Equity price predictions of selected African emerging markets
- Authors: Kavenga, Dunmore
- Date: 2018
- Subjects: Forecasting - Marketing , Business cycles , Investment analysis , Economic forecasting , Money market
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403189 , uj:33773
- Description: Abstract : Predicting equity share prices could be useful to various stakeholders. The common methods used to forecast equity share price besides the naïve model are the Autoregressive Conditional Heteroskedasticity (ARCH) and General Autoregressive Conditional Heteroskedasticity (GARCH) models, however, no conclusion has been reached as to which model produces the most accurate predictions. In this research, ARCH and GARCH forecasting models (and their extended variants), as well as the Monte Carlo Simulation, were used to forecast price-weighted equity indices that were constructed from the South African, Nigerian, and Kenyan share markets. These three countries were selected based on their significance in the African continent due to the relative size of their economies and the liquidity of their share markets. The daily closing share prices for companies listed on the FTSE/JSE Top 40 Index, NSE Top 30 Index, and the NrSE Top 20 Index were collected between the 4th of January 2010 and the 30th of June 2015. The companies that were selected from each of these indices to construct the price-weighted indices for each country, were based on criteria to eliminate bias. Different autoregressive models were fitted for the mean equation. The EViews statistical programme was used to analyse the data. The ARCH effects were tested using the ARCH LM test. The ARCH/GARCH family models selected were GARCH (2,1), EGARCH (2,2), and EGARCH (2,1) for Nigeria, Kenya, and South Africa respectively. A Monte Carlo Simulation with 1 200 iterations was also performed to forecast the equity share prices. Post estimation and performance evaluation metrics were performed using the RMSE, MSE, MAD, and MAPE. The results based on the evaluation metrics indicated that the ARCH/GARCH models in-sample forecasts were more accurate than out-of-sample forecasts. The accuracy of the ARCH/GARCH models’ predictions was sounder than that of the Monte Carlo Simulation based on the evaluation metrics. Comparing the forecasting models to the actual graphs, in most cases the ARCH/GARCH models were closer to the actuals than the Monte Carlo II Simulation. The accuracy of the model predictions were also influenced by the sample size, the nature of the data, the leverage effect, and the macro economic conditions. In conclusion, the African equity markets cannot be predicted accurately using the ARCH/GARCH models and the Monte Carlo Simulation. The predictions from the forecasting models are not sufficiently accurate for investors, traders, and company management to use to make informed decisions. However, these predictions are better than the naïve model. The researcher also concluded that the markets are efficient, as the publicly available information cannot be used to gain abnormal returns. This study’s findings are similar to those of previous studies carried out in South Africa and globally. , M.Com. (Finance)
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- Authors: Kavenga, Dunmore
- Date: 2018
- Subjects: Forecasting - Marketing , Business cycles , Investment analysis , Economic forecasting , Money market
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403189 , uj:33773
- Description: Abstract : Predicting equity share prices could be useful to various stakeholders. The common methods used to forecast equity share price besides the naïve model are the Autoregressive Conditional Heteroskedasticity (ARCH) and General Autoregressive Conditional Heteroskedasticity (GARCH) models, however, no conclusion has been reached as to which model produces the most accurate predictions. In this research, ARCH and GARCH forecasting models (and their extended variants), as well as the Monte Carlo Simulation, were used to forecast price-weighted equity indices that were constructed from the South African, Nigerian, and Kenyan share markets. These three countries were selected based on their significance in the African continent due to the relative size of their economies and the liquidity of their share markets. The daily closing share prices for companies listed on the FTSE/JSE Top 40 Index, NSE Top 30 Index, and the NrSE Top 20 Index were collected between the 4th of January 2010 and the 30th of June 2015. The companies that were selected from each of these indices to construct the price-weighted indices for each country, were based on criteria to eliminate bias. Different autoregressive models were fitted for the mean equation. The EViews statistical programme was used to analyse the data. The ARCH effects were tested using the ARCH LM test. The ARCH/GARCH family models selected were GARCH (2,1), EGARCH (2,2), and EGARCH (2,1) for Nigeria, Kenya, and South Africa respectively. A Monte Carlo Simulation with 1 200 iterations was also performed to forecast the equity share prices. Post estimation and performance evaluation metrics were performed using the RMSE, MSE, MAD, and MAPE. The results based on the evaluation metrics indicated that the ARCH/GARCH models in-sample forecasts were more accurate than out-of-sample forecasts. The accuracy of the ARCH/GARCH models’ predictions was sounder than that of the Monte Carlo Simulation based on the evaluation metrics. Comparing the forecasting models to the actual graphs, in most cases the ARCH/GARCH models were closer to the actuals than the Monte Carlo II Simulation. The accuracy of the model predictions were also influenced by the sample size, the nature of the data, the leverage effect, and the macro economic conditions. In conclusion, the African equity markets cannot be predicted accurately using the ARCH/GARCH models and the Monte Carlo Simulation. The predictions from the forecasting models are not sufficiently accurate for investors, traders, and company management to use to make informed decisions. However, these predictions are better than the naïve model. The researcher also concluded that the markets are efficient, as the publicly available information cannot be used to gain abnormal returns. This study’s findings are similar to those of previous studies carried out in South Africa and globally. , M.Com. (Finance)
