returns and have been used extensively by researchers in developed countries though there has been a lack of consensus as to which volatility model produces better forecast results. In this study, four volatility models were used and these include: ARMA (1,1), GARCH (1,1), T-GARCH (0,2) and an E-GARCH (2,2) model. From these four models, an ARMA (1,1) model was used as a benchmark model against the other three models. The major reason why these four models were selected for the study is that the best forecast results have come from either one of the four models. Two types of sample forecast namely In-sample and out-of-sample forecast were conducted to determine which volatility model produced better forecast results. The results of the study indicate that an ARMA (1,1) benchmark model outperformed all the other three family of GARCH models in a pseudo out-of sample forecast. On the other hand, a GARCH (1,1) model performed slightly better than the EGARCH (2,2) and TGARCH (0,2) models. These results are aligned with some of the studies in South Africa and abroad. , M.Com. (Finance)
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The relationship between board characteristics and dividend payment policies in JSE top 40 listed companies
- Authors: Nharo, Tatenda
- Date: 2020
- Subjects: Johannesburg Stock Exchange , Stock exchanges - South Africa , Dividends
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/474964 , uj:42829
- Description: Abstract: There are mixed findings on the factors that impact dividend payout in emerging market economies. It is well established in literature that corporate governance affects the level of dividends paid out by a firm. Even so, it remains unclear whether dividend payout is an outcome or a substitute of effective governance... , M.Com. (Finance)
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- Authors: Nharo, Tatenda
- Date: 2020
- Subjects: Johannesburg Stock Exchange , Stock exchanges - South Africa , Dividends
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/474964 , uj:42829
- Description: Abstract: There are mixed findings on the factors that impact dividend payout in emerging market economies. It is well established in literature that corporate governance affects the level of dividends paid out by a firm. Even so, it remains unclear whether dividend payout is an outcome or a substitute of effective governance... , M.Com. (Finance)
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Determinants of capital structure for retailing firms on the JSE
- Authors: Tazvivinga, Julie Elsie
- Date: 2019
- Subjects: Corporations - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/423735 , uj:36211
- Description: Abstract: Though capital structure studies have become increasingly important in the field of finance, very few studies have been carried out in developing countries. Research has shown that capital structure determinants can be industry specific. The main purpose of this study is to examine the determinants of capital structure for listed retailing firms on the JSE, a securities exchange market in South Africa. Building on previous capital structure studies, the main research question was formulated as: What are the factors that influence the capital structure of listed retailing firms on the JSE? A panel regression analysis was used with growth opportunities, tangibility, liquidity, firm size, firm age and profitability as independent variables, and capital structure as the dependent variable. Quantitative data was collected across 17 retailing firms listed on the JSE from 2009 to 2018. Results indicate firm size, firm age, profitability, growth opportunities and tangibility as the significant determinants of capital structure for listed retailing firms. Support is shown for both the trade-off theory and pecking order theory. Liquidity was found to be insignificant. , M.Com. (Finance)
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- Authors: Tazvivinga, Julie Elsie
- Date: 2019
- Subjects: Corporations - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/423735 , uj:36211
- Description: Abstract: Though capital structure studies have become increasingly important in the field of finance, very few studies have been carried out in developing countries. Research has shown that capital structure determinants can be industry specific. The main purpose of this study is to examine the determinants of capital structure for listed retailing firms on the JSE, a securities exchange market in South Africa. Building on previous capital structure studies, the main research question was formulated as: What are the factors that influence the capital structure of listed retailing firms on the JSE? A panel regression analysis was used with growth opportunities, tangibility, liquidity, firm size, firm age and profitability as independent variables, and capital structure as the dependent variable. Quantitative data was collected across 17 retailing firms listed on the JSE from 2009 to 2018. Results indicate firm size, firm age, profitability, growth opportunities and tangibility as the significant determinants of capital structure for listed retailing firms. Support is shown for both the trade-off theory and pecking order theory. Liquidity was found to be insignificant. , M.Com. (Finance)
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Risk-return nexus in a GARCH-M framework : empirical evidence from the South African stock market
- Authors: Morahanye, Hlompho
- Date: 2019
- Subjects: Financial risk management , Johannesburg Stock Exchange , GARCH model
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414319 , uj:34939
