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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- 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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Volatility spill-over between the Rand foreign exchange market and the JSE/FTSE Top 40
- Authors: Oberholzer, Neil
- Date: 2011
- Subjects: Foreign exchange , Foreign exchange market , JSE Limited , Investments
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/54694 , uj:16248
- Description: M.Com.(Finance and Investment Management) , Abstract: Please refer to full text to view abstract
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- Authors: Oberholzer, Neil
- Date: 2011
- Subjects: Foreign exchange , Foreign exchange market , JSE Limited , Investments
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/54694 , uj:16248
- Description: M.Com.(Finance and Investment Management) , Abstract: Please refer to full text to view abstract
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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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- 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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The optimum leverage for listed companies on the Johannesburg Securities Exchange
- Authors: Snaith, N.J.G.
- Date: 2014-10-08
- Subjects: Stock exchanges - South Africa , Corporations - Finance , JSE Limited , JSE Securities Exchange South Africa
- Type: Thesis
- Identifier: uj:12548 , http://hdl.handle.net/10210/12340
- Description: M.Com. (Business Management) , The capital structure of a company depends on the degree of debt used. Companies use debt to trade of tax shields and financial distress costs. At the margin where these equate, the optimal capital structure is reached. This optimal capital structure has been determined for each size of market capitalisation on the Johannesburg Securities Exchange. The capital structure theories of the static trade-off theory, pecking order and signalling model theory are highlighted in relation to company determinants such as size, asset structure, profitability and growth opportunities. A sample of 35 companies was used for each market capitalization for the period 2003 to 2009. The researcher uses a bar graph to display the average price to book value (P/BV) in sequential intervals for each degree of leverage in order to determine the optimal capital structure. The research shows that the optimum leverage for small market capitalisations was reached with a DIE ratio of 0.75-1 and for medium and large market capitalisations between 1.01-1.25.
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- Authors: Snaith, N.J.G.
- Date: 2014-10-08
- Subjects: Stock exchanges - South Africa , Corporations - Finance , JSE Limited , JSE Securities Exchange South Africa
- Type: Thesis
- Identifier: uj:12548 , http://hdl.handle.net/10210/12340
- Description: M.Com. (Business Management) , The capital structure of a company depends on the degree of debt used. Companies use debt to trade of tax shields and financial distress costs. At the margin where these equate, the optimal capital structure is reached. This optimal capital structure has been determined for each size of market capitalisation on the Johannesburg Securities Exchange. The capital structure theories of the static trade-off theory, pecking order and signalling model theory are highlighted in relation to company determinants such as size, asset structure, profitability and growth opportunities. A sample of 35 companies was used for each market capitalization for the period 2003 to 2009. The researcher uses a bar graph to display the average price to book value (P/BV) in sequential intervals for each degree of leverage in order to determine the optimal capital structure. The research shows that the optimum leverage for small market capitalisations was reached with a DIE ratio of 0.75-1 and for medium and large market capitalisations between 1.01-1.25.
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Modelling the term structure of implied volatility stock options on the JSE Limited
- Authors: Gina, Sikelela
- Date: 2015
- Subjects: JSE Limited , Econometrics , Stock options , Economic forecasting
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/70329 , uj:17989
- Description: Abstract: This paper models the implied volatility skew of the JSE Top 40 options, with the aim of producing useful forecasts for option traders based on weekly historical data over a 388 week period. The comovements of implied volatility for 51 rates moneyness, ranging from out-of-the money to in-themoney are statistically investigated. The dissertation demonstrates that the 51 rates of moneyness can be reduced to fewer dimensions of three uncorrelated variables known as principal components. These variables account for the trend, slop and curvature of the implied volatility skew, which on average, explain more than 99% of the movements of the implied volatility skew across the study sample. Instead of forecasting the volatility skew using the 51 rates of moneyness, the three principal components are forecasted using ARMA models, and results of forecasts are transformed to forecasted implied volatility. The out-of-sample accuracy of these models is tested against actual observed figures, and was found to correctly predict both the sign and magnitude 57.5% of the time. To illustrate the applicability of this research, an example was used to show the benefit of such forecast. The approach used in the research is easily transferable to the term structure as well, which can potentially give a better understanding of the entire implied volatility surface. , M.Com. (Financial Economics in Economics and Econometrics)
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- Authors: Gina, Sikelela
