3. Electronic Theses and Dissertations (ETDs) - All submissions
Permanent URI for this communityhttps://wiredspace.wits.ac.za/handle/10539/45
For queries relating to content and technical issues, please contact IR specialists via this email address : openscholarship.library@wits.ac.za, Tel: 011 717 4652 or 011 717 1954
Browse
8 results
Search Results
Item Assessing corporate reputational damage due to collusion: an empirical approach(2017) Wiggins, Vincent JohnEvent studies are widely used in finance and business research. The study involves identifying an event of interest, analysing the abnormal stock return and testing the significance of the event. This research assesses the change to a company’s stock value after an announcement of a collusive engagement. The study adopts an empirical approach by means of an event study analysis to determine the magnitude of the valuation change as well as other statistical methods to define the statistical significance of the valuation variation. The research also seeks to identify if the valuation change will always be negative, given the negativity associated with the collusive announcementItem Liquidity and the convergence to market efficiency(2017) Young, Nicara RomiThe aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE), and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis, and Shiller’s (1981; 2003) informational efficiency designation. Efficiency was tested using measures of return predictability, a random walk benchmark, and price volatility; liquidity was measured using market turnover. The tests were conducted on JSE Top 40 shares across three regimes, spanning January 2012 – June 2016. The regimes are demarcated by two structural breaks in the JSE’s microstructure: the 2012 trading platform upgrade, and the 2014 colocation centre launch. The results show that past order imbalances are a significant predictor of daily returns, although the significance of this predictability has dissipated over time. Return predictability is not influenced by liquidity. In fact, there is evidence that illiquidity weakens return predictability. Prices were closer to random walk benchmarks during the third regime. In consideration of informational efficiency, during the latter two regimes price volatility is greater during trading versus non-trading hours. This is coupled with an emergence of nonlinear return dependence, which is indicative of greater mispricing. Thus, over the three regimes, market efficiency improved in the sense of the EMH, but informational efficiency deteriorated. The study contributes to the field by: introducing an inverse measure of market efficiency; providing insight into the measure’s time variation and relation to liquidity; and demonstrating that market efficiency tests should incorporate its dual meanings, enabling richer understanding of their intersection.Item Liquidity and size effects on the JSE(2017) McKane, GraemeThis study tests the efficacy of the liquidity variables of Liu (2006) in determining the existence of a liquidity premium on the South African market and finds evidence of a significant liquidity effect. This factor is determined to be robust and to proxy for a different underlying effect than the Fama-French (1992) effects and the market risk premium. The analysis is performed through portfolio sorts and tests for difference of portfolio means, as well as both a univariate and multivariate regression analysis. The sample period covers 16 years from 2000 to 2015. The relationship between size and liquidity is clear, however liquidity is found to be separate from the size effect. This study recommends the use of a liquidity-augmented model for the analysis of asset returns in South Africa.Item Evaluating efficiency of ensemble classifiers in predicting the JSE all-share index attitude(2017) Ramsumar, ShaunThe prediction of stock price and index level in a financial market is an interesting but highly complex and intricate topic. Advancements in prediction models leading to even a slight increase in performance can be very profitable. The number of studies investigating models in predicting actual levels of stocks and indices however, far exceed those predicting the direction of stocks and indices. This study evaluates the performance of ensemble prediction models in predicting the daily direction of the JSE All-Share index. The ensemble prediction models are benchmarked against three common prediction models in the domain of financial data prediction namely, support vector machines, logistic regression and k-nearest neighbour. The results indicate that the Boosted algorithm of the ensemble prediction model is able to predict the index direction the best, followed by k-nearest neighbour, logistic regression and support vector machines respectively. The study suggests that ensemble models be considered in all stock price and index prediction applications.Item An analysis of the Samuelson hypothesis in South Africa(2016) Haarburger, TerriThis study empirically investigates the existence of the Samuelson Hypothesis in South African markets. The Samuelson Hypothesis states that the volatility of futures contracts increase as the expiration of the contracts approaches. It is an important phenomenon to account for when setting margins, creating hedging strategies and valuing options on futures. The study utilizes daily closing prices of agricultural and non-agricultural futures contracts for a