- Description: Abstract: This paper studies the association between risk and returns in the Johannesburg Stock Exchange. In particular, the study is interested in modelling this relationship during periods of high volatility with special reference to the 2007-2009 financial crises. The objective is to highlight the effect that a high volatility period might have on the relationship. To achieve this objective, daily data for the market index, JSE Top 40 and the two JSE sectoral indices for the period 1/1/2004 to 3/5/2017 are used. The GARCHM, E-GARCH-M and TARCH-M models and the same aforementioned models with dummy variables to account for two volatility regimes are used. The CAPM prediction that the expected return on a stock above the risk-free rate is positive is not supported by the study. The tests conducted to examine the relationship observed that the risk premiums were either positive but insignificant, or negative and significant, which is inconsistent with the theory. The observed outcomes indicate that the risk premium is not necessarily positive, even after accounting for different regimes. These results are generally in line with observations made by other authors who investigated the relationship within the South African context. The findings of this paper are useful in financial decision-making, such as in providing investors with information on which sectors to invest in based on their risk appetite, as well as providing information regarding the performance of the different stocks in the market in terms of risk and return. , M.Com. (Financial Economics)
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- Authors: Morahanye, Hlompho
- Date: 2019
- Subjects: Financial risk management , Johannesburg Stock Exchange , GARCH model
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414319 , uj:34939
- Description: Abstract: This paper studies the association between risk and returns in the Johannesburg Stock Exchange. In particular, the study is interested in modelling this relationship during periods of high volatility with special reference to the 2007-2009 financial crises. The objective is to highlight the effect that a high volatility period might have on the relationship. To achieve this objective, daily data for the market index, JSE Top 40 and the two JSE sectoral indices for the period 1/1/2004 to 3/5/2017 are used. The GARCHM, E-GARCH-M and TARCH-M models and the same aforementioned models with dummy variables to account for two volatility regimes are used. The CAPM prediction that the expected return on a stock above the risk-free rate is positive is not supported by the study. The tests conducted to examine the relationship observed that the risk premiums were either positive but insignificant, or negative and significant, which is inconsistent with the theory. The observed outcomes indicate that the risk premium is not necessarily positive, even after accounting for different regimes. These results are generally in line with observations made by other authors who investigated the relationship within the South African context. The findings of this paper are useful in financial decision-making, such as in providing investors with information on which sectors to invest in based on their risk appetite, as well as providing information regarding the performance of the different stocks in the market in terms of risk and return. , M.Com. (Financial Economics)
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The relationship between corporate governance board characteristics and financial performance of South African JSE listed companies in the construction and building materials sector
- Authors: Jingura, Netsayi Landie
- Date: 2019
- Subjects: Corporate governance , Corporations - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403161 , uj:33770
- Description: Abstract : The relationship between corporate performance and governance practices goes back for centuries yet is still relevant today, in the modern corporate environment. While corporate governance is argued to be an agency cost, as it curbs managers’ self-interest, it is believed to increase company performance as it inspires group effort from all stakeholders. Corporate governance describes the mechanisms in place to ensure that management is taking appropriate steps, policies and procedures to protect every stakeholder’s interest in the company. The study is an investigation on the relationship between corporate governance board of directors and company performance. Board of directors’ characteristics were represented by board size, board independence, Chief Executive Officer (CEO) tenure, CEO compensation and CEO duality while company performance measures were represented by Return on Equity (ROE), Return on Assets (ROA) and Net Profit Margin (NPM). The study used panel regression analysis to estimate a sample of 12 South African public companies in the construction and building materials sector of the Johannesburg Stock Exchange for the period of 2011 to 2016. The size and leverage of a company were considered as control variables. The findings indicated no significant relationship between board independence, board size and CEO duality but did find a direct significant relationship between CEO tenure and CEO remuneration and company performance. The research also found a statistically significant inverse relationship between leverage and company size and performance of the company. This research is a useful aid to the comprehension of board characteristics affecting company performance in South Africa and improving corporate governance principles to eliminate corporate scandals that are crippling economies globally. , M.Com. (Finance)
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- Authors: Jingura, Netsayi Landie
- Date: 2019
- Subjects: Corporate governance , Corporations - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403161 , uj:33770
- Description: Abstract : The relationship between corporate performance and governance practices goes back for centuries yet is still relevant today, in the modern corporate environment. While corporate governance is argued to be an agency cost, as it curbs managers’ self-interest, it is believed to increase company performance as it inspires group effort from all stakeholders. Corporate governance describes the mechanisms in place to ensure that management is taking appropriate steps, policies and procedures to protect every stakeholder’s interest in the company. The study is an investigation on the relationship between corporate governance board of directors and company performance. Board of directors’ characteristics were represented by board size, board independence, Chief Executive Officer (CEO) tenure, CEO compensation and CEO duality while company performance measures were represented by Return on Equity (ROE), Return on Assets (ROA) and Net Profit Margin (NPM). The study used panel regression analysis to estimate a sample of 12 South African public companies in the construction and building materials sector of the Johannesburg Stock Exchange for the period of 2011 to 2016. The size and leverage of a company were considered as control variables. The findings indicated no significant relationship between board independence, board size and CEO duality but did find a direct significant relationship between CEO tenure and CEO remuneration and company performance. The research also found a statistically significant inverse relationship between leverage and company size and performance of the company. This research is a useful aid to the comprehension of board characteristics affecting company performance in South Africa and improving corporate governance principles to eliminate corporate scandals that are crippling economies globally. , M.Com. (Finance)