- Date: 2015
- Subjects: JSE Limited , Econometrics , Stock options , Economic forecasting
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/70329 , uj:17989
- Description: Abstract: This paper models the implied volatility skew of the JSE Top 40 options, with the aim of producing useful forecasts for option traders based on weekly historical data over a 388 week period. The comovements of implied volatility for 51 rates moneyness, ranging from out-of-the money to in-themoney are statistically investigated. The dissertation demonstrates that the 51 rates of moneyness can be reduced to fewer dimensions of three uncorrelated variables known as principal components. These variables account for the trend, slop and curvature of the implied volatility skew, which on average, explain more than 99% of the movements of the implied volatility skew across the study sample. Instead of forecasting the volatility skew using the 51 rates of moneyness, the three principal components are forecasted using ARMA models, and results of forecasts are transformed to forecasted implied volatility. The out-of-sample accuracy of these models is tested against actual observed figures, and was found to correctly predict both the sign and magnitude 57.5% of the time. To illustrate the applicability of this research, an example was used to show the benefit of such forecast. The approach used in the research is easily transferable to the term structure as well, which can potentially give a better understanding of the entire implied volatility surface. , M.Com. (Financial Economics in Economics and Econometrics)
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A historical analysis of electronic trading system implementation: the case of the Johannesburg Stock Exchange (1990-2000)
- Authors: Strydom, Nicolaas Tjaart
- Date: 2014-06-10
- Subjects: Electronic trading of securities , JSE Limited , JSE Securities Exchange South Africa
- Type: Thesis
- Identifier: uj:11442 , http://hdl.handle.net/10210/11138
- Description: M.Com. (Financial Management) , Electronic trading systems are increasingly implemented by stock exchanges instead of maintaining the traditional floor trading system. This study uses the Historical case study method to examine original minute book volumes from the archives of the Johannesburg Stock Exchange (JSE). The purpose of the study is to identify and examine the antecedents and consequences of the shift to an electronic trading system in the case of the JSE from 1989 to 2000. The study also produces an accurate historical account of the process that the JSE underwent to implement an electronic trading system, for use in further studies concerning the shift from floor to electronic trading. The main antecedents identified in the study were the JSE’s need to automate menial tasks; the need for increased trading capacity; the need for proper information dissemination; the need to dematerialise physical share certificates; international trends with regard to electronic trading; the T + 3 clearing and settlement standard; the establishment of South Africa’s National Payment System; legislative changes to the Securities Exchange Control Act; the need for market liquidity; and the need for investor protection. The main consequences of the abolishment of the floor trading system in favour of the electronic trading system were examined and grouped in four categories, namely the consequences for society, the consequences for the operation of the stock market, the consequences for the liquidity of the market, and the consequences for investor protection. The results of this study could be used as a foundation for a follow-up study to measure the effects of electronic trading implementation on the liquidity and efficiency of a stock market.
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- Authors: Strydom, Nicolaas Tjaart
- Date: 2014-06-10
- Subjects: Electronic trading of securities , JSE Limited , JSE Securities Exchange South Africa
- Type: Thesis
- Identifier: uj:11442 , http://hdl.handle.net/10210/11138
- Description: M.Com. (Financial Management) , Electronic trading systems are increasingly implemented by stock exchanges instead of maintaining the traditional floor trading system. This study uses the Historical case study method to examine original minute book volumes from the archives of the Johannesburg Stock Exchange (JSE). The purpose of the study is to identify and examine the antecedents and consequences of the shift to an electronic trading system in the case of the JSE from 1989 to 2000. The study also produces an accurate historical account of the process that the JSE underwent to implement an electronic trading system, for use in further studies concerning the shift from floor to electronic trading. The main antecedents identified in the study were the JSE’s need to automate menial tasks; the need for increased trading capacity; the need for proper information dissemination; the need to dematerialise physical share certificates; international trends with regard to electronic trading; the T + 3 clearing and settlement standard; the establishment of South Africa’s National Payment System; legislative changes to the Securities Exchange Control Act; the need for market liquidity; and the need for investor protection. The main consequences of the abolishment of the floor trading system in favour of the electronic trading system were examined and grouped in four categories, namely the consequences for society, the consequences for the operation of the stock market, the consequences for the liquidity of the market, and the consequences for investor protection. The results of this study could be used as a foundation for a follow-up study to measure the effects of electronic trading implementation on the liquidity and efficiency of a stock market.
