Faculty of Commerce, Law and Management (ETDs)

Permanent URI for this communityhttps://hdl.handle.net/10539/37778

Browse

Subject: search.filters.subject.Johannesburg Stock Exchange

Search Results

Now showing 1 - 9 of 9
  • Thumbnail Image
    Item
    Mean-Variance Optimisation of A South African Index Based Portfolio Using Machine Learning
    (University of the Witwatersrand, Johannesburg, 2021) Makgoale, Katlego; Jakubose, Sibanda
    This study embarked on a comparison of the effectiveness of the Markowitz Mean- Variance Portfolio Optimisation against utilising a Machine Learning Technique to construct an optimal portfolio. The study aimed to: Construct an optimal portfolio using the Mean-Variance Analysis Framework, Construct an optimal portfolio using a Machine Learning Technique (Support Vector Regression), Contrast the results of the Minimum-Variance Portfolio and the Machine Learning Portfolio. The stocks of the FTSE JSE FIN15 index were chosen to construct the portfolio. The historical returns of the stocks in the index were used to trained (December 2014 to June 2019) and test the models(June 2019 to December 2020). The Mean-Variance Analysis and Minimum-Variance Portfolio were constructed using Python code that the author compiled. Similarly, the Support Vector Regression model was built in Python. The weights for the Machine Learning portfolio were calculated using the pseudo-inverse matrix and the predicted value of the Regression Model. It was found that the Minimum-Variance and Machine Learning portfolio produced different portfolios, but both containing fewer holdings than the original index. The performance of the Minimum-Variance Portfolio exceeded that of the index and the Machine Learning Portfolio with regards to relative(excess) returns and total returns in the out of sample period. It was found that the Machine Learning portfolio performs well at replicating the index returns but fails to exceed them and typically has a higher risk associated with it. It was concluded that the Minimum-Variance portfolio would be the most attractive to a risk-averse investor and the Machine Learning portfolio underperforms the Minimum variance and the index. Therefore confirming the effectiveness of Mean-variance Optimisation in a South African context against a Machine Learning Technique
  • Thumbnail Image
    Item
    Evaluation of the extent of disclosure of the UN Sustainable Development Goals (SDGs) in integrated reports by 40 South African companies listed on the Johannesburg Stock Exchange (JSE)
    (University of the Witwatersrand, Johannesburg, 2023) Manack, Ilhaam; Maroun, Warren; Lange, Yvette
    In a world where resources are finite, sustainable development is of utmost importance to ensure the survival of the world as we know it. Many of the crises faced by the world such as poverty, a lack of clean water, deforestation and pollution can be reduced and, potentially, resolved through contributions from public and private organisations. In actual fact, many of these organisations contribute to the problems at hand as a result of a lack of regulatory guidance on sustainable development. This report provides insight into the integrated reports of 40 JSE-listed companies using the process of content analysis to ascertain each company’s contribution to sustainable development, through aligning its corporate practices with achieving the UN Sustainable Development Goals (SDG). No guideline currently exists for preparing SDG-related disclosures to be presented in integrated reports. As a result, a disclosure checklist was created for this purpose. It was found that SDG-related disclosures are predominantly vague and minimal, ifthey were given at all. Additionally, companies tend to provide more SDG-relateddisclosures over time. This research contributes to a small body of existing research in the field of SDG disclosures in integrated reports. This study is the first study to analyse the extent of SDG-related disclosures in South Africa
  • Thumbnail Image
    Item
    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
  • Thumbnail Image
    Item
    The performance of South African Socially Responsible Investments: a comparative analysis of listed equity
    (2021) Olen, Davin
    In recent years, Sustainable and Responsible Investments (SRI) have undergone significant advancements in terms of both assets under management and investor attention. Concomitantly, the metrics which inform SRI methods, Environmental, Social and Governance (ESG) factors, have increasingly been incorporated within global investment approaches. This shift in approach suggests a permanent alteration to investing practices for some authors and investment houses. For South Africa, however, there is not yet consensus regarding the longterm comparative financial performance of securities focussing on SRI, considering the purported benefits of SRI’s incorporation within dominant investment approaches. In an attempt to address this lacuna, the following research dissertation unpacks the South African understanding of SRI and evaluates the comparative performance of portfolios constructed from rated ESG securities on the Johannesburg Stock Exchange. This research piece commences with an overview of recent global SRI developments followed by an evaluation of SRI as applied within South Africa alongside the country’s legislative framework. Provided with the relevant background, this research dissertation constructs a set of nine portfolios of equities listed on the Johannesburg Stock Exchange, based on both the security’s Bloomberg ESG Disclosure score and market capitalisation. Utilising the Fama and French Three- and Five-Factor asset pricing models, this research dissertation then gauges the financial performance of the constructed portfolios from May 2009 until April 2021 in terms of portfolio alpha values. Finally, this research dissertation reports that portfolios constructed from highly rated ESG companies with small and medium market capitalisation provide statistically significant positive alpha values at the 5% limit. For highly rated ESG companies with a large market capitalisation, statistically significant positive alpha values are identified at the 10% limit while a portfolio of medium rated ESG securities with the same market capitalisation report positive alpha values with significance at the 5% limit. A number of factor tests are further undertaken in order to determine the pricing accuracy of the two models in consideration. It is concluded iv that both the asset pricing models considered fail to explain the excess returns of the constructed portfolios at the 5% level of statistical significance.