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Investors’ trading behaviour, stock selection and portfolio optimisation
- Authors: Ababio, Kofi Agyarko
- Date: 2018
- Subjects: Stock exchanges - South Africa - Johannesburg , Johannesburg Stock Exchange
- Language: English
- Type: Doctoral (Thesis)
- Identifier: http://hdl.handle.net/10210/283003 , uj:30507
- Description: Abstract: The thesis investigates the existence of herding behaviour in the Johannesburg Stock Exchange. In addition, adopting a descriptive theory of decision-making, the thesis explores the possibility of adding value to investors‟ portfolio by investing solely in stocks driven by human mentality and psychology. Data were obtained from the INET BFA Expert - Iress Database and comprised the universe of listed stocks in the financial industry of the Johannesburg Stock Exchange spanning the period from January 2010 to October 2016. The thesis is organised in two phases and contributes to the field of financial economics specifically behavioural economics and portfolio management and bridges the gap between the two fields. The thesis offers an intuitive and a psychologically corroborated descriptive investment strategy capable of adding value to investors‟ portfolio. While the first phase of the thesis highlights and describes key investor behaviours which are largely at variance with the rational assumption documented in the behavioural economics literature, the second phase incorporates investors‟ psychology in the stock selection and portfolio optimisation. The two initial empirical chapters (i.e. Chapter 3 & Chapter 4) were primarily devoted to searching evidence of herding behaviour in the Johannesburg Stock Exchange1. Three advanced methodologies were adopted in testing evidence of herding behaviour. Chapter 5, the last empirical chapter adopts a descriptive decision theory, the Cumulative Prospect Theory and the Mean-Variance portfolio optimisation criterion to optimise and evaluate classified and formulated portfolios based on the Cumulative Prospect Theory. Following Chapter 2 the literature review, Chapter 3 tested evidence of herding behaviour both at the industry and the sectoral levels adopting the quantile regression model. At the sectoral level, herding behaviour showed asymmetry. While investors in the banking sector exhibited the herding behaviour during the bear market phase, in the real estate sector, investors suffered from the behavioural bias during the bull market phase. However, in the entire financial industry, the results showed evidence of herding behaviour during the bull market phase only. Likewise, Chapter 4 compared results of two conventional approaches with the Bayesian model in testing evidence of herding behaviour. Apart from the insurance sector, the results showed evidence of herding behaviour in the rest of the sectors during the bear and the bull market phases using the conventional approaches. Similarly, using the conventional approaches and the Bayesian models, investors in the entire financial industry showed evidence of herding behaviour. Portfolio optimisation results in the last empirical chapter consistently showed that stocks with extremely lower Cumulative Prospect Theory values outperformed stocks with extremely higher Cumulative Prospect Theory values. The results further established the superiority of the Cumulative Prospect Theory as an empirically corroborated theory of decision-making with rich psychological content. , Ph.D. (Economics)
- Full Text:
- Authors: Ababio, Kofi Agyarko
- Date: 2018
- Subjects: Stock exchanges - South Africa - Johannesburg , Johannesburg Stock Exchange
- Language: English
- Type: Doctoral (Thesis)
- Identifier: http://hdl.handle.net/10210/283003 , uj:30507
- Description: Abstract: The thesis investigates the existence of herding behaviour in the Johannesburg Stock Exchange. In addition, adopting a descriptive theory of decision-making, the thesis explores the possibility of adding value to investors‟ portfolio by investing solely in stocks driven by human mentality and psychology. Data were obtained from the INET BFA Expert - Iress Database and comprised the universe of listed stocks in the financial industry of the Johannesburg Stock Exchange spanning the period from January 2010 to October 2016. The thesis is organised in two phases and contributes to the field of financial economics specifically behavioural economics and portfolio management and bridges the gap between the two fields. The thesis offers an intuitive and a psychologically corroborated descriptive investment strategy capable of adding value to investors‟ portfolio. While the first phase of the thesis highlights and describes key investor behaviours which are largely at variance with the rational assumption documented in the behavioural economics literature, the second phase incorporates investors‟ psychology in the stock selection and portfolio optimisation. The two initial empirical chapters (i.e. Chapter 3 & Chapter 4) were primarily devoted to searching evidence of herding behaviour in the Johannesburg Stock Exchange1. Three advanced methodologies were adopted in testing evidence of herding behaviour. Chapter 5, the last empirical chapter adopts a descriptive decision theory, the Cumulative Prospect Theory and the Mean-Variance portfolio optimisation criterion to optimise and evaluate classified and formulated portfolios based on the Cumulative Prospect Theory. Following Chapter 2 the literature review, Chapter 3 tested evidence of herding behaviour both at the industry and the sectoral levels adopting the quantile regression model. At the sectoral level, herding behaviour showed asymmetry. While investors in the banking sector exhibited the herding behaviour during the bear market phase, in the real estate sector, investors suffered from the behavioural bias during