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The development of black women owned investment organisations holding equity in JSE Listed Companies
- Authors: Ratsoma, Lerato
- Date: 2017
- Subjects: Business enterprises, Black , Women-owned business enterprises , Women, Black , Investments , JSE Limited
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/262106 , uj:27658
- Description: M.Com. (Business Management) , Abstract: Entrepreneurship has been identified as being critical for economic growth and lowering the unemployment rate (NDP, 2012). However, despite the efforts by government in supporting the development of entrepreneurship, the activity rates remain low, GDP is contracting and unemployment rates continue to grow. Black people and women, despite their majority status in the economy, continue to lag behind as demonstrated in their participation levels in the labour force. A lot of literature regarding entrepreneurship is based on small informal traders, which limits the information that is available that can be used to better spot the gaps in how entrepreneurs are supported to engender growth and sustainability. The purpose of this research was to explore the development of black women owned companies who have succeeded, to assess what they attribute their success to, as well as assess the level of assistance received from government initiatives. The investments sector was chosen as it is high growth industry based on the returns offered by JSE listed companies. Black women were chosen as a focus as they were the most marginalised in the South African context. A secondary data analysis was undertaken to determine exactly what their level of involvement was in the industry in terms of representation and identity who the entities are. The analysis found 16 Black Women Owned investment organisations involved in multiple transactions, and found that they were involved in approximately 9.6 per cent of the recorded transactions while women in general were represented in 15.8 per cent of those transactions. Qualitative semi-structured interviews were carried out with three of these entities to better understand how they navigated the early years of their businesses, and the level of involvement in government initiatives aimed at supporting SME’s. Content analysis was utilised to analyse the data from the transcripts, based on the entrepreneurial framework as developed by Baron and Henry (2011) and applied to women entrepreneurs by Sullivan and Meek (2012). The findings were that the South African women entrepreneurs in this industry were generally pulled into the industry by opportunities that were present. They were able to assess the opportunities mainly...
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The development of black women owned investment organisations holding equity in JSE Listed Companies
- Authors: Ratsoma, Lerato
- Date: 2017
- Subjects: Business enterprises, Black , Women-owned business enterprises , Women, Black , Investments , JSE Limited
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/262106 , uj:27658
- Description: M.Com. (Business Management) , Abstract: Entrepreneurship has been identified as being critical for economic growth and lowering the unemployment rate (NDP, 2012). However, despite the efforts by government in supporting the development of entrepreneurship, the activity rates remain low, GDP is contracting and unemployment rates continue to grow. Black people and women, despite their majority status in the economy, continue to lag behind as demonstrated in their participation levels in the labour force. A lot of literature regarding entrepreneurship is based on small informal traders, which limits the information that is available that can be used to better spot the gaps in how entrepreneurs are supported to engender growth and sustainability. The purpose of this research was to explore the development of black women owned companies who have succeeded, to assess what they attribute their success to, as well as assess the level of assistance received from government initiatives. The investments sector was chosen as it is high growth industry based on the returns offered by JSE listed companies. Black women were chosen as a focus as they were the most marginalised in the South African context. A secondary data analysis was undertaken to determine exactly what their level of involvement was in the industry in terms of representation and identity who the entities are. The analysis found 16 Black Women Owned investment organisations involved in multiple transactions, and found that they were involved in approximately 9.6 per cent of the recorded transactions while women in general were represented in 15.8 per cent of those transactions. Qualitative semi-structured interviews were carried out with three of these entities to better understand how they navigated the early years of their businesses, and the level of involvement in government initiatives aimed at supporting SME’s. Content analysis was utilised to analyse the data from the transcripts, based on the entrepreneurial framework as developed by Baron and Henry (2011) and applied to women entrepreneurs by Sullivan and Meek (2012). The findings were that the South African women entrepreneurs in this industry were generally pulled into the industry by opportunities that were present. They were able to assess the opportunities mainly...