  • Thumbnail Image
    Item
    Testing the pecking order theory of capital structure in South Africa
    (2021) Andries, Lydia Sejo
    This study was conducted with the aim of testing the pecking order hypothesis as well as examining the variables influencing the capital structure decisions using companies that are listed on the main board of the Johannesburg Stock Exchange over 12 years from 2009 to 2020. It has been noted that several listed companies in South Africa are facing the challenge of survival in the current economic climate. The companies are constantly found to be in risky situations in relation to their finances, which makes it difficult for them to meet their responsibilities to creditors and other stakeholders. Making the correct decisions regarding capital structure enhances the financial well-being of any organization. When companies fail to make the right capital decisions, the result can be financial distress, bankruptcy, and liquidation. The research will also inform both potential and existing investors in South Africa on the general approach to funding of the JSE listed companies and therefore give investors some basis for their investment decisions. A total of 197 companies excluding financial companies were selected to be used in the study using stratified random sampling. Pooled ordinary least squares, fixed effects and random effects models with heteroscedasticity robust standard errors were used. The results from the model employed to test the pecking order hypothesis do not show strong evidence of company management going in line with the pecking order theory when making decisions regarding the financing of the company. The conventional leverage regressions run to determine the factors that influence the capital structure were found to be consistent with theoretical predictions except for firm size which had the correct sign as predicted by theory but statistically insignificant. Asset tangibility and firm size were both positive while Market to Book and profitability were both negative in line with theoretical predictions. All the conventional predictors of leverage were statistically significant at the 1% and 5% significance levels except for firm size which was not statistically significant at any of the conventional levels of significance. Thus, for the sample of companies used in this study and the sample period selected, there is no strong support for the pecking order theory while leverage is determined by growth options as proxied by MTB, asset tangibility as well as profitability. A limitation of the model used in this study is that it only considered firm-specific factors in determining the predictors of leverage. Future research could include macroeconomic variables as additional predictors of the financing decisions of listed firms in South Africa as empirical evidence shows that these macroeconomic are important in the leverage-financing deficit nexus
  • Thumbnail Image
    Item
    Corporate performance as reported by entities listed on the Johannesburg Stock Exchange
    (2021) Weyer, Tamzin
    The purpose of this study is to examine corporate performance as disclosed in the integrated reports of entities listed on the Johannesburg Stock Exchange. The research is exploratory in nature and makes use of content analysis of integrated reports for the period 2015-2018, to which non-parametric statistical analysis was applied. The study, highlights trends and drivers of corporate performance of South African listed companies from 2015 to 2018. Secondly, the study provides a proposed definition for corporate performance from a reporting perspective. The research contributes to the body of literature on integrated reporting and considers integrated thinking at the core of corporate performance disclosure. The study further includes integrated reporting following the introduction of King IV, providing a more recent perspective on integrated reporting than prior literature
  • Thumbnail Image
    Item
    The impact of monetary policy related variables on the performance of the South African Real Estate Investment Trust (REIT)
    (2020) Mbhokota, Vongani
    Since the introduction of the Real Estate Investment Trust (REIT) in the Johannesburg Stock Exchange (JSE), there has been huge interest from both local and international investors to invest in the SA REIT. The reason for this rise in interest is that the SA REIT offers investors ownership of tangible assets that are backed by rental income and capital growth in the underlying asset value. In recent years this has been a good diversification strategy for investors, especially in emerging markets like South Africa. Whilst the SA REIT has given investors good returns since its inception in 2013, there is still not enough literature on the factors that affect the performance of the SA REIT in relation to monetary policy movements. Capital market movements in most emerging countries are dependent on macroeconomic factors like monetary policy movements, political stability, the input and output of production, etc. Most studies on how these macroeconomic factors impact on the performance of the REIT have been done in developed markets, and most of them have focused on monetary policy variables, e.g. interest rates, inflation, exchange rates, and GDP. This has necessitated this study on “The impact of monetary policy related variables on the performance of the