the bull market phase. However, in the entire financial industry, the results showed evidence of herding behaviour during the bull market phase only. Likewise, Chapter 4 compared results of two conventional approaches with the Bayesian model in testing evidence of herding behaviour. Apart from the insurance sector, the results showed evidence of herding behaviour in the rest of the sectors during the bear and the bull market phases using the conventional approaches. Similarly, using the conventional approaches and the Bayesian models, investors in the entire financial industry showed evidence of herding behaviour. Portfolio optimisation results in the last empirical chapter consistently showed that stocks with extremely lower Cumulative Prospect Theory values outperformed stocks with extremely higher Cumulative Prospect Theory values. The results further established the superiority of the Cumulative Prospect Theory as an empirically corroborated theory of decision-making with rich psychological content. , Ph.D. (Economics)
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Sector specific long-run relationships between leverage and P/E ratios of companies listed on the FTSE JSE Top 40 Index
- Authors: Pedlar, Ashley Carin
- Date: 2018
- Subjects: JSE Limited , Johannesburg Stock Exchange , Stocks - South Africa - Rate of return
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282343 , uj:30411
- Description: M.Com. (Investment Management) , Abstract: The relationship between leverage and normalised diluted trailing P/E ratios of firms listed on the FTSE JSE Top 40 Index was analysed. This study makes use of VAR analysis and VECMs to analyse whether there is a long-run relationship between the two variables. This study aims to provide insight on: (1) the distribution of the leverage and P/E ratios; (2) what influence the business cycle may have on leverage and P/E ratios; (3) the nature of any long-run relationships between leverage and P/E ratios of companies with respect to their specific sectors; and (4) the foundation for further research into the incorporation of leverage into valuation metrics. The data were separated for the purpose of analysis into their applicable sectors. The sectors included for analysis were: Basic Materials, Consumer Defensive, Energy, Financial Services, Industrials and Technology. Where applicable, the nature of any relationship was analysed further through the use of impulse responses and variance decomposition. The analysis highlights the variation between different sectors and their metrics, and reaffirms the importance of analysing the sectors in isolation from each other. The most conclusive results were found within the Basic Materials, Consumer Defensive and Industrials sectors. The data within the Basic Materials and Industrials sector showed that the P/E ratio was more endogenous than leverage. Leverage settled at a higher equilibrium for the Basic Materials sector and lower equilibrium for the Industrials sector, post a shock to leverage. Shocks for both sectors will result in a lower equilibrium level for price and earnings. The P/E ratio for the Basic Materials sector settles back at its initial equilibrium and the P/E ratio for the Industrials sector settles at a new equilibrium. A long-run relationship was found within the Consumer Defensive sector, with leverage being the more endogenous variable. This study provides a basis for further research into the relationship between sector leverage and P/E ratios. Additional analysis into relationships between core firm fundamentals and firm value would be beneficial. It also aims to provide a foundation for the incorporation of the findings of this study into the construction of a new or adjusted P/E ratio that can be used comparatively between different sectors of the JSE.
- Full Text:
- Authors: Pedlar, Ashley Carin
- Date: 2018
- Subjects: JSE Limited , Johannesburg Stock Exchange , Stocks - South Africa - Rate of return
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282343 , uj:30411
- Description: M.Com. (Investment Management) , Abstract: The relationship between leverage and normalised diluted trailing P/E ratios of firms listed on the FTSE JSE Top 40 Index was analysed. This study makes use of VAR analysis and VECMs to analyse whether there is a long-run relationship between the two variables. This study aims to provide insight on: (1) the distribution of the leverage and P/E ratios; (2) what influence the business cycle may have on leverage and P/E ratios; (3) the nature of any long-run relationships between leverage and P/E ratios of companies with respect to their specific sectors; and (4) the foundation for further research into the incorporation of leverage into valuation metrics. The data were separated for the purpose of analysis into their applicable sectors. The sectors included for analysis were: Basic Materials, Consumer Defensive, Energy, Financial Services, Industrials and Technology. Where applicable, the nature of any relationship was analysed further through the use of impulse responses and variance decomposition. The analysis highlights the variation between different sectors and their metrics, and reaffirms the importance of analysing the sectors in isolation from each other. The most conclusive results were found within the Basic Materials, Consumer Defensive and Industrials sectors. The data within the Basic Materials and Industrials sector showed that the P/E ratio was more endogenous than leverage. Leverage settled at a higher equilibrium for the Basic Materials sector and lower equilibrium for the Industrials sector, post a shock to leverage. Shocks for both sectors will result in a lower equilibrium level for price and earnings. The P/E ratio for the Basic Materials sector settles back at its initial equilibrium and the P/E ratio for the Industrials sector settles at a new equilibrium. A long-run relationship was found within the Consumer Defensive sector, with leverage being the more endogenous variable. This study provides a basis for further research into the relationship between sector leverage and P/E ratios. Additional analysis into relationships between core firm fundamentals and firm value would be beneficial. It also aims to provide a foundation for the incorporation of the findings of this study into the construction of a new or adjusted P/E ratio that can be used comparatively between different sectors of the JSE.