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A comparative analysis of the performance of the FTSE/JSE TOP 40 and the JSE alternative indices for optimised investor returns
- Authors: Tchatchouang, Julie Raissa
- Date: 2017
- Subjects: JSE Limited , Stocks - South Africa - Rate of return
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282987 , uj:30504
- Description: M.Com. (Financial Management) , Abstract: The main purpose of this research study is to compare the performance of companies listed on the Top 40 Index and the AltX Index of the JSE Ltd. The study also looks at the companies that had better returns with less risk on both the AltX Index and the Top 40 Index. The study uses data on 32 listed companies from the AltX Index and the Top 40 Index over a five-year period, from 2012 to 2016. Using risk as a key factor in determining performance, this study identifies which stock exchange platform performs comparatively better using information on participating and listed companies on the two exchanges. To determine performance, returns are calculated for the market portfolio and the individual firms. The pooled regression model and Ordinary Least Square (OLS) model are used as methods of analysis. To ensure the reliability of the results, all the necessary diagnostic tests were performed on the data. The results show that systematic risks affect all equity returns of all companies listed on the Top 40 Index and the AltX Index. The results further indicate that it is safer and more profitable to invest in the Top 40 Index rather than the AltX Index. Most companies listed on the Top 40 Index generated positive returns between 2012 and 2016 whereas only a few companies listed on the AltX Index generated positive returns.
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- Authors: Tchatchouang, Julie Raissa
- Date: 2017
- Subjects: JSE Limited , Stocks - South Africa - Rate of return
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282987 , uj:30504
- Description: M.Com. (Financial Management) , Abstract: The main purpose of this research study is to compare the performance of companies listed on the Top 40 Index and the AltX Index of the JSE Ltd. The study also looks at the companies that had better returns with less risk on both the AltX Index and the Top 40 Index. The study uses data on 32 listed companies from the AltX Index and the Top 40 Index over a five-year period, from 2012 to 2016. Using risk as a key factor in determining performance, this study identifies which stock exchange platform performs comparatively better using information on participating and listed companies on the two exchanges. To determine performance, returns are calculated for the market portfolio and the individual firms. The pooled regression model and Ordinary Least Square (OLS) model are used as methods of analysis. To ensure the reliability of the results, all the necessary diagnostic tests were performed on the data. The results show that systematic risks affect all equity returns of all companies listed on the Top 40 Index and the AltX Index. The results further indicate that it is safer and more profitable to invest in the Top 40 Index rather than the AltX Index. Most companies listed on the Top 40 Index generated positive returns between 2012 and 2016 whereas only a few companies listed on the AltX Index generated positive returns.
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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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- 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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Forecasting volatility on the Resources 10, Financial 15 and Industrial 25 FTSE/JSE indices
- Authors: Petja, Albert Pogiso
- Date: 2018
- Subjects: JSE Limited , Forecasting , GARCH model , Investments - Management
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282383 , uj:30415
- Description: M.Com. (Investment Management) , Abstract: The focus of this study is primarily based on the significance of forecasting volatility on the JSE Limited. The study investigates the appropriateness of using volatility models to forecast volatility on the Resource 10 (RESI), Financial 15 (FINI), and Industrial 25 (INDI) FTSE/JSE sector-indices classified according to the Industry Classification Benchmark (ICB). This study uses historical closing values of the three FTSE/JSE indices which are then converted into log returns. Quantitative data are used to investigate whether volatility on the RESI, FINI, and INDI FTSE/JSE indices is correctly specified by ARCH class of models. The data are obtained from McGregor I-NET BFA databases and spans the period from 17 February 2006 to 16 February 2016. The 10 year period is also divided into two 5 year sub-periods and five 2 year sub-periods for each FTSE/JSE index. This study employs the Autoregressive Conditional Heteroscedasticity (ARCH) model, the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model, and the Threshold (Generalised) Autoregressive Conditional Heteroscedasticity (TARCH) model. These models are used to generate in-sample forecasts of volatility on the three aforementioned FTSE/JSE indices. The performance of the volatility models used in this study is evaluated based on three statistical loss functions: the root mean squared error, mean absolute error, and the mean absolute percent error. The results of this study evidence the presence of ARCH effects in the data of the three FTSE/JSE indices. The ARCH, GARCH and TARCH specifications are statistically significant for all indices; though there are some sub-periods of each of the FTSE/JSE indices which show no statistical significance in the parameter estimates of the volatility models employed. There is also evidence of volatility asymmetry in all of the FTSE/JSE indices considered in this study. There is no single superior volatility model between all three ARCH models that specifies the volatility of the FTSE/JSE indices over all the others when the forecasts are evaluated based on the statistical loss functions. However, the TARCH model outperforms the ARCH and GARCH models in most cases. This means that accounting for asymmetries in volatility is important in generating reliable volatility forecasts.
