Relevant bibliographies by topics / FTSE/JSE top 40 index

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Academic literature on the topic 'FTSE/JSE top 40 index'

Author: Grafiati
Published: 4 June 2021
Last updated: 4 February 2022

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Journal articles on the topic "FTSE/JSE top 40 index"

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Sarpong, Prince Kwasi, Mabutho Sibanda, and Merle Holden. "Investigating Chaos on the Johannesburg Stock Exchange." Journal of Economics and Behavioral Studies 8, no. 5(J) (2016): 56–67. http://dx.doi.org/10.22610/jebs.v8i5(j).1431.

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This study investigates the existence of chaos on the Johannesburg Stock Exchange (JSE) and studies three indices namely the FTSE/JSE All Share, FTSE/JSE Top 40 and FTSE/JSE Small Cap. Building upon the Fractal Market Hypothesis to provide evidence on the behavior of returns time series of the above mentioned indices, the BDS test is applied to test for non-random chaotic dynamics and further applies the rescaled range analysis to ascertain randomness, persistence or mean reversion on the JSE. The BDS test shows that all the indices examined in this study do not exhibit randomness. The FTSE/JS
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Magweva, Mr Rabson, Mrs Magret Munyimi, and Mr Justine Mbudaya. "Futures trading and the underlying stock volatility: A case of the FTSE/JSE TOP 40." International Journal of Finance 6, no. 1 (2021): 1–16. http://dx.doi.org/10.47941/ijf.510.

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Purpose: This study analyzed the impact of listing and trading futures contracts on the underlying stock index volatility behavior. The FTSE/JSE TOP 40 index was the index of interest.Methodology: To capture the non-constant variance of the residuals, a modified Generalized Autoregressive Conditionally Heteroscedasticity (GARCH) model was adopted given that financial time series data exhibited ARCH effects. The GARCH model was estimated after dividing the sample period into pre-and post-futures eras.Findings: The research findings point towards stabilization effects on underlying stock volatil
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le Roux, Corlise. "Relationships between Soft Commodities, the FTSE/JSE Top 40 Index and the South African Rand." Procedia Economics and Finance 24 (2015): 353–62. http://dx.doi.org/10.1016/s2212-5671(15)00679-6.

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McCullough, K., M. Murray, and B. Strydom. "Volatility Spillover Between the FTSE/JSE Top 40 Index and Index Futures: A Bekk-Garch and DCC-Garch Approach." Studies in Economics and Econometrics 42, no. 1 (2018): 63–86. http://dx.doi.org/10.1080/10800379.2018.12097327.

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van Rooyen, JH, and Lehlohonolo Mokenela. "Managerial flexibility using ROV in South Africa: a survey of the top 40 JSE listed companies." Corporate Ownership and Control 5, no. 1 (2007): 262–69. http://dx.doi.org/10.22495/cocv5i1c2p2.

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The traditional DCF (Discounted Cash Flows) -based techniques have been criticised in finance literature for their failure to incorporate flexibility in the evaluation of projects. Academics are advocating the use of Real Option Valuation theory (ROV) as it quantifies managerial flexibility, thereby bridging the gap between strategic thinking and finance theory and practice. The purpose of the study is to determine whether the largest firms in South Africa are using ROV and also to assess some of the factors that may influence their use of the technique. This paper presents the results of a su
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Frisch, Thomas, Sascha Kolaric, and Dirk Schiereck. "Returns On Large Stock Price Declines And Increases In The South African Stock Market: A Note On Market Efficiency." International Business & Economics Research Journal (IBER) 13, no. 3 (2014): 581. http://dx.doi.org/10.19030/iber.v13i3.8595.

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This study tests for underreaction and overreaction in the South African stock market by examining abnormal returns on the stocks included in the FTSE Group Johannesburg Stock Exchange Top 40 index following large price rises and drops. The results of our empirical investigation suggest that large price increases and declines are likely to be followed by positive market returns. In addition, for the post-2008 time period the risk of these stocks increases significantly for up to two years following the original event. Therefore, the results lend further support to the Uncertain Information Hyp
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Kruger, Ryan, and Francois Toerien. "The Impact Of Index Migrations On Share Prices: Evidence From The Johannesburg Stock Exchange." Journal of Applied Business Research (JABR) 29, no. 6 (2013): 1861. http://dx.doi.org/10.19030/jabr.v29i6.8222.

