Herding Behaviour and Equity Market Liquidity in the Johannesburg Stock Exchange
| dc.contributor.author | Rip, Kyle Christopher | |
| dc.contributor.supervisor | Britten, James | |
| dc.date.accessioned | 2024-06-18T12:34:01Z | |
| dc.date.available | 2024-06-18T12:34:01Z | |
| dc.date.issued | 2023 | |
| dc.description | A research report submitted in partial fulfilment of the requirements for the degree of Master of Commerce (50% Research) in Finance to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, 2023 | |
| dc.description.abstract | 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 | |
| dc.description.submitter | MM2024 | |
| dc.faculty | Faculty of Commerce, Law and Management | |
| dc.identifier.citation | Rip, Kyle Christopher. (2023). Herding Behaviour and Equity Market Liquidity in the Johannesburg Stock Exchange [Master’s dissertation, University of the Witwatersrand, Johannesburg]. | |
| dc.identifier.uri | https://hdl.handle.net/10539/38681 | |
| dc.language.iso | en | |
| dc.publisher | University of the Witwatersrand, Johannesburg | |
| dc.rights | © 2023 University of the Witwatersrand, Johannesburg. All rights reserved. The copyright in this work vests in the University of the Witwatersrand, Johannesburg. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of University of the Witwatersrand, Johannesburg. | |
| dc.rights.holder | University of the Witwatersrand, Johannesburg | |
| dc.school | School of Economics and Finance | |
| dc.subject | Equity market liquidity | |
| dc.subject | Herding behaviour | |
| dc.subject | South Africa | |
| dc.subject | UCTD | |
| dc.subject | JSE | |
| dc.subject | Johannesburg Stock Exchange | |
| dc.subject.other | SDG-8: Decent work and economic growth | |
| dc.title | Herding Behaviour and Equity Market Liquidity in the Johannesburg Stock Exchange | |
| dc.type | Dissertation |