Dissertations / Theses: 'Johannesburg Stock Exchange (JSE)'

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Moodley, Tashinee. "Fundamental momentum on the Johannesburg Stock Exchange." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22778.

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Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisation, whilst the third strategy combined stocks with momentum in both stock price and respective fundamental variable.Using a non-probability sampling method, a total of 109 stock listed on the JSE over the period 1999-2010 were tested. Momentum in stock price and respective fundamentals was used to rank stocks into quintiles. The viability of each investment strategy was measured by comparing its average and risk adjusted returns to the market.The results revealed that fundamental momentum can beat market returns, with the highest amount of significant differences found using momentum in return on equity. The combination strategy also reported results of beating the market, with the higest amount of significant differences found using the 12 month fundamental momentum combined with 6 month price momentum.
Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
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Patel, Zubair. "Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33929.

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Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.

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Mabhunu, Mind. "The market efficiency hypothesis and the behaviour of stock returns on the JSE securities exchange." Thesis, Rhodes University, 2004. http://hdl.handle.net/10962/d1002762.

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While the Efficient Market Hypothesis (EHM) has been widely accepted as robust by many researchers in the field of capital markets, the hypothesis’ robustness has been under increased scrutiny and question lately. In the light of the concerns over the robustness of the EMH, the weak form efficiency of the JSE is tested. Stock returns used in the analysis were controlled for thin trading and it was discovered that once returns are controlled for thin trading, they are independent of each other across time. Some of the previous studies found the JSE to be inefficient in the weak form but this research found that the JSE is efficient in the weak form. A comparison is also made between the JSE and four other African stock markets and the JSE is found to be more efficient than the other markets. The developments on the JSE, which have improved information dissemination as well as the efficiency of trading, contributed to the improvement of the JSE’s efficiency. The improvement in operational efficiency and turnover from the late 1990s has also made a major contribution to the improvement in the weak form efficiency of the JSE. Theory proposes that if markets are efficient then professional investment management is of little value if any; hence the position of professional investment managers in efficient markets is investigated. Although the JSE is found to be efficient, at least in the weak form, it is argued that achieving efficiency does not necessarily make the investment manager’s role obsolete. Investment managers are needed even when the market can be proved to be efficient.

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Zuka, Mawethu. "Stalking black swans, dragon kings, and market crashes on the JSE." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/18376.

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This paper examines bubbles on the JSE All Share Index as well as the critical time of the stock market crash from 2/01/ 2004 – 27/03/2014. The underlying hypothesis define bubbles as extreme and begin as a group of small events which grow in a super exponential form explained by a log periodic power law model (LPPL model). The hypothesis is based on the assumption of investors’ herding behavior, where investors collude by making investment decision correlated with their counterparties. The paper implements a Savitzky Golary Algorithm to detect peaks and calculate the critical time of the crash from the peaks. An Ordinary Least Squares (OLS) method is used to determine both the value of stock market price index at the critical time and the increase in the stock market price index over the time before the crash. The remaining parameters of the LPPL model are estimated using a Maximum Likelihood Estimation method. On the empirical results; 68 peaks were detected, and the LPPL model at the critical crash time is estimated 34736.586. Five bubbles are detected; the 15/8/2005 bubble, 28/5/2013 bubble, 23/8/2013 bubble, 5/11/2013, and 1/20/2014.

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Viljoen, Louis Egbert. "Residual momentum and investor sentiment on the Johannesburg Stock Exchange (JSE)." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/59799.