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Faster than the speed of law : evaluating the challenges faced in regulating algorithmic and high frequency trading
- Authors: Abrahams, Niyaaz
- Date: 2016
- Subjects: Electronic trading of securities , Algorithms , Program trading (Securities) , Investments , Stocks - Mathematical models , Investment analysis
- Language: English
- Type: Masters (Thesis)
- Identifier: http://ujcontent.uj.ac.za8080/10210/367483 , http://hdl.handle.net/10210/86891 , uj:19540
- Description: Abstract: This minor dissertation explores the highly technical world of algorithmic and high frequency trading. It provides a brief overview of the key concepts, benefits and market concerns surrounding these technologies. The dissertation looks at the multitude of challenges faced in attempting to regulate and investigate high frequency trading. Further, the current Financial Markets Act is evaluated to determine the extent of its effectiveness, in light of these new technologies. The dissertation then looks at the regulatory developments made in the European Union and determines whether South African regulation should follow suit. It finds that the perceived benefits of high frequency trading do not adequately outweigh the detrimental effects that these systems could cause. The Financial Markets Act is wholly insufficient in dealing with the new risks posed by these systems and it is therefore recommended that urgent regulatory changes are implemented. With so much investment being made in developing technology, innovative regulation has not been equally developed. It is concluded that without the implementation of better regulation, South African financial markets regulation will remain too slow to keep up with rapidly advancing financial markets. , LL.M. (Banking law)
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- Authors: Abrahams, Niyaaz
- Date: 2016
- Subjects: Electronic trading of securities , Algorithms , Program trading (Securities) , Investments , Stocks - Mathematical models , Investment analysis
- Language: English
- Type: Masters (Thesis)
- Identifier: http://ujcontent.uj.ac.za8080/10210/367483 , http://hdl.handle.net/10210/86891 , uj:19540
- Description: Abstract: This minor dissertation explores the highly technical world of algorithmic and high frequency trading. It provides a brief overview of the key concepts, benefits and market concerns surrounding these technologies. The dissertation looks at the multitude of challenges faced in attempting to regulate and investigate high frequency trading. Further, the current Financial Markets Act is evaluated to determine the extent of its effectiveness, in light of these new technologies. The dissertation then looks at the regulatory developments made in the European Union and determines whether South African regulation should follow suit. It finds that the perceived benefits of high frequency trading do not adequately outweigh the detrimental effects that these systems could cause. The Financial Markets Act is wholly insufficient in dealing with the new risks posed by these systems and it is therefore recommended that urgent regulatory changes are implemented. With so much investment being made in developing technology, innovative regulation has not been equally developed. It is concluded that without the implementation of better regulation, South African financial markets regulation will remain too slow to keep up with rapidly advancing financial markets. , LL.M. (Banking law)
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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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- 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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Perceived characteristics of security analysts : a market participant’s perspective
- Authors: Marynowska, Samantha Teresa
- Date: 2019
- Subjects: Portfolio management , Financial crises , Investment analysis
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414808 , uj:34999
- Description: Abstract: This study investigates the perceived characteristics of security analysts viewed by market participants, as vital in their decision making process, which leads to final investment decisions. The decision-making process is complicated by the elements that facilitate the accuracy of said security analysts. Many factors play a vital role in the competency portrayed by security analysts and thus market participants need to be aware of and evaluate such factors when selecting the relevant evaluations (or recommendations) provided to the public. A cross-sectional survey study methodology was applied to gather the relevant data. One hundred surveys were completed by South African market participants, which were collected and upon which the findings were based. The study focuses on eight categories that could possibly lead to a change in a market participants’ perspective of security analysts, mainly: (i) regulatory environment and conflicts of interest, (ii) information exchange, (iii) inherent bias, (iv) reporting standards, (v) incentives and optimism, (vi) experience and reputation, (vii) managerial guidance, and (viii) forecast drift. The results indicated that market participants, on average, would consult at least four analyst reports prior to making a final investment decision, and a majority would monitor their investments