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- Authors: Petja, Albert Pogiso
- Date: 2018
- Subjects: JSE Limited , Forecasting , GARCH model , Investments - Management
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/282383 , uj:30415
- Description: M.Com. (Investment Management) , Abstract: The focus of this study is primarily based on the significance of forecasting volatility on the JSE Limited. The study investigates the appropriateness of using volatility models to forecast volatility on the Resource 10 (RESI), Financial 15 (FINI), and Industrial 25 (INDI) FTSE/JSE sector-indices classified according to the Industry Classification Benchmark (ICB). This study uses historical closing values of the three FTSE/JSE indices which are then converted into log returns. Quantitative data are used to investigate whether volatility on the RESI, FINI, and INDI FTSE/JSE indices is correctly specified by ARCH class of models. The data are obtained from McGregor I-NET BFA databases and spans the period from 17 February 2006 to 16 February 2016. The 10 year period is also divided into two 5 year sub-periods and five 2 year sub-periods for each FTSE/JSE index. This study employs the Autoregressive Conditional Heteroscedasticity (ARCH) model, the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model, and the Threshold (Generalised) Autoregressive Conditional Heteroscedasticity (TARCH) model. These models are used to generate in-sample forecasts of volatility on the three aforementioned FTSE/JSE indices. The performance of the volatility models used in this study is evaluated based on three statistical loss functions: the root mean squared error, mean absolute error, and the mean absolute percent error. The results of this study evidence the presence of ARCH effects in the data of the three FTSE/JSE indices. The ARCH, GARCH and TARCH specifications are statistically significant for all indices; though there are some sub-periods of each of the FTSE/JSE indices which show no statistical significance in the parameter estimates of the volatility models employed. There is also evidence of volatility asymmetry in all of the FTSE/JSE indices considered in this study. There is no single superior volatility model between all three ARCH models that specifies the volatility of the FTSE/JSE indices over all the others when the forecasts are evaluated based on the statistical loss functions. However, the TARCH model outperforms the ARCH and GARCH models in most cases. This means that accounting for asymmetries in volatility is important in generating reliable volatility forecasts.
- Full Text:
The influence of economic bubbles on JSE Ltd listed company share prices
- Authors: Hangaika, Mathew
- Date: 2014-10-07
- Subjects: JSE Limited , Stocks - Prices
- Type: Thesis
- Identifier: uj:12504 , http://hdl.handle.net/10210/12299
- Description: M.Com. (Financial Management) , Researchers are not satisfied with models that explain share price variations based on net present value analysis. To overcome the traditional problems of net present value analysis, intrinsic bubbles and the dividend price ratio were investigated to explain share price volatility. An index derived from dividend paying shares listed on the Johannesburg Securities Exchange Limited (JSE Ltd) for the period January 2000 to December 2010 was investigated. This investigation was based on Froot and Obstfeld’s (1991) Intrinsic Bubbles model. The null hypothesis of no intrinsic bubbles was not rejected. The findings infer that share prices were not only driven by fundamentals, implying the presence of intrinsic bubbles. This is consistent with the findings of Brooks, Nneji and Ward (2011) after applying the same methodology on the US housing market. The researcher’s aim was to provide a better clarification on whether changes in fundamentals are suitable to predict share prices, but results were inconclusive in this regard. The results indicate that fundamentals account for 80.1% of share price movements.
- Full Text:
- Authors: Hangaika, Mathew
- Date: 2014-10-07
- Subjects: JSE Limited , Stocks - Prices
- Type: Thesis
- Identifier: uj:12504 , http://hdl.handle.net/10210/12299
- Description: M.Com. (Financial Management) , Researchers are not satisfied with models that explain share price variations based on net present value analysis. To overcome the traditional problems of net present value analysis, intrinsic bubbles and the dividend price ratio were investigated to explain share price volatility. An index derived from dividend paying shares listed on the Johannesburg Securities Exchange Limited (JSE Ltd) for the period January 2000 to December 2010 was investigated. This investigation was based on Froot and Obstfeld’s (1991) Intrinsic Bubbles model. The null hypothesis of no intrinsic bubbles was not rejected. The findings infer that share prices were not only driven by fundamentals, implying the presence of intrinsic bubbles. This is consistent with the findings of Brooks, Nneji and Ward (2011) after applying the same methodology on the US housing market. The researcher’s aim was to provide a better clarification on whether changes in fundamentals are suitable to predict share prices, but results were inconclusive in this regard. The results indicate that fundamentals account for 80.1% of share price movements.
- Full Text:
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