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Momentum has been described as the premier financial market anomaly (Fama & French, 2008), but styles based on this phenomenon tend to suffer intermittent crashes (Barroso & Santa-Clara, 2015). The study investigated a variation on momentum that considers only firm-specific returns, determined from the residual remaining after deducting returns attributable to common risk factors, when selecting portfolio constituents. This prevents concentrated exposure to common risk factors in any one portfolio. The method is known as residual momentum and has shown great promise to improve risk-related returns. Investor sentiment is another financial market phenomenon and is often explained by means of the same behavioural factors as momentum. The study also considered the effect of investor sentiment on momentum in order to document the effect on the JSE, to shed further light on the driving factors behind the phenomena, and to explore practical investment opportunities. Equally weighted conventional momentum and residual momentum portfolios were constructed from the largest 160 stocks on the JSE on a quarterly basis over the last 27 years in order to compare the styles' performances. In addition, momentum returns were compared across different sentiment states, defined based on the level of investor sentiment as proxied by a consumer confidence index orthogonalised to various macroeconomic variables. Residual momentum was found to provide better risk-adjusted returns than conventional momentum on the JSE. Investor sentiment showed an effect on momentum styles, with residual momentum most profitable following pessimistic formation periods and conventional momentum most profitable following non-pessimistic periods.
Mini Dissertation (MBA)--University of Pretoria, 2017.
nk2017
Gordon Institute of Business Science (GIBS)
MBA
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Van, Heerden Carel. "Is the AltX doing what it is supposed to do? An analysis of the JSE Alternative Exchange." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/97366.

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Thesis (MBA)--Stellenbosch University, 2015.
ENGLISH ABSTRACT: This research report investigates the history and current status of the Johannesburg Stock Exchange Alternative Exchange and its performance over time. The focus is on comparing the AltX with the JSE Main Board, the JSE top 40, The JSE Small Cap Index and London’s Alternative Investments Market AIM. The different listing requirements and the JSE Main Board will be explored. It then goes further to compare the performance of the JSE with that of AltX and AIM over time. A comparison between listings and de-listings is drawn between the AltX and the JSE Main Board. Complete risk analysis is then conducted in an attempt to compare the risk of listing on AltX, JSE and AIM and determine whether the AltX holds more risk than the other exchanges given its relaxed listing requirements and market sentiment around AltX. In comparing risk analysis with market sentiment as well as actual results, it can be concluded that AltXwhen analysed using beta; standard deviation; maximum draw down; Value at Risk; and the Sharpe ratio, does not carry significantly more risk than the JSE Main Board or AIM. The AltXdoes meet its requirements and is doing what it is designed to do, namely offering an opportunity for small and medium sized companies to raise capital and providing investors with the opportunity to become shareholder and trade in those shares as well as being a spring board to the JSE Main Board, but that moving to the Main Board does not always create more value for shareholders or has a positive influence on share price or liquidity.This brings the conclusion that company performance is still based on the individual performance of the company and not dependant on where the company is listed.

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Oosthuizen, Gerhard. "Analysing cash retained by companies declaring scrip dividend on the Johannesburg Stock Exchange." Thesis, Stellenbosch : University of Stellenbosch, 2009. http://hdl.handle.net/10019.1/5046.

