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A quantitative analysis of economic indicators on the performance of the Johannesburg Stock Exchange Industrial Index

  • Authors: Kussel, Craig Adam
  • Date: 2012-08-28
  • Subjects: Economic indicators - South Africa , Stock price indexes , Johannesburg Stock Exchange
  • Type: Mini-Dissertation
  • Identifier: uj:3327 , http://hdl.handle.net/10210/6729
  • Description: M.Comm. , The aim of this study was to assess the effect that economic indicators have had on the performance of the industrial index of the Johannesburg Stock Exchange.This study was motivated as a result of the growth in participation on the JSE by local investors, both private individuals and through vehicles such as unit trusts and foreigners.The results of this participation have been twofold.Firstly, there has been an expansion in market participants research divisions in order to gain a windfall by predicting events ex-ante. Secondly, the man in the street has become more aware of the relea'se of economic data as this may forewarn a change in his primary savings medium. This study analysed sixteen economic variables to assess if they had an impact on the industrial index.The variables were grouped into three categories. 1) Inflation, interest rates and their indicators which comprised the CPI, PPI, M3 Money Supply, Total Private Credit, the yield on the 15 year government bond and the predominant overdraft rate on current accounts. 2) GDP indicators, consisting of; building plans passed, building plans complete, new vehicle sales, retail sales, manufacturing production and 3) The Foreign sectors namely; the Rand Dollar exchange rate, the Sterling Rand exchange rate, the Dow Jones Industrial Average, the Standard and Poor's 500 index and the Financial Times 100 index. The framework used to analyse the performance of the index was Gordons Growth Model. The model maintains that the present value of a share is equal to the discounted expected future value. This meant that two variables had to be forecast, a discount rate and a growth rate. The purpose of the study was not however to look at a single share in isolation, but rather an index comprising many shares. Thus GDP indicators were taken as macro proxy for growth. Both long and short term interest rates were considered as a discount rate. In an attempt to make expectations about these variables endogenous indicators that may forewarn a change in interest rates were also included. The liberalisation taking place on South Africa's financial markets, and the integration into the world fold due to globalisation demanded that a more parochial view be adopted. Hence the analysis was expanded to include the foreign sector. This involved making use of the exchange rate as well as overseas indexes.
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A share trading strategy : the JSE using 50 and 200 day moving averages

  • Authors: Burlo, Adrian Vincent
  • Date: 2012-08-27
  • Subjects: Johannesburg Stock Exchange , Stock price forecasting
  • Type: Thesis
  • Identifier: uj:3170 , http://hdl.handle.net/10210/6586
  • Description: M.B.A , The aim of this dissertation is to determine if there is any evidence that supports a "50" and a "200" day moving average share trading strategy to select, buy and sell shares quoted on the Johannesburg Securities Exchange (JSE) Main Board, in order to determine if a "50" and a "200" day moving average share trading strategy will be appropriate to use, in order to make share trading profits in excess of the return generated by the JSE Overall Index. 1.4 0 .ACTIFVES o To evaluate fundamental analysis in respect of the quality of information (mainly at a company level) available to investors as the basis on which decisions to buy and sell shares are made. o To evaluate previous research undertaken in technical analysis with respect to the use and application of moving averages as a trading strategy in making share selections as well as buy and sell decisions. 14 Analyse historic price data on individual, randomly selected shares from the total population of all main board (1.6.5) listed shares quoted on the Johannesburg
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Addressing the pitfalls of linear regression models in predicting stock returns in South Africa : Bayesian and non-parametric models

  • Authors: Pane, Lucky
  • Date: 2016
  • Subjects: Johannesburg Stock Exchange , Stocks - Rate of return , Stocks - Mathematical models
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/215638 , uj:21441
  • Description: Abstract: This study examines the predictability of stock returns on the Johannesburg Stock Exchange (JSE) by comparing a linear parametric model to the non-parametric and Bayesian models. These two models are compared to the linear model, as they are believed to capture its shortcomings (normality assumption, endogeneity and persistence), particularly in predicting stock returns. The out-of-sample performance of these models is compared using the Predicted Mean Square Error (PMSE), Mean Absolute Error (MAE) and the Diebold-Mariana (DM) test. Predictability using the DM test is examined over a range of forecast horizons. In all three models, the JSE stock return data is regressed against the dividend yield, JIBAR, consumer price inflation, S&P 500 returns and FTSE returns. The variables were chosen based on model selection criteria and empirical evidence of their usefulness in other studies, as there is little theoretical guidance on appropriate variables for forecasting stock returns. Examining stock return predictability in South Africa is important as the majority of the literature on this topic focuses on developed markets (Kadilli 2014, Apall and Gaarde 2011, Masih et al. 2010, Campbell and Thompson 2007, amongst others). Results indicate that model performance in forecasting the JSE returns depends on the performance criteria used. Using the PMSE and MAE, the linear model is found to have better forecasting ability than the nonparametric model. This is because PMSE and MAE are more appropriate to use when model errors follow a normal distribution (Chai and Draxler 2014). However, using the DM test, the nonparametric model shows better forecasting ability, as this test is applicable to non-quadratic loss functions, multi-period forecasts, and forecast errors that are not normally distributed, non-zero mean and contemporaneously correlated. In comparing the linear model to the Bayesian model, the latter out-performs the former, when the PMSE and MAE are considered. However, the DM test shows that both these models have the same forecasting ability. , M.Com. (Financial Economics)
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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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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.
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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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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.
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Effects of final dividend announcements on share prices of companies of the FTSE/JSE Top 40 index

