Asset price volatility in South African markets during financial crises
- Authors: Duncan, Andrew Stuart
- Date: 2012-10-09
- Subjects: Financial crises , Capital assets pricing model , Stock exchanges , Stocks - Prices
- Type: Thesis
- Identifier: uj:10391 , http://hdl.handle.net/10210/7830
- Description: Ph.D. , This thesis investigates the impact of domestic and foreign financial crises on volatility dynamics in South Africa. In a sample ranging from January 1994 to March 2009, Chapter 2 provides empirical support for the theory that domestic currency crises are associated with significant structural changes in daily exchange rate volatility. Speciacally, crisis periods coincide with large positive shifts in unconditional variance. Using this fact, we propose a new method - the structural change generalised conditional heteroskedasticity, or SC-GARCH, model - for identifying precise start- and end-dates for crises. Chapter 3 studies volatility transmission within SA from October 1996 to June 2010. Using a generalised version of the vector autoregressive (VAR) approach, time-varying and bidirectional volatility spillover indices are esti- mated for domestic currency, bond and equity markets. The results identify equities as the primary source of volatility transfer to other asset classes. At di erent points in time, spillovers are responsible for anywhere between 7.5 and 65 percent of system-wide volatility. Local maxima in spillover magni- tudes are estimated during domestic, as well as foreign crisis periods. Chapter 4 estimates time-varying comovement between SA and world volatilities during the period from 1994 to 2008. A dynamic factor model (FM) is used to extract three latent global volatility factors from a data panel which is representative of the world equity market portfolio. Relative to most other emerging markets, the global factors are poor predictors of volatility in SA. However, SA's comovement with global volatility increases sharply in response to emerging market crises in Asia (1997-8) and Russia (1998). The global factors are also important determinants of domestic volatility during the latter stages of the US subprime crisis (2007-8). Chapter 5 proposes the factor-augmented VAR as a parsimonious model for the transmission of foreign volatility shocks to SA equities. We compare international volatility transmission resulting from crises in Asia (1997-8) and the US (2007-8). Although the US crisis has a larger impact on the world equity market, the Asian shock leads to more dramatic increases in volatility in emerging economies, including SA.
- Full Text:
- Authors: Duncan, Andrew Stuart
- Date: 2012-10-09
- Subjects: Financial crises , Capital assets pricing model , Stock exchanges , Stocks - Prices
- Type: Thesis
- Identifier: uj:10391 , http://hdl.handle.net/10210/7830
- Description: Ph.D. , This thesis investigates the impact of domestic and foreign financial crises on volatility dynamics in South Africa. In a sample ranging from January 1994 to March 2009, Chapter 2 provides empirical support for the theory that domestic currency crises are associated with significant structural changes in daily exchange rate volatility. Speciacally, crisis periods coincide with large positive shifts in unconditional variance. Using this fact, we propose a new method - the structural change generalised conditional heteroskedasticity, or SC-GARCH, model - for identifying precise start- and end-dates for crises. Chapter 3 studies volatility transmission within SA from October 1996 to June 2010. Using a generalised version of the vector autoregressive (VAR) approach, time-varying and bidirectional volatility spillover indices are esti- mated for domestic currency, bond and equity markets. The results identify equities as the primary source of volatility transfer to other asset classes. At di erent points in time, spillovers are responsible for anywhere between 7.5 and 65 percent of system-wide volatility. Local maxima in spillover magni- tudes are estimated during domestic, as well as foreign crisis periods. Chapter 4 estimates time-varying comovement between SA and world volatilities during the period from 1994 to 2008. A dynamic factor model (FM) is used to extract three latent global volatility factors from a data panel which is representative of the world equity market portfolio. Relative to most other emerging markets, the global factors are poor predictors of volatility in SA. However, SA's comovement with global volatility increases sharply in response to emerging market crises in Asia (1997-8) and Russia (1998). The global factors are also important determinants of domestic volatility during the latter stages of the US subprime crisis (2007-8). Chapter 5 proposes the factor-augmented VAR as a parsimonious model for the transmission of foreign volatility shocks to SA equities. We compare international volatility transmission resulting from crises in Asia (1997-8) and the US (2007-8). Although the US crisis has a larger impact on the world equity market, the Asian shock leads to more dramatic increases in volatility in emerging economies, including SA.
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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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- 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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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.
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- 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.