South African Real Investment Trust (REIT)”. The purpose of the study was to determine the impact of monetary policy related variables in the short and long run on the performance of the SA REIT to assist investors and other role players as a tool to make investment decisions. The data gathered consisted of information on the overall performance of the SA REIT in the last nine years, and the source of this information was the SA REIT Association, which is a statutory body of the SA REIT that represents international REIT. SA REIT data was taken from the SA REIT Association’s database and was compared against each monetary policy variable taken from Statistics South Africa, which is deemed to be a reliable source. Unit root testing, the Autoregressive Distributed Lag (ADRL) model, and Bound tests were utilised to test if the monetary variables impact the performance of REIT returns in the short and long run to answer the hypothesis. The findings were presented in a graphical representation of the analysed data using time series plots in the short and long run. Methods used are as follows: unit root testing, the ADRL model, and Bound test . The outcome of the research results showed that none of the variables have a significant relationship with the performance of the SA REIT in the short run, but interest rates and exchange rates have a significant relationship with the performance of the SA REIT in the long run. This may prompt other studies to investigate how interest rate and exchange rate can be used positively to maximise returns in the SA REIT for investors, since it has been established that the two variables impact on the performance of the REIT.
  • Thumbnail Image
    Item
    Market reactions to financial and resources BEE deals on the JSE
    (2019) Hertz, Jenna
    In South Africa, Black Economic Empowerment (BEE) has been instrumental in the transformation of the country post-Apartheid. The involvement of key sectors in transformation is dependent on specific Industry Charters and the impact of these charters on the implementation of BEE by companies has been largely ignored by prior literature. This research examines the short-run impact of BEE equity/ownership deals on the share price performance of JSE-listed stock by calculating abnormal returns (ARs) and cumulative abnormal returns (CARs) subsequent to announcements in the resource and financial sectors. The objective of the study is to determine whether announcements of BEE deals resulted in the creation of shareholder wealth in these specific sectors. The study further explores whether size of the issuing company was a factor in how the markets received BEE deal announcements. The research employed a standard event study methodology which is widely used in finance literature to examine the impact of corporate events on shareholder wealth. The sample included 111 BEE deal announcements by resource sector companies during the period January 2003 until October 2018 and 75 BEE deal announcements by financial companies during the period January 2004 until October 2018. ARs and CARs were analysed over an 11 day event window. The results of the study found that qualifying announcements had a significant positive impact on the CARs of financial sector companies and an insignificant negative impact on the CARs of resource companies over the 11 day event window. This demonstrated that BEE deals were perceived to destroy value in the resource sector and create value in the financial sector for shareholders. The difference in reaction between the two sectors was found to be significant. Furthermore, the research findings indicated that the market reacted more favourably to BEE deal announcements made by ‘small’ companies regardless of the sector. However, while these findings were significant for the financial sector, they were proven to be insignificant for the resource sector.
  • Thumbnail Image
    Item
    Market reaction to the FTSE/JSE responsible investment index series
    (2019) Usher, Hayden Philip
    Responsible investment has seen considerable growth since the turn of the millennium, and this has spurred the creation and continuous development of responsible investment indexes across the globe. The purpose of this paper is to investigate whether the release of the RI index series contains price sensitive information content and therefore has value relevance for the market. Using event study methodology applied to the six releases of the FTSE/JSE Responsible Investment Index series from October 2015 to June 2018, this paper investigates the impact on the share prices of constituent, included and excluded firms from this index series. The study finds that the release of the constituents of the RI index does not contain new information content while constituents of the RI top 30 experience positive and statistically significant abnormal returns as a result of their constituency. The inclusion of firms on the RI index is not a release of new price-sensitive information, while firms included on the RI top 30 experience a sustained increase in share price throughout the event window. Firms excluded from the RI index and RI top 30 experience negative and statistically significant share returns and the market applies a greater discount toward firms excluded from the RI top 30. Finally, there are statistically significant differences between firms that were included and firms that were excluded from the RI index and the RI top 30 post-announcement date, and this is caused by the market applying a value discount toward firms with deteriorating ESG performance and disclosure. From an investors perspective, investors are able to generate significant arbitrage returns by shorting (longing) shares of firms expected to be to be excluded (included) from the RI index series. Consequently, firms should strive to be included or remain on the RI index series in order to signal the market that there has not been a deterioration in their ESG performance and disclosure, which would have a negative impact on their share price.