at least bi-quarterly. Furthermore, market participants are not more likely to purchase an investment that holds a buy recommendation to that of a hold or sell recommendation. A majority of market participants believe that conflicts of interest between buy-side and sell-side analysts exist, and would thus create overly optimistic investment recommendations. In addition, market participants believe that forecast accuracy is increased with each successive follower forecast made by security analysts. Analyst compensation, experience and reputation does influence the majority of market participants when making a final investment decision. Lastly the level of corporate governance and reporting standards upon which the recommendation is based also influences their final investment decision. This study could contribute to the growing body of research on investment, security analysts and market participants within South Africa. , M.Com. (Finance)
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- Authors: Marynowska, Samantha Teresa
- Date: 2019
- Subjects: Portfolio management , Financial crises , Investment analysis
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414808 , uj:34999
- Description: Abstract: This study investigates the perceived characteristics of security analysts viewed by market participants, as vital in their decision making process, which leads to final investment decisions. The decision-making process is complicated by the elements that facilitate the accuracy of said security analysts. Many factors play a vital role in the competency portrayed by security analysts and thus market participants need to be aware of and evaluate such factors when selecting the relevant evaluations (or recommendations) provided to the public. A cross-sectional survey study methodology was applied to gather the relevant data. One hundred surveys were completed by South African market participants, which were collected and upon which the findings were based. The study focuses on eight categories that could possibly lead to a change in a market participants’ perspective of security analysts, mainly: (i) regulatory environment and conflicts of interest, (ii) information exchange, (iii) inherent bias, (iv) reporting standards, (v) incentives and optimism, (vi) experience and reputation, (vii) managerial guidance, and (viii) forecast drift. The results indicated that market participants, on average, would consult at least four analyst reports prior to making a final investment decision, and a majority would monitor their investments at least bi-quarterly. Furthermore, market participants are not more likely to purchase an investment that holds a buy recommendation to that of a hold or sell recommendation. A majority of market participants believe that conflicts of interest between buy-side and sell-side analysts exist, and would thus create overly optimistic investment recommendations. In addition, market participants believe that forecast accuracy is increased with each successive follower forecast made by security analysts. Analyst compensation, experience and reputation does influence the majority of market participants when making a final investment decision. Lastly the level of corporate governance and reporting standards upon which the recommendation is based also influences their final investment decision. This study could contribute to the growing body of research on investment, security analysts and market participants within South Africa. , M.Com. (Finance)
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The asset allocation decision in managing the portfolios of small individual investors
- Authors: Du Bruyn, Gabriël Reinhold
- Date: 2011-12-06
- Subjects: Asset allocation , Investment analysis , Portfolio management , Risk
- Type: Mini-Dissertation
- Identifier: uj:1814 , http://hdl.handle.net/10210/4176
- Description: M.Comm.
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- Authors: Du Bruyn, Gabriël Reinhold
- Date: 2011-12-06
- Subjects: Asset allocation , Investment analysis , Portfolio management , Risk
- Type: Mini-Dissertation
- Identifier: uj:1814 , http://hdl.handle.net/10210/4176
- Description: M.Comm.
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The effectiveness of a technical analysis strategy versus a buy-and-hold strategy on the FTSE/JSE top 40 index shares of the JSE Ltd : the case of the Moving Average Convergence Divergence Indicator
- Authors: Du Plessis, Anton Wouter
- Date: 2013-05-27
- Subjects: Investment analysis , Moving Average Convergence Divergence Indicator , JSE Securities Exchange (South Africa)
- Type: Mini-Dissertation
- Identifier: uj:7550 , http://hdl.handle.net/10210/8408
- Description: M.Comm. (Financial Management) , This study compares two main investment strategies on the JSE Ltd for 2001 to 2010 on the FTSE/JSE Top 40 Index shares. The one strategy is the Fundamental Analysis strategy (Buy-and-hold) and the other is the Technical Analysis (MACD). It was found that within the limitations of this study, the Buy-and-hold investment strategy is more effective than the MACD investment strategy.
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- Authors: Du Plessis, Anton Wouter
- Date: 2013-05-27
- Subjects: Investment analysis , Moving Average Convergence Divergence Indicator , JSE Securities Exchange (South Africa)
- Type: Mini-Dissertation
- Identifier: uj:7550 , http://hdl.handle.net/10210/8408
- Description: M.Comm. (Financial Management) , This study compares two main investment strategies on the JSE Ltd for 2001 to 2010 on the FTSE/JSE Top 40 Index shares. The one strategy is the Fundamental Analysis strategy (Buy-and-hold) and the other is the Technical Analysis (MACD). It was found that within the limitations of this study, the Buy-and-hold investment strategy is more effective than the MACD investment strategy.
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