Chinese stock market conditions and herd behaviour on the JSE: Evidence from idiosyncratic volatile stock portfolios and industry sector

dc.contributor.authorBernstein, Shaun
dc.date.accessioned2023-11-23T11:54:13Z
dc.date.available2023-11-23T11:54:13Z
dc.date.issued2021
dc.descriptionA research report submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investments to the Faculty of Commerce, Law and Management, Wits Business School, University of the Witwatersrand, Johannesburg, 2021
dc.description.abstractThe intention of the study was to broaden the knowledge and understanding of herd mentality on the JSE 40. Herd behaviour has the potential to destabilise and deteriorate financial markets, and a better understanding of this behaviour could minimize investment loss. Therefore, the study examined herd behaviour in terms of various idiosyncratic volatile stocks and different industry sectors using a dispersion-based model. The study also investigated whether or not Chinese market conditions influenced herd behaviour regarding those stock portfolios. The results suggest that fully and partly diversified portfolios tend to show evidence of herd behaviour. However, Chinese market conditions affect each stock portfolio differently. For example, the Industrial Portfolio Index was influenced by Chinese market conditions across all tranquil and turbulent periods. Meanwhile, other portfolios were only influenced by long tranquil or extreme volatile periods in the Chinese market. Interestingly, the Banking sector was the only stock portfolio that was not influenced by the Chinese market. Perhaps investors can use this knowledge to enhance their future portfolio returns.
dc.description.librarianTL (2023)
dc.facultyFaculty of Commerce, Law and Management
dc.identifier.urihttps://hdl.handle.net/10539/37165
dc.language.isoen
dc.schoolWits Business School
dc.subjectChinese stock market
dc.subjectIdiosyncratic volatile stock
dc.subjectJohannesburg Stock Exchange (JSE)
dc.subject.otherSDG-8: Decent work and economic growth
dc.titleChinese stock market conditions and herd behaviour on the JSE: Evidence from idiosyncratic volatile stock portfolios and industry sector
dc.typeDissertation
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