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<p>This article examines the quantum and persistence of abnormal returns (positive and negative) for shares that entered or left the JSE Top 40 Index during quarterly index rebalancing between 2002 and 2013. Using an event study methodology based on the market model, we find evidence of anticipatory trading for both deletions and additions, which is, however, significant only for the former. These abnormal returns are reversed over our window period, which supports international studies indicating downward sloping share demand curves. Our findings imply informational inefficiencies that
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Plimsoll, James, Ben Saban, Andreas Spheris, and Kanshukan Rajaratnam. "The Day Of The Week Effect: An Analysis Of The Johannesburg Stock Exchange Top 40 Firms." International Business & Economics Research Journal (IBER) 12, no. 3 (2013): 319. http://dx.doi.org/10.19030/iber.v12i3.7675.

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This study investigates the existence of the Day of the Week (DoW) effect on returns and volatility on the Johannesburg Stock Exchange (JSE), with a specific focus on the markets Top 40 firms (Top40). It is the most micro analysis of the DoW effect conducted to date, as previous literature has only explored the effect on market and index levels. While this paper focuses on a firm-specific level, it also makes a comparison with the DoW effect on the All-Share Index (ALSI) and Top40 Index (TOPI). Drawing on Borges (2009) study, this paper investigates whether a DoW effect exists on a specific da
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Bester, P. G., W. D. Hamman, L. M. Brummer, N. Wesson, and B. W. Steyn-Bruwer. "Share repurchases: Which number of shares should be used by JSE-listed companies when publishing market capitalisation in annual reports?" South African Journal of Business Management 39, no. 4 (2008): 51–61. http://dx.doi.org/10.4102/sajbm.v39i4.571.

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The legalisation of share repurchases in South Africa since July 1999 introduced additional complexity to financial reporting. The repurchasing of shares by subsidiaries or share trusts has led to a new concept: the number of company shares differs from the number of group shares. Ratios like earnings per share and headline earnings per share are governed by accounting standards and circulars, and prescribe the use of the (weighted) number of group shares. No guidance exists on the calculation of market capitalisation.This article aims to determine the methods used by companies listed on the J
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Viljoen, C., B. W. Bruwer, and Z. Enslin. "Determinants of enhanced risk disclosure of JSE Top 40 Companies: the board risk committee composition, frequency of meetings and the chief risk officer." Southern African Business Review 20, no. 1 (2019): 208–35. http://dx.doi.org/10.25159/1998-8125/6050.

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Risk disclosure practices have received increasing attention in the wake of the 2008 global financial crisis. This study investigated possible determinants relating to the composition of the board committee responsible for risk management, the frequency of board risk committee meetings and whether the company employs a chief risk officer, which could manifest in an enhanced level of risk-related disclosure. Based on the possible determinants identified in the literature, nine hypotheses were developed in order to investigate which of these determinants relate to an enhanced level of risk discl
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Dissertations / Theses on the topic "FTSE/JSE top 40 index"

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Louw, Jan Paul. "Evidence of volatility clustering on the FTSE/JSE top 40 index." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/5039.

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Thesis (MBA (Business Management))--Stellenbosch University, 2008.<br>ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the accurate measurement and reliable forecasting of volatility. This research report was conducted as an in-depth analysis of volatility, measured over five different return interval sizes covering the sample in non-overlapping periods. Each of the return interval sizes' volatility were analy
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Ohlhoff, Johannes Hendrik Snyman. "A survey of disclosure of compliance with King II by top listed South African companies : an investigative study of the companies listed on the FTSE/JSE top 40 index." Thesis, Stellenbosch : University of Stellenbosch, 2008. http://hdl.handle.net/10019.1/838.