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Share price reactions of home-based sponsor companies sponsoring the FIFA World Cup™
- Authors: Mianowski, Robert
- Date: 2016
- Subjects: Stocks - Prices , Corporate sponsorship , World Cup (Soccer) , Fédération internationale de football association
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/215631 , uj:21440
- Description: Abstract: This study investigated and compared the share price reactions of home-based sponsor companies, which are situated in developed and developing countries, to sponsoring the FIFA World Cup™. The investigation consisted of analysing the share price reactions of home-based sponsor companies to sponsoring the FIFA World Cup™ in order to determine whether or not the share prices of home-based sponsor companies react efficiently to sponsoring the FIFA World Cup™. In this study, two event dates, namely the sponsorship announcement date and the tournament hosting (start) date, were used to assess the share price reactions of home-based sponsor companies to sponsoring the FIFA World Cup™. An event-study methodology was implemented for this research study whereby the cumulative abnormal returns (CARs) across the two event windows were examined. It was found that share prices react differently to the sponsorship announcement date and the tournament hosting (start) date. Furthermore, the positive and negative share price reactions surrounding both event dates indicate that investors view the sponsoring of the FIFA World Cup™ soccer tournament as either positive (good) news or negative (bad) news. Overall, the share prices of the home-based sponsor companies do not appear to exhibit market efficiency. However, there are certain event windows where share prices appear to be efficient. The test statistics which were all calculated to be statistically insignificant do not support the hypotheses that the sponsorship announcement made by a home-based sponsor company and the hosting (start) of the FIFA World Cup™ soccer tournament are associated with a significant impact on the home-based sponsor company’s share price. , M.Com. (Financial Management)
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- Authors: Mianowski, Robert
- Date: 2016
- Subjects: Stocks - Prices , Corporate sponsorship , World Cup (Soccer) , Fédération internationale de football association
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/215631 , uj:21440
- Description: Abstract: This study investigated and compared the share price reactions of home-based sponsor companies, which are situated in developed and developing countries, to sponsoring the FIFA World Cup™. The investigation consisted of analysing the share price reactions of home-based sponsor companies to sponsoring the FIFA World Cup™ in order to determine whether or not the share prices of home-based sponsor companies react efficiently to sponsoring the FIFA World Cup™. In this study, two event dates, namely the sponsorship announcement date and the tournament hosting (start) date, were used to assess the share price reactions of home-based sponsor companies to sponsoring the FIFA World Cup™. An event-study methodology was implemented for this research study whereby the cumulative abnormal returns (CARs) across the two event windows were examined. It was found that share prices react differently to the sponsorship announcement date and the tournament hosting (start) date. Furthermore, the positive and negative share price reactions surrounding both event dates indicate that investors view the sponsoring of the FIFA World Cup™ soccer tournament as either positive (good) news or negative (bad) news. Overall, the share prices of the home-based sponsor companies do not appear to exhibit market efficiency. However, there are certain event windows where share prices appear to be efficient. The test statistics which were all calculated to be statistically insignificant do not support the hypotheses that the sponsorship announcement made by a home-based sponsor company and the hosting (start) of the FIFA World Cup™ soccer tournament are associated with a significant impact on the home-based sponsor company’s share price. , M.Com. (Financial Management)
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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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CEO turnover of technology listed companies and share price performance
- Authors: Snowball, Matthew McKenzie
- Date: 2018
- Subjects: Stocks - Prices , Chief executive officers , Labor turnover
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/296065 , uj:32251
- Description: M.Com. (Finance) , Abstract: Extensive research has been conducted on the impact of top management or CEO turnover on various aspects of business. These studies have used various methodologies, however, they have yielded findings which are inconsistent or even contradictory. One of the reasons for this is the sheer number of factors that, jointly combined, determine the impact of the turnover on the company. This study provides a different angle on this topic by examining the way in which stock prices react to CEO turnover announcements. This study identified the key factors when determining the direction and magnitude of the stock price reactions to CEO turnover, if there was indeed a reaction. The factors that were looked at were the type of departure (forced or voluntary), the type of replacement (internal or external), prior firm performance, succession planning, whether the outgoing CEO was part of the founding team and the length of time after listing before the turnover event. The sample consisted of listed companies in the technology sector on the NASDAQ in 2005, 2006 and 2007. This time period included 26 listings and 19 CEO turnover events. An event study methodology was used to analyse these events. The findings of this research were mixed, indicating that in most cases, the share price reaction to CEO turnovers was not statistically significant. The findings indicate that in forced CEO turnovers where the replacement was an external candidate, the share price reaction was statistically significant. The findings suggests that further research is needed on the subject of forced CEO turnovers. It was also found that on their own, the factors studied were not significant, however, further research is required into the way in which these factors combine to impact share price reaction to CEO turnover announcements.
- Full Text:
- Authors: Snowball, Matthew McKenzie
- Date: 2018
- Subjects: Stocks - Prices , Chief executive officers , Labor turnover
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/296065 , uj:32251
- Description: M.Com. (Finance) , Abstract: Extensive research has been conducted on the impact of top management or CEO turnover on various aspects of business. These studies have used various methodologies, however, they have yielded findings which are inconsistent or even contradictory. One of the reasons for this is the sheer number of factors that, jointly combined, determine the impact of the turnover on the company. This study provides a different angle on this topic by examining the way in which stock prices react to CEO turnover announcements. This study identified the key factors when determining the direction and magnitude of the stock price reactions to CEO turnover, if there was indeed a reaction. The factors that were looked at were the type of departure (forced or voluntary), the type of replacement (internal or external), prior firm performance, succession planning, whether the outgoing CEO was part of the founding team and the length of time after listing before the turnover event. The sample consisted of listed companies in the technology sector on the NASDAQ in 2005, 2006 and 2007. This time period included 26 listings and 19 CEO turnover events. An event study methodology was used to analyse these events. The findings of this research were mixed, indicating that in most cases, the share price reaction to CEO turnovers was not statistically significant. The findings indicate that in forced CEO turnovers where the replacement was an external candidate, the share price reaction was statistically significant. The findings suggests that further research is needed on the subject of forced CEO turnovers. It was also found that on their own, the factors studied were not significant, however, further research is required into the way in which these factors combine to impact share price reaction to CEO turnover announcements.
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