School of Economics and Finance (ETDs)

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    A comparative analysis of the impact of Covid-19 and the global financial crisis on capital structure: Evidence from the Johannesburg Stock Exchange
    (University of the Witwatersrand, Johannesburg, 2023) Mjeso, Thandiwe; Chipeta, Chimwemwe
    Since Modigliani and Miller (1958) introduced the modern theory of capital structure, various studies have been conducted on capital structure. This study contributes to the existing capital structure literature by investigating how the Covid-19 pandemic impacted the capital structure of Johannesburg Stock Exchange (JSE) listed non-financial firms and comparing this impact to that of the 2008 global financial crisis. Furthermore, this study seeks to determine the relationship between capital structure and fundamental firm factors (business risk, profitability, firm size, growth, and asset tangibility). To conduct this analysis, the financial data of these firms for the 2005 to 2022 period is extracted from Bloomberg and the Generalized Method of Moments (GMM) model is used to conduct the analysis of this study. The results of this study indicate that Covid-19 did not have a statistically significant impact on the capital structure of the JSE listed non-financial firms whereas, the 2008 global financial crisis had a statistically significant impact. Overall, the results of this study are consistent with the empirical evidence reported by previous studies, and they provide evidence in support of both the trade-off theory and the pecking order theory
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    Herding Behaviour and Equity Market Liquidity in the Johannesburg Stock Exchange
    (University of the Witwatersrand, Johannesburg, 2023) Rip, Kyle Christopher; Britten, James
    This study tests the relationship between equity market liquidity and herding behaviour in the aggregate market portfolio in a South African context and found evidence of herding behvaiour when conditioned on liquidity. The “aggregate market portfolio” refers to the average consensus of all market constituents- in this case the JSE. The analysis is performed through liquidity quartiles on the whole sample period as well as in specific sub-periods with alternative measures of liquidity. The sample period covers January 2000 to December 2021. The results show that a higher level of equity market liquidity is associated with an increase in the tendency for investors to herd towards the market consensus (reduced return dispersions as a result of clustering around the mean market return). However, this research shows that the relationship is dependent on the time period analysed and that the relationship may no longer hold when the relative level of market liquidity (the distribution of daily market liquidity levels) changes
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    Investigating the relationship between integrated reporting quality and its effect on risk of the top 100 JSE listed companies in South Africa
    (University of the Witswatersrand, Johannesburg, 2023) Jhavary, Husnaa; Cerbone, Dannielle
    This thesis investigates the relationship between the quality of an organization’s integrated report, as defined by the EY Integrated Reporting Awards, and the risk of the organisation. To achieve this the relationship between an entity’s financial ratios and the quality of the integrated report it produces are calculated and explored. A quantitative research approach is used and risk is proxied using debt and equity ratios collected from the IRESS database, as well as integrated reports found on the websites of the top 100 JSE-listed companies over five years from 2017 to 2021. A regression is performed using the Statistical Package for the Social Sciences (SPSS) software. The results suggest a significant relationship between the costs of debt and integrated reporting quality, when compared to the cost of equity and the weighted average cost of capital. In addition, other variables hold a stronger relationship with integrated reporting quality, such as the ability of a firm to produce a standalone CSR report, as well as the firm’s equity market-to-book ratio and a firm’s size