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Thesis (MBA (Business Management))--University of Stellenbosch, 2008.<br>ENGLISH SUMMARY: During the period of change in South Africa in the year of the first democratic elections, 1994, the first King Report on Corporate Governance appeared. For the first time in South Africa, companies had a good reference for corporate practice and conduct. A second King report, commonly referred to as King II, appeared in March 2002 and expanded on the earlier Code to produce, what was considered at the time to be, a world-class code of corporate governance. In addition to the acceptance and incorpora
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Hlongwa, Lungelo. "Do South African private equity firms with portfolio companies in the rest of Africa have better returns than the Johannesburg Stock Exchange (JSE) Top 40 index companies with operations in the rest of Africa?" Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64852.

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The performance of private equity companies compared to that of major stock exchange indices has been well researched internationally. Benchmarking the performance of private equity enables investors to build a compelling investment case for investing in this asset class, as a channel to diversify their portfolios. The issue of liquidity and higher fees associated with private equity when compared to other asset classes, is considered to be one of the main factors that reduce investor appetite for private equity. This study focuses on the performance of South African private equity firms with
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Ngcobo-Koyana, Mandlenkosi Svato. "Statistical arbitrage on the FTSE/JSE TOP 40 index." Thesis, 2017. http://hdl.handle.net/10539/23134.

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Submitted as a Requirement of the Master of Management (Finance and Investment Management) University of the Witwatersrand Business School Johannesburg<br>The mid 2000’s saw the materialization of research into the financial engineering field of high frequency trading. It is arguable that the most prominent model to emerge from the research has been pairs trading. This idea can be extended to allow for more than two assets in a modelling method now known as statistical arbitrage. The research identifies a collection of assets with a deterministic component; it then follows a multiple linea
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Coetzee, Alisha. "Effects of final dividend announcements on share prices of companies of the FTSE/JSE Top 40 index." Thesis, 2014. http://hdl.handle.net/10210/12268.

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M.Com. (Investment Management)<br>The study investigates the effects of final dividend announcements on the share prices of the FTSE/JSE Top 40 Index for the period 2003-2012. A classical event study methodology was applied to test the data. Over the sample period the Abnormal Returns (AR), Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) were calculated. The final sample consisted of 13 companies that included 144 dividend announcement events. The results indicated that although dividend announcements seem to have a positive effect on share prices, the returns yie
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Devonport, Mathew Robin. "The performance of a momentum strategy during bull and bear periods on the JSE/FTSE Africa Top 40 Index." Thesis, 2014. http://hdl.handle.net/10210/9627.

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M.Com. (Financial Management)<br>This paper studies the effects of bull and bear market states on the profitability of a momentum investment strategy. That is, a strategy that buys past winners and sells past losers is simulated over the period 3 July 2002 to 8 August 2012 and its profitability is reviewed in light of bull and bear sub-periods. Such an investment strategy has been shown to yield abnormal returns in several markets around the world, including the South African stock market. By doing so, these studies challenge the efficient market hypothesis, a central and widely accepted hypot
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Lawa, Emmanuel. "An analysis of the effect of managerial overconfidence through corporate investments on share price : evidence from some FTSE/JSE Top 40 index companies." Thesis, 2017. http://hdl.handle.net/10321/2559.

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Submitted in partial fulfillment of the requirements for the degree of Masters of Management Sciences Business Administration, Durban University of Technology. Durban, South Africa, 2017.<br>The discipline of corporate finance has undergone numerous transformations over the past two-and-a-half decades. One such change has been in the area of corporate finance. Driven by certain behavioral biases, it has been observed that managers sometimes make subjective decisions that do not always follow the norms of traditional corporate finance. One such behavioral influence is overconfidence or optimism
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KABORE, GUILLAUME VALERY TUWENDGOAMA, and 葛吉優. "Estimating the Stocks Returns of the South African’s FTSE/JSE TOP 40 Index, using the Fama French Three-Factor Model and the Country Risk Premium approach." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/z95qrn.

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碩士<br>國立中山大學<br>國際經營管理碩士學程<br>103<br>The main objective of this study is to estimate the stocks returns of the South African’s FTSE/JSE top 40 index, using the Fama French Three Factor model and the country risk premium approach. The construction of the six size portfolios followed the same process in Fama and French (1993). The period for the estimation spans from 07/2007 to 11/2014. In addition to the three factor model, we added a country risk premium’s estimation value. The estimation approach which is the Country Default Spread, followed Damodaran (2013). As Fama and French (1993) predict
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