period varying from 2002 to 2015. In total, eleven contracts were examined over this period, yet only one (White Maize) consistently shows support for the Samuelson Hypothesis. The Negative Covariance and State Variable Hypothesis were tested, but could not provide an alternative explanation for the lack of relationship between the time to maturity and volatility of futures contracts.Item The performance of secondary equity offerings on the Johannesburg Stock Exchange(2016) Alves da Cunha, JesseInternational studies have widely documented the long-run underperformance of firms conducting secondary equity offerings (SEOs), a phenomenon commonly referred to as the ‘new issues puzzle’. Understanding the market’s reaction to SEOs is vital for managers who are commonly tasked with deciding on how to finance their firm’s operations. This study investigates the short-run and long-run performance of firms conducting SEOs on the Johannesburg Stock Exchange (JSE) over the period of 1998 to 2015, by exploring both rational and behavioural models in predicting SEO behaviour. Event-study analysis reveals that the market generally reacts negatively to the announcement of SEOs with a statistically significant average two-day cumulative abnormal return of -2.6%. Using a buy-and-hold abnormal return approach, as well as factor regression analysis to study the long-run share performance of issuing firms, there is no evidence that issuing firms significantly underperform relative to non-issuing firms over a five-year period when testing for abnormal share return performance with the Capital Asset Pricing Model. Furthermore, issuing firms exhibit no consistent signs of operating underperformance in comparison to non-issuing firms over a fiveyear period. Finally, in evidence contradicting the market timing theory, investor sentiment appears to bear no consistently significant influence on either a firm’s decision to issue equity, or on the short-run and long-run performance of SEOs. Overall, the results imply that the longrun performance of SEOs conducted in South Africa is best described by rational explanations centred on the risk-return framework. There is no consistent evidence of any ‘new issues puzzle’ on the JSE.Item The dynamics of market efficiency: testing the adaptive market hypothesis in South Africa(2016) Seetharam, YudhvirIn recent years, the debate on market efficiency has shifted to providing alternate forms of the hypothesis, some of which are testable and can be proven false. This thesis examines one such alternative, the Adaptive Market Hypothesis (AMH), with a focus on providing a framework for testing the dynamic (cyclical) notion of market efficiency using South African equity data (44 shares and six indices) over the period 1997 to 2014. By application of this framework, stylised facts emerged. First, the examination of market efficiency is dependent on the frequency of data. If one were to only use a single frequency of data, one might obtain conflicting conclusions. Second, by binning data into smaller sub-samples, one can obtain a pattern of whether the equity market is efficient or not. In other words, one might get a conclusion of, say, randomess, over the entire sample period of daily data, but there may be pockets of non-randomness with the daily data. Third, by running a variety of tests, one provides robustness to the results. This is a somewhat debateable issue as one could either run a variety of tests (each being an improvement over the other) or argue the theoretical merits of each test befoe selecting the more appropriate one. Fourth, analysis according to industries also adds to the result of efficiency, if markets have high concentration sectors (such as the JSE), one might be tempted to conclude that the entire JSE exhibits, say, randomness, where it could be driven by the resources sector as opposed to any other sector. Last, the use of neural networks as approximators is of benefit when examining data with less than ideal sample sizes. Examining five frequencies of data, 86% of the shares and indices exhibited a random walk under daily data, 78% under weekly data, 56% under monthly data, 22% under quarterly data and 24% under semi-annual data. The results over the entire sample period and non-overlapping sub-samples showed that this model's accuracy varied over time. Coupled with the results of the trading strategies, one can conclude that the nature of market efficiency in South Africa can be seen as time dependent, in line with the implication of the AMH.Item Monetary policy and the stock market structure: some international empirical evidence(2016) Alovokpinhou, Sedjro AaronThis paper builds upon Blanchard's (1981) model of asset prices, and provides an empirical evidence for good news cases (GNC) and/or bad news cases (BNC) as de ned in Blanchard's paper. We update Blanchard's model by introducing Taylor's rule of monetary policy and explicitly incorporate income distribution in a small, open economy. The ndings indicate that, the labour share is a strong and signi cant variable that should be considered in asset pricing models. The real exchange rate plays a signi cant role in the determination of asset prices in most of the selected countries, but the signi cance is stronger in the emerging markets economies. As the main objective of the paper, the study has found four of the selected countries to be bad news cases and eight of them are good news cases.