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The impact of capital structure on financial performance of the financial services sector on the JSE
- Authors: Du Plessis, Darius
- Date: 2018
- Subjects: Capital investments , Corporations - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/295810 , uj:32220
- Description: Abstract: The focus of this paper is to determine the impact of capital structure on the performance of companies listed in the financial sector of the Johannesburg Stock Exchange (JSE). Determining if capital structure influences the profitability of this sector is the first step in defining the optimal capital structure of companies of this sector. If a model of the optimal structure can be determined, supported by relevant capital structure theories, best practice would dictate acceptance and use of such a model. As the financial sector acts as an intermediary for the economy of a country, it is one of the fundamental elements that supports economic growth. If this sector’s capacity and capabilities can be increased, it will lead to an improvement in the performance of this sector, which will thus be better suited to serve the needs of the country’s economy. There are different capital structure theories that could hold sway in the financial sector in a South African context; these theories are the underlying theoretical framework on which this study is based. A quantitative approach, in the form of a Panel Data Analysis, is employed. This makes use of proxy variables that represent profitability (dependent variables) and capital structure (independent variables). It was found that the major influencer of profitability of companies on the financial sector was the total debt that is part of their capital structure as well as their overall size. Although this reflects elements that are applicable within several different capital structure theories, it is the first time that these elements have been discussed in the financial sector context, as a whole, in South Africa. These variables are thus key elements in determining optimal capital structure for South African financial companies. , M.Com. (Finance)
- Full Text:
The impact of capital structure on financial performance of the financial services sector on the JSE
- Authors: Du Plessis, Darius
- Date: 2018
- Subjects: Capital investments , Corporations - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/295810 , uj:32220
- Description: Abstract: The focus of this paper is to determine the impact of capital structure on the performance of companies listed in the financial sector of the Johannesburg Stock Exchange (JSE). Determining if capital structure influences the profitability of this sector is the first step in defining the optimal capital structure of companies of this sector. If a model of the optimal structure can be determined, supported by relevant capital structure theories, best practice would dictate acceptance and use of such a model. As the financial sector acts as an intermediary for the economy of a country, it is one of the fundamental elements that supports economic growth. If this sector’s capacity and capabilities can be increased, it will lead to an improvement in the performance of this sector, which will thus be better suited to serve the needs of the country’s economy. There are different capital structure theories that could hold sway in the financial sector in a South African context; these theories are the underlying theoretical framework on which this study is based. A quantitative approach, in the form of a Panel Data Analysis, is employed. This makes use of proxy variables that represent profitability (dependent variables) and capital structure (independent variables). It was found that the major influencer of profitability of companies on the financial sector was the total debt that is part of their capital structure as well as their overall size. Although this reflects elements that are applicable within several different capital structure theories, it is the first time that these elements have been discussed in the financial sector context, as a whole, in South Africa. These variables are thus key elements in determining optimal capital structure for South African financial companies. , M.Com. (Finance)
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The impact of capital structure on the financial performance of listed South African construction companies
- Authors: Kurambwi, Louis
- Date: 2018
- Subjects: Construction industry - South Africa - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403225 , uj:33778
- Description: Abstract : This study investigated the impact of capital structure on the financial performance of South African construction companies listed on the Johannesburg Stock Exchange (JSE). Short-term Debt to Total Assets Ratio (STDTA), Long-term Debt to Total Assets Ratio (LTDTA) and Interest Cover Ratio (ICR) were used as independent variables proxying capital structure whilst Return on Assets (ROA), Return on Equity (ROE) and Tobin’s Q (TOBIN) were used as dependent variables representing financial performance to determine the impact of capital structure on financial performance. The final sample consisted of nine companies in the South African construction sector that were listed on the JSE. Annual data for seven years from 2011 to 2017 was collected from the audited consolidated financial statements of these companies and was examined using a panel regression analysis. The Hausman test was conducted to select the final model between the fixed effects model and random effects model. Size in terms of sales growth was noted to have a positive impact on financial performance as represented by ROA, thus construction companies’ management ought to come up with strategies that improve sales. Both STDTA and LTDTA had no impact on TOBIN whilst ICR had no impact on the companies’ financial performance. However ROA and ROE were inversely related to both STDTA and LTDTA. The study indicates to stakeholders that debt needs to be managed properly since it has the power to adversely affect the company’s financial performance. The results of the study are therefore contrary to the trade-off theory that advocates the use of debt to enhance financial performance through tax deductions. The study contributes to existing literature on finance, especially in the context of African emerging economies such as South Africa. , M.Com. (Finance)
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- Authors: Kurambwi, Louis
- Date: 2018
- Subjects: Construction industry - South Africa - Finance , Johannesburg Stock Exchange
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403225 , uj:33778
