The impact of dividend policy on share price volatility of JSE ALTX listed companies
- Authors: Pelcher, Lydia
- Date: 2017
- Subjects: Stocks - Prices , Dividends , JSE Limited , Johannesburg Stock Exchange , Corporations - Finance , Financial risk management
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/245925 , uj:25483
- Description: M.Com. (Financial Management) , Abstract: Share prices and dividends were considered as important factors in creating and increasing shareholders’ wealth. In some theories it was indicated that the existence of a relationship between share prices and dividends could be questioned. More important for companies and investors was the determination of a relationship between share price volatility and dividends. If such a relationship existed, companies could structure their dividend policy decisions to attain minimum share price volatility in order to attract maximum investor interest. This was especially important to small and medium-sized companies finding themselves in the early growth phase. The aim of this study was to determine whether a relationship existed between share price volatility and dividend policy for companies listed on the Alternative Exchange (AltX) on the Johannesburg Stock Exchange Limited (JSE Ltd). Dividend policy was measured through dividend yield and the dividend pay-out ratio. Share price volatility was regressed against dividend yield and the dividend pay-out ratio using panel data regression analysis to achieve this aim. Share price volatility was found to have a statistically significant and negative relationship with dividend yield, and a statistically insignificant relationship with the dividend pay-out ratio. The results indicated that a company could possibly reduce the share price volatility by using the dividend policy by declaring dividends, although the amount of dividends in relation to earnings were of little importance to investors of small to medium-sized companies. The results of this study therefore provided information that such companies could use to structure their dividend policy in such a way that share price volatility risk would be minimised, which in turn would promote optimum growth for investors.
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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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