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Thesis (MBA (Business Management))--University of Stellenbosch, 2009.
ENGLISH ABSTRACT: The research report investigated scrip dividends declared by companies on the Johannesburg Stock Exchange (JSE). Scrip dividends started becoming popular in 1993, due to the introduction of the secondary tax on companies (STC). The purpose of the study was to calculate the total amount of money not paid out as dividends, but retained within the company as cash. No single source could be found which provided sufficient dividend information. Eventually the JSE Monthly Bulletin, Reuters, McGregor BFA and the Hamman financial dataset had to be combined to collect a single set of scrip dividends. Changes in the number of shares issued were used as a way to calculate scrip dividends that were not available, or to crosscheck with the Hamman dataset. All along the way various validations were performed to ensure data consistency. For example, the percentage of shares for which scrip dividends were paid out was checked to ensure that the calculated amount of scrip shares issued were within acceptable boundaries. Furthermore, the equivalent scrip option value on the last date to register (LOR) was compared to the cash dividend option to ensure that the values were of equivalent sizes. In total, 754 scrip dividends were included in the report. For these dividends, R33 265 million was not paid out as cash dividends, but retained within the company. The equivalent share value of those shares on the LOR is R35 337 million. Only R19 576 million was paid as cash. This means that 63% of the total dividend payout was reinvested in the companies. Analysis of the LOR dates shows that 1995 to 1997 were the most popular years for scrip, with more than 130 cases every year. From 1994 to 2000, there were more than 40 scrip dividends every year. Not much has been written in South Africa about the impact and usage of scrip dividends. The research report has for the first time created a consolidated datasheet containing scrip dividend details, allowing further research. The R33 265 million reinvested in the economy has perhaps helped fuel the successful growth of the South African economy over the last 10 years.
AFRIKAANSE OPSOMMING: Die navorsingsverslag ondersoek skripdividende wat verklaar is deur maatskappye op die Johannesburgse Effektebeurs (JSE). Skripdividende het gewild begin raak in 1993 as gevolg van die bekendstelling van sekondêre belasting op maatskappye (STC). Die doel was om die totale kontantbedrag te bereken wat behou is in die maatskappy, en dus nie uitbetaal is as dividende nie. Geen enkele bron kon gevind word wat volledige inligting oor skripdividende bevat het nie. Uiteindelik is die JSE Monthly Bulletin, Reuters, McGregor BFA en die Hamman finansiele datastel gekombineer in 'n enkele versameling van skrip dividende. Veranderinge in the totale hoeveelheid uitgereikte aandele is gebruik as 'n manier om die skrip aandele wat uitgereik is te bereken, en te korrelleer met die Hamman datastel. Gedurende die dataversamelingsproses is daar verskeie toetsdatapunte bereken, om die data integriteit te verseker. Byvoorbeeld, die persentasie aandele waarvoor skrip uitgereik is, is geverifieer om seker te maak dat die berekende hoeveelheid skrip aandele binne geldige grense was. Verder is die kontantwaarde van die skrip aandeel, soos op die laaste dag van registrasie (LOR), vergelyk met die kontant dividendopsie, om te verifieer dat die waardes van soortgelyke groottes was. In totaal is daar 754 skripdividende ingesluit in die verslag. Vir hierdie dividende is R33 265 miljoen nie uitbetaal as kontant dividende nie, maar as skrip aandele. Die ekwivalente aandeelwaardes van hierdie uitgereikte aandele op die LOR was R35 337 miljoen. Slegs R19 576 miljoen is uitbetaal as kontant. Dit beteken dat 63% van die totale dividenduitbetaling herbelê is in die maatskappye as skrip-aandele. Analise van die dividend LDR datums wys dat 1995 tot 1997 die gewildste jare was vir skrip, met meer as 130 gevalle per jaar. Van 1994 tot 2000 is daar elke jaar meer as 40 skripdividende uitgereik. Daar is nog nie veel oor die impak en gebruik van skripdividende in Suid-Afrika geskryf nie. Die navorsingsverslag het vir die eerste keer 'n gekonsolideerde skripdividend datastel geskep waarmee verdere navorsing gedoen kan word. Die R33 265 miljoen wat herbelê is in die ekonomie het moontlik bygedra tot die ongekende groei in die Suid-Afrikaanse ekonomie oor die laaste 10 jaar.

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Snyman, Hendrik Andries. "Investigating momentum on the Johannesburg Stock Exchange." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6613.