- Description: Abstract : This study investigated the impact of capital structure on the financial performance of South African construction companies listed on the Johannesburg Stock Exchange (JSE). Short-term Debt to Total Assets Ratio (STDTA), Long-term Debt to Total Assets Ratio (LTDTA) and Interest Cover Ratio (ICR) were used as independent variables proxying capital structure whilst Return on Assets (ROA), Return on Equity (ROE) and Tobin’s Q (TOBIN) were used as dependent variables representing financial performance to determine the impact of capital structure on financial performance. The final sample consisted of nine companies in the South African construction sector that were listed on the JSE. Annual data for seven years from 2011 to 2017 was collected from the audited consolidated financial statements of these companies and was examined using a panel regression analysis. The Hausman test was conducted to select the final model between the fixed effects model and random effects model. Size in terms of sales growth was noted to have a positive impact on financial performance as represented by ROA, thus construction companies’ management ought to come up with strategies that improve sales. Both STDTA and LTDTA had no impact on TOBIN whilst ICR had no impact on the companies’ financial performance. However ROA and ROE were inversely related to both STDTA and LTDTA. The study indicates to stakeholders that debt needs to be managed properly since it has the power to adversely affect the company’s financial performance. The results of the study are therefore contrary to the trade-off theory that advocates the use of debt to enhance financial performance through tax deductions. The study contributes to existing literature on finance, especially in the context of African emerging economies such as South Africa. , M.Com. (Finance)
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The predictability of share return volatility on the JSE limited
- Authors: Van Jaarsveld, Paul Anrich
- Date: 2018
- Subjects: Johannesburg Stock Exchange , Economic forecasting , Stocks - Rate of return , GARCH model
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/272271 , uj:28975
- Description: M.Com. (Finance) , Abstract: Predicting share return volatility accurately in financial markets has become increasingly important, as it offers investors, market analysts and risk managers the ability to correctly price financial instruments, effectively manage portfolios and conduct accurate risk assessments. The most popular method to predict this volatility is by using GARCH models, but there is no consensus as to which model offers the most accurate forecasts for volatility. Factors such as sample size, country characteristics and the leverage effect all have an influence in determining which model delivers the most accurate forecasts for volatility of share returns. The goal of this study is to determine how accurately share returns can be predicted by using GARCH, GJR GARCH and EGARCH models as well as a benchmark ARMA model. In-sample and out-of-sample forecasts will be conducted to determine which model offers the most accurate forecast of share returns on the JSE Top 40 Index. Results indicated that the ARMA (1,2) model produced the most accurate in-sample forecast, while the asymmetric EGARCH (2,1) produced the most accurate out-of-sample forecast. These findings are consistent with those from other South African studies.
- Full Text:
- Authors: Van Jaarsveld, Paul Anrich
- Date: 2018
- Subjects: Johannesburg Stock Exchange , Economic forecasting , Stocks - Rate of return , GARCH model
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/272271 , uj:28975
- Description: M.Com. (Finance) , Abstract: Predicting share return volatility accurately in financial markets has become increasingly important, as it offers investors, market analysts and risk managers the ability to correctly price financial instruments, effectively manage portfolios and conduct accurate risk assessments. The most popular method to predict this volatility is by using GARCH models, but there is no consensus as to which model offers the most accurate forecasts for volatility. Factors such as sample size, country characteristics and the leverage effect all have an influence in determining which model delivers the most accurate forecasts for volatility of share returns. The goal of this study is to determine how accurately share returns can be predicted by using GARCH, GJR GARCH and EGARCH models as well as a benchmark ARMA model. In-sample and out-of-sample forecasts will be conducted to determine which model offers the most accurate forecast of share returns on the JSE Top 40 Index. Results indicated that the ARMA (1,2) model produced the most accurate in-sample forecast, while the asymmetric EGARCH (2,1) produced the most accurate out-of-sample forecast. These findings are consistent with those from other South African studies.
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An empirical analysis of the use of the can–do futures in agricultural commodity silo auction market : the case of the South African hedge funds
- Authors: Mataboge, Mpho
- Date: 2017
- Subjects: Hedge funds - South Africa , Johannesburg Stock Exchange , Basel III (2010)
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/271980 , uj:28938
- Description: M.Com. (Financial Economics) , Abstract: Since the 2008/09 financial crisis, hedge funds have been criticised for their excessive risk taking and lack of transparency involved in their trading strategies, facilitated by OTC derivatives. Basel III guidelines saw countries adopting stricter regulations to control for these risks, which led to increased costs of leverage – or initial margin – associated with the use of OTC derivatives. In addition, these regulations prohibit the ownership of physical commodities for South African hedge funds in particular. These regulations make it difficult for a South African hedge fund to participate in the JSE’s silo auction market for profit making opportunities. This study demonstrates a practical application of how a product offering from the JSE, called the ‘can-do’ future, allows hedge funds to participate in this market, thereby allowing them to trade basis. The study finds that initial margin is a key feature in profit making. Comparing the initial margin set by the JSE, and calculating using Basel guidelines, it appears cheaper to obtain leverage using an exchange cleared future such as the can-do, compared to a similar type of OTC derivative. As banks are not bound to follow Basel guidelines, the study goes further, to explore how initial margin calculated using 1-day VaR estimated by Historical simulation, Parametric and Monte-Carlo simulation methods compare. It is revealed that, should a bank opt to use these alternate methods of quantifying initial margin, the Historical method produces the cheapest and most accurate initial margin.
