Individualism as a driver of overconfidence, and its effect on industry level returns and volatility across multiple countries

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dc.contributor.authorHorne, Chad
dc.date.accessioned2017-04-04T13:13:50Z
dc.date.available2017-04-04T13:13:50Z
dc.date.issued2016
dc.descriptionA research report submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance. March 2016en_ZA
dc.description.abstractThis study attempts to determine the possible effects of individualism on industry volatility. The implications of this for behavioural finance are extensive, showing firstly that different industries react differently to behavioural biases and secondly that overconfidence is a possible driver of the positive effect of individualism on industry volatility. The country selection process was relatively objective, taking two countries with high individualism indexes and two with low indexes and including one with a medium index value. The result was a sample of the United States of America, the United Kingdom, South Africa, China and Taiwan. The industry selection process was more subjective. Industries were selected which should have a higher propensity to behavioural biases with lower book to market ratios (software and computer services industry and pharmaceutical and biotechnology industry) and other industries which should not be as strongly affected by behavioural biases (banks, mining, oil and gas producers, and mobile telecommunications industries). In order to correct for ARCH effects the series’ were modelled using a GARCH (1, 1) model. The resulting residuals, which showed no autocorrelation, were then used to conduct panel data regressions on each of the industries. The results confirmed that individualism had a positive effect on volatility in the industries which were expected (software and computer services and pharmaceuticals and biotechnology industries). However, it was also determined that the banks industry was significantly affected by individualism, an effect which it was hypothesised, was due to the individualism of employees as opposed to investors.en_ZA
dc.description.librarianMT2017en_ZA
dc.format.extentOnline resource (x, 100 leaves)
dc.identifier.citationHorne, Chad (2016) Individualism as a driver of overconfidence, and its effect on industry level returns and volatility across multiple countries, University of the Witwatersrand, Johannesburg, <http://wiredspace.wits.ac.za/handle/10539/22299>
dc.identifier.urihttp://hdl.handle.net/10539/22299
dc.language.isoenen_ZA
dc.subject.lcshFinance--Mathematical models
dc.subject.lcshEfficient market theory
dc.subject.lcshStock price forecasting
dc.subject.lcshPortfolio management
dc.titleIndividualism as a driver of overconfidence, and its effect on industry level returns and volatility across multiple countriesen_ZA
dc.typeThesisen_ZA
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