  • Authors: Coetzee, Alisha
  • Date: 2014-10-07
  • Subjects: Dividends , Johannesburg Stock Exchange , Stocks - Prices
  • Type: Thesis
  • Identifier: uj:12470 , http://hdl.handle.net/10210/12268
  • Description: M.Com. (Investment Management) , The study investigates the effects of final dividend announcements on the share prices of the FTSE/JSE Top 40 Index for the period 2003-2012. A classical event study methodology was applied to test the data. Over the sample period the Abnormal Returns (AR), Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) were calculated. The final sample consisted of 13 companies that included 144 dividend announcement events. The results indicated that although dividend announcements seem to have a positive effect on share prices, the returns yielded from these effects are not significant and close to zero. Evidence relating to the dividend signalling hypothesis was also present in the South African market.
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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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Evaluering van tegniese analise vir beleggings in genoteerde aandele

  • Authors: Van der Merwe, Petrus Johannes
  • Date: 2012-09-05
  • Subjects: Johannesburg Stock Exchange , Stocks - South Africa , Investments - South Africa
  • Type: Thesis
  • Identifier: uj:3618 , http://hdl.handle.net/10210/6997
  • Description: M.Comm. , The Johannesburg Stock Exchange provides an opportunity for investors to realise huge returns. A variety of tools are used by these investors to invest capital in shares for growth in excess of the market movement. Technical analysis is one of the techniques claimed by some parties to be the key aspect in investment decision making. A trading system can be derived from technical indicators to provide the investor with buying and selling signals. It is the objective of this investigation to make a judgement on the effectiveness of a few technical trading systems based on performance relative to the normal market movement. The trading systems under investigation are the basic moving average system, multiple moving average crossing system, real strength indicator system, multiple moving average convergence-divergence trading system, moving average chord system and the market momentum system. The results show that these trading systems all performed worse than the normal market movement on the 95% statistical confidence interval. It is therefore concluded that the use of technical analysis in isolation will not insure a good investment decision on the Johannesburg Stock Exchange.
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Herding behaviour in financial markets : empirical evidence from the Johannesburg Stock Exchange

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)
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On the modelling of ultra high frequency financial data on the Johannesburg Stock Exchange

  • Authors: Van Rooy, Herculaas Frederik
  • Date: 2008-07-07T09:27:52Z
  • Subjects: Finance , Time and economic reactions , Johannesburg Stock Exchange , Mathematical models
  • Type: Thesis
  • Identifier: uj:10238 , http://hdl.handle.net/10210/760
  • Description: This thesis considers the modelling of ultra high frequency (UHF) …nancial data from South African markets. The approach to be taken is that such irregularly spaced data can be viewed as a realization of a marked point process. We propose a statistical model that incorporates both the unequally spaced transaction times (the points) as well as the movements of the associated returns (the marks). In all data sets investigated, no change in the value of the mark accounts for more that half the observations. If “no change” is considered as the censoring of some underlying process, we can explicitly model both the censoring of marks and the underlying process by utilizing methods for Markov chains and missing values. All models considered hitherto in the literature assume homogeneity of structure within a UHF data set. Data analyses indicate strongly that such an assumption is not justi…ed. The proposed model aims to exploit this observation. The diurnal (time of day) e¤ect is a form of non-stationarity commonly found in UHF data sets. We show that the method currently considered standard practice is inadequate and we will propose modi…cations of it. Consideration is given to the classi…cation of heterogeneous subsets that arises naturally in UHF data, for instance daily subsets of a UHF data set. We …nd evidence in support of some market microstructure theories, but no theory is supported by all data sets considered. We pay attention to technical issues surrounding the application of certain tests to large samples. As large samples are common in UHF data sets methods that are sensitive to large sample size, for example the Ljung-Box test, are not suitable. , Professor Freek Lombard
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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...
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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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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.
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Shareholder protection and stock market development in South Africa

  • Authors: Thlako, Mmaudu Herman
  • Date: 2017
  • Subjects: Stockholders - South Africa , Stock exchanges - South Africa , Johannesburg Stock Exchange
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/272060 , uj:28947
  • Description: M.Com. (Finance) , Abstract: The purpose of this study is to examine the long-run relationship between shareholders’ protection and stock market development in South Africa, using time series data from 1975 to 2016. Shareholders’ protection rights were coded from the Companies Act of South Africa and the King Report on Corporate Governance in order to develop the Shareholder Protection Index (SPI). Stock market development was measured using the Johannesburg Stock Exchange (JSE) data, and the indicators include stock market capitalisation, total value of shares traded and the turnover ratio. In order to measure the long-term relationship or cointegration between these selected time series data, the Johansen cointegration test was performed. The study found that there is a cointegrated long-term relationship between shareholders’ protection rights and stock market development in South Africa. Furthermore, the study used a vector error correction model (VECM) to examine whether there is short- and long-term relationship between all the selected variables. The study found no short-term relationship between market capitalisation and the shareholder protection index, but did find short-term relationship between total value of shares traded and SPI. Lastly, the relationship between the turnover ratio and the SPI was examined and a short-term relationship between the two was found to exist.
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The ability of GARCH models in forecasting stock volatility on the JSE Limited