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- Authors: Mataboge, Mpho
- Date: 2017
- Subjects: Hedge funds - South Africa , Johannesburg Stock Exchange , Basel III (2010)
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/271980 , uj:28938
- Description: M.Com. (Financial Economics) , Abstract: Since the 2008/09 financial crisis, hedge funds have been criticised for their excessive risk taking and lack of transparency involved in their trading strategies, facilitated by OTC derivatives. Basel III guidelines saw countries adopting stricter regulations to control for these risks, which led to increased costs of leverage – or initial margin – associated with the use of OTC derivatives. In addition, these regulations prohibit the ownership of physical commodities for South African hedge funds in particular. These regulations make it difficult for a South African hedge fund to participate in the JSE’s silo auction market for profit making opportunities. This study demonstrates a practical application of how a product offering from the JSE, called the ‘can-do’ future, allows hedge funds to participate in this market, thereby allowing them to trade basis. The study finds that initial margin is a key feature in profit making. Comparing the initial margin set by the JSE, and calculating using Basel guidelines, it appears cheaper to obtain leverage using an exchange cleared future such as the can-do, compared to a similar type of OTC derivative. As banks are not bound to follow Basel guidelines, the study goes further, to explore how initial margin calculated using 1-day VaR estimated by Historical simulation, Parametric and Monte-Carlo simulation methods compare. It is revealed that, should a bank opt to use these alternate methods of quantifying initial margin, the Historical method produces the cheapest and most accurate initial margin.
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Capital raising options of JSE listed companies across the business cycle
- Authors: Botha, Jacques
- Date: 2017
- Subjects: Johannesburg Stock Exchange , Business cycles - South Africa , Debt - South Africa , Equity - South Africa , Corporations - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/271811 , uj:28916
- Description: M.Com. (Financial Management) , Abstract: Economic theory suggests that macroeconomic conditions affect an Issuers ability to issue debt or equity capital securities during certain phases of the business cycle. The two main arguments for this are the demand and supply of capital. The demand for capital argument is associated with an increase in equity securities relative to debt during the expansion phase of the business cycle, due to information asymmetries. The supply of capital argument, on the other hand, affects both the availability of funds and shifts investors’ preferences towards safer securities such as debt during tough economic conditions. This study evaluates both the demand and supply of capital for Issuers listed on the JSE by investigating the issuing debt or equity securities to raise capital across the South African business cycle. The findings indicate that a greater number of equity issuances were experienced during the recession phase of the business cycle. The results further highlight that security issuance patterns are not consistent with the flight-to-quality theory, as the shift of investors’ preferences towards safer securities during the deteriorating macroeconomic conditions is not affected.
- Full Text:
- Authors: Botha, Jacques
- Date: 2017
- Subjects: Johannesburg Stock Exchange , Business cycles - South Africa , Debt - South Africa , Equity - South Africa , Corporations - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/271811 , uj:28916
- Description: M.Com. (Financial Management) , Abstract: Economic theory suggests that macroeconomic conditions affect an Issuers ability to issue debt or equity capital securities during certain phases of the business cycle. The two main arguments for this are the demand and supply of capital. The demand for capital argument is associated with an increase in equity securities relative to debt during the expansion phase of the business cycle, due to information asymmetries. The supply of capital argument, on the other hand, affects both the availability of funds and shifts investors’ preferences towards safer securities such as debt during tough economic conditions. This study evaluates both the demand and supply of capital for Issuers listed on the JSE by investigating the issuing debt or equity securities to raise capital across the South African business cycle. The findings indicate that a greater number of equity issuances were experienced during the recession phase of the business cycle. The results further highlight that security issuance patterns are not consistent with the flight-to-quality theory, as the shift of investors’ preferences towards safer securities during the deteriorating macroeconomic conditions is not affected.
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Determinants of dividend payout for the financial and consumer goods sectors on the JSE
- Authors: Fusire, Tafadzwa Oswell
- Date: 2017
- Subjects: Dividends - South Africa , Profit , Johannesburg Stock Exchange , Financial services industry - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/272714 , uj:29041
- Description: M.Com. (Financial Management) , Abstract: This study seeks to develop a better understanding of the determinants of cash dividend payout in South Africa. Latest trends in the Sub-Saharan region indicate that the agency cost and free cashflow theories best explain the dividend policies in the region. The objective of this study is to test the applicability of these theories for a South African context together with an examination of the possible impact of the macroeconomic factors, taxation and profitability on the dividend policies. The focus is on firms in the consumer goods sector and the financial sector on the Johannesburg Stock Exchange over a period from 1988 to 2016 to capture the long run relationships. Using Panel regression, the results suggest that there is a significant difference in the determinants of dividend payout between the two sectors. The agency cost and free cashflow theories explain the dividend payout for the financial sector where leverage, dividend tax, previous dividend and current profitability explain the dividend decision for the consumer goods sector. GDP per capita is a common determinant for both sectors though in inverse relationships. The results mirror those found in other developing economies and the study has contributed to the growing body of knowledge on the determinants of cash dividend payout in South Africa.
- Full Text:
- Authors: Fusire, Tafadzwa Oswell
- Date: 2017
- Subjects: Dividends - South Africa , Profit , Johannesburg Stock Exchange , Financial services industry - South Africa
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/272714 , uj:29041
- Description: M.Com. (Financial Management) , Abstract: This study seeks to develop a better understanding of the determinants of cash dividend payout in South Africa. Latest trends in the Sub-Saharan region indicate that the agency cost and free cashflow theories best explain the dividend policies in the region. The objective of this study is to test the applicability of these theories for a South African context together with an examination of the possible impact of the macroeconomic factors, taxation and profitability on the dividend policies. The focus is on firms in the consumer goods sector and the financial sector on the Johannesburg Stock Exchange over a period from 1988 to 2016 to capture the long run relationships. Using Panel regression, the results suggest that there is a significant difference in the determinants of dividend payout between the two sectors. The agency cost and free cashflow theories explain the dividend payout for the financial sector where leverage, dividend tax, previous dividend and current profitability explain the dividend decision for the consumer goods sector. GDP per capita is a common determinant for both sectors though in inverse relationships. The results mirror those found in other developing economies and the study has contributed to the growing body of knowledge on the determinants of cash dividend payout in South Africa.
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Herding behaviour in financial markets : empirical evidence from the Johannesburg Stock Exchange
- Ababio, Kofi A., Muteba Mwamba, John W.
- Authors: Ababio, Kofi A. , Muteba Mwamba, John W.
- Date: 2017
- Subjects: Behavioural finance , Herding behaviour , Johannesburg Stock Exchange
- Language: English
- Type: Article
- Identifier: http://hdl.handle.net/10210/240292 , uj:24719 , Citation: Ababio, K.A. & Muteba Mwamba, J.W. 2017. Herding behaviour in financial markets : empirical evidence from the Johannesburg Stock Exchange.
- Description: Abstract: Please refer to full text to view abstract
- Full Text:
- Authors: Ababio, Kofi A. , Muteba Mwamba, John W.
- Date: 2017
- Subjects: Behavioural finance , Herding behaviour , Johannesburg Stock Exchange
- Language: English
- Type: Article
- Identifier: http://hdl.handle.net/10210/240292 , uj:24719 , Citation: Ababio, K.A. & Muteba Mwamba, J.W. 2017. Herding behaviour in financial markets : empirical evidence from the Johannesburg Stock Exchange.
- Description: Abstract: Please refer to full text to view abstract
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Optimal cross hedging relationships of internationally priced commodities in the South African context
- Authors: Le Roux, Corlise Liesl
- Date: 2017
- Subjects: Commodity futures , Hedging (Finance) , Johannesburg Stock Exchange , Investment analysis , Money - South Africa
- Language: English
- Type: Doctoral (Thesis)
- Identifier: http://hdl.handle.net/10210/271730 , uj:28906
- Description: Ph.D. (Finance) , Abstract: Commodities, which are a type of alternative investment, do not follow the normal characteristics of traditional investments. Because commodities do not act the same as traditional investments, the use of commodities for diversification purposes arises. Commodities can be used in normal investment decisions, which allows financial participants to improve the selection of assets included in an investment portfolio and ensure that returns are protected to some extent. Commodities have shown continuously changing co-movement over the last twenty-five years. This development has made investment decisions related to commodities more difficult and therefore resulted in more risk being present within the alternative investment class. Commodities have also shown a shift in fundamental behaviour over time, which results in findings that are not necessarily applicable to current market conditions. A second development that has occurred over the last ten to fifteen years is the financialisation of commodities as financial participants demand more investment opportunities. Without an understanding of the interaction of commodities with other financial variables or between other commodities, commodities as investment assets are limited and underutilised. The financialisation of commodities has emphasised the market efficiency related to commodities. The market efficiency has increased over the last decade as the speed of market reactions as well as the quantity of information to the market increased. These two concepts have made investing within traditional investments more difficult. With fewer traditional investment opportunities, investors have started searching for opportunities in other parts of the financial market, which has allowed alternative investments to develop as quickly as they have. Commodities have allowed for another avenue for diversification as well as hedging opportunities...
- Full Text:
- Authors: Le Roux, Corlise Liesl
- Date: 2017
- Subjects: Commodity futures , Hedging (Finance) , Johannesburg Stock Exchange , Investment analysis , Money - South Africa
- Language: English
- Type: Doctoral (Thesis)
- Identifier: http://hdl.handle.net/10210/271730 , uj:28906
- Description: Ph.D. (Finance) , Abstract: Commodities, which are a type of alternative investment, do not follow the normal characteristics of traditional investments. Because commodities do not act the same as traditional investments, the use of commodities for diversification purposes arises. Commodities can be used in normal investment decisions, which allows financial participants to improve the selection of assets included in an investment portfolio and ensure that returns are protected to some extent. Commodities have shown continuously changing co-movement over the last twenty-five years. This development has made investment decisions related to commodities more difficult and therefore resulted in more risk being present within the alternative investment class. Commodities have also shown a shift in fundamental behaviour over time, which results in findings that are not necessarily applicable to current market conditions. A second development that has occurred over the last ten to fifteen years is the financialisation of commodities as financial participants demand more investment opportunities. Without an understanding of the interaction of commodities with other financial variables or between other commodities, commodities as investment assets are limited and underutilised. The financialisation of commodities has emphasised the market efficiency related to commodities. The market efficiency has increased over the last decade as the speed of market reactions as well as the quantity of information to the market increased. These two concepts have made investing within traditional investments more difficult. With fewer traditional investment opportunities, investors have started searching for opportunities in other parts of the financial market, which has allowed alternative investments to develop as quickly as they have. Commodities have allowed for another avenue for diversification as well as hedging opportunities...
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