  • Authors: Mokoena, Tholoana
  • Date: 2016
  • Subjects: GARCH model , Stock exchanges , Forecasting , Johannesburg Stock Exchange
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/124226 , uj:20891
  • Description: Abstract: This study compares the fit and forecast performance of a selected group of parametric Generalised Autoregressive Conditional Heteroskedasticity GARCH (1, 1) models using various underlying distributions. The GARCH (1, 1) type models are empirically tested on the returns of the All Share Index (ALSI), a diversified portfolio of all the shares on the South African Johannesburg Stock Exchange (JSE). Estimates and forecasts generated by each model are compared and analysed to establish the validity and performance of the models. Forecasts given by the various GARCH (1, 1) models are bootstrapped and the efficiency of the models is also investigated through Value at Risk backtesting. The data used is composed of the returns of the ALSI from the 30th of September 2003 to the 14th of August 2013 and the data frequency is daily data. The best fitting distribution is the skewed normal distribution. With regards to the best fitting GARCH (1, 1) model, the E-GARCH (1, 1) model using the normal distribution performed best. The forecasting analysis showed the outperformance of the E-GARCH (1, 1) model and the best underlying distribution is the student’s t-distribution followed by the skewed normal distribution. , M.Com. (Financial Economics)
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The effectiveness of technical investment strategies for individual investors on the JSE Limited

  • Authors: Baard, Vaughan
  • Date: 2012-06-07
  • Subjects: Individual investors , Investment strategy , Moving average technical trading rules , Johannesburg Stock Exchange
  • Type: Mini-Dissertation
  • Identifier: uj:8692 , http://hdl.handle.net/10210/5046
  • Description: M. Comm. , This research considers if it is possible for an individual investor investing on the JSE to achieve returns greater than that of the market, represented by the Satrix 40 as a market proxy, by implementing an active investment strategy based on moving average technical trading rules. The moving average technical trading rules which were applied in the research were based on a previous study presented by Brock et al. (1992), but were applied in a South African context. Of the twenty-six different trading rules tested as part of the study, eight were found to achieve greater overall returns than the Satrix 40 over the sample period. The results of the study therefore suggest that it is possible for an investor to better the market returns, represented by the Satrix 40 as a market proxy, using certain moving average technical trading rules.
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The effects of financial liberalisation on the sustainable growth rate of dual listed companies on the JSE Limited

  • Authors: Serithi, Legoabe Tumelo
  • Date: 2014-06-10
  • Subjects: Capital market , Economic development , Sustainable development , JSE Limited , Johannesburg Stock Exchange , Dual listed companies
  • Type: Thesis
  • Identifier: uj:11438 , http://hdl.handle.net/10210/11134
  • Description: M.Com. (Financial Management) , In 1995, the South African government needed to address the widening poverty gap. The manner in which they would do so was through the process of financial market liberalisation of the JSE. The intention behind the process of financial liberalisation on the JSE was to increase the liquidity of the JSE. The significance of this study is that it would provide regulators of financial markets, policy makers and academics information on the effectiveness of the liberalisation of the JSE on dual listed companies’ ability to grow in a sustainable manner. Previous literature has found the risk sharing benefit associated with financial market liberalisation. With the increased number of participants in market would increase the chance of successful trades. Previous studies have found that there is a positive correlation with financial market liberalisation and market liquidity. Exchange controls have been put in place to prevent capital flight in sudden economic down turns. Certain studies have found that financial market liberalisation on has had minimal impact on the market capitalisation This study investigates the effects the financial liberalisation on the JSE had on dual listed companies’ sustainable growth rates. A purposive sampling technique was used in this study and a sample of 28 dual listed companies was selected. The approach to this study was an explanatory approach and the research paradigm was archival. The statistical tools which were utilised in the study were broken into two components, namely, the descriptive statistics and the inferential statistics. The data that were used in the study were secondary data collected from I-Net Bridge. The results of this study indicated that the financial liberalisation of the JSE did have an impact on the sustainable growth rates of dual listed companies on the JSE. Recommendations were made in this study for the dual listed companies to improve their net profit margins. The methods in which the dual listed companies are able to improve their net profit margins are by finding competitive sustainable advantages. It was further recommended that the Income Tax Act No. 58 of 1962 needs to be amended to create a conducive economic environment for the dual listed companies to grow sustainably. It was further recommended that the dual listed companies on the JSE invest in human capital in order to improve their sustainable growth rate.
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