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Thesis (MScEng (Industrial Engineering))--University of Stellenbosch, 2011.
ENGLISH ABSTRACT: Applying the Industrial Engineering systems approach, this dissertation utilised the theories and propositions of previous studies to argue (model) the cause of financial herd behaviour and the subsequent momentum effect. From this, a hypothesis was postulated to test: whether momentum is a common attribute amongst top performing shares, whether technical analysis indicators can better identify the phenomenon, and whether the return from these shares would justify momentum as a viable investment strategy. A unique experiment derived from previous academic studies was adapted to explore the degree of the momentum phenomenon. This was done by ranking shares according to both technical analysis as well as pure price performance momentum criteria. Returns were translated as a rank in relation to the market as a whole, thereby minimising any effects that different market periods could have on a momentum return relationship. The degree of the relationship was evaluated by applying the alternative Spearman Rank Order Correlation Co-efficient in conjunction with a permutation test to determine the statistical significance of any trends. The viability of the phenomenon as an investment strategy was gauged by comparing annualised average returns against both the market capitalisation weighted JSE All Share Index as well as against an un-weighted representation of the market. The results revealed a seemingly unambiguous co-dependence between momentum and return with statistically significant trends being ever present. Applying the maximum taxes and trading costs revealed that the highest ranked momentum shares did indeed outperform both market benchmarks from the period of January 1990 to August 2009, suggesting the validity of the philosophy as an investment strategy. The outcome of the study in part rejected the null hypothesis, as technical indicators were unable to identify future top performing shares better, with price performance momentum measures delivering the superior returns. Future studies may include optimising the various technical indicators towards the JSE rather than using generic settings. Other interesting topics could include combining momentum with other investment strategies to investigate synergy and further pinpointing the source of the phenomenon. Over the past number of years, tighter controls and monitoring of investments has resulted in the documentation of the individual number of shareholders who are buying and selling shares. Utilising this data over the next number of years, an experiment could attempt to relate the number of individual investors trading in a particular share to herd behaviour and the subsequent momentum effect.
AFRIKAANSE OPSOMMING: Die verhandeling, binne die bedryfsingenieursstelsels benadering, gebruik teorieë en voorstelle van vorige studies om die gevolge van finansiële gedrag en die gevolglike momentum effek te bespreek. Uit die analise is ‘n voorstel saamgestel om die volgende te toets:Is momentum ‘n algemene verskynsel by aandele wat goed presteer, en kan tegniese analitiese indikatore die verskynsel beter verklaar, en dui die opbrengs van die aandele daarop dat momentum ‘n bruikbare beleggingsstrategie is. ‘n Unieke eksperiment uit vorige studies is aangepas om die aard van die momentum verskynsel te ondersoek. Dit was gedoen deur aandele volgens beide tegniese analise asook suiwer prestasie momentum kriteria te klassifiseer. Opbrengste is met die hele mark in konteks geplaas om sodoende enige impak van verskillende mark tye op die momentum opbrengs verhouding te elimineer. Die verband is opgestel deur die alternatiewe “Spearman Rank Order Correlation koëffisiënt” saam met permutasie toetse te gebruik om die statistiese belangrikheid van enige neigings uit te wys. Die geldigheid van die verskynsel as ‘n beleggingsstrategie is gemeet deur jaarlikse gemiddelde opbrengste teen beide die markkapitalisasie geweeg teen die JSE Alle Aandele Indeks sowel as ‘n ongeweegde verteenwoordiging van die mark te bepaal. Die resultate dui op ‘n interafhanklikheid tussen momentum en opbrengste met statistiese neigings altyd teenwoordig. Deur die maksimum belasting en verhandelingskoste toe te pas wys dit dat die hoogste momentum uitgewyste aandele die markriglyne uitpresteer het van Januarie 1990 tot Augustus 2009 wat die geldigheid van die benadering as ‘n beleggingsstrategie bevestig. Die studie verwerp die nul hipotese gedeeltelik in die sin dat dit nie toekomstige top presterende aandele kan uitwys nie, maar aan die ander kant gee prysprestasie momentum meting wel buitegewone opbrengs. Toekomstige studies mag die optimisering van verskeie tegniese indikatore van die JSE insluit, ‘n kombinasie van momentum met ander beleggingsstrategieë gebruik, en verder die bron van die verskynsel vas pen. Oor die afgelope aantal jare het beter beheer en die monitoring van beleggings die dokumentasie van individuele aandeelhouers moontlik gemaak. Hieride data sou kon gebruik word as ‘n toets om die korrelasie tussendie aantal aandeelhouers wat ‘n spesifieke aandeel verhandel en tropgedrag te bepaal en om dit te gebruik om die momentum effek beter te verklaar.

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Voigt, Ivan. "Published share tips : do they out-perform the JSE?" Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/49704.

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Study project (MBA) -- University of Stellenbosch, 2001.
University of Stellenbosch Business School
ENGLISH ABSTRACT: This study considers share tips published in a respected publication, and determines whether an investment strategy based on the recommendations of its journalists could allow investors to exceed the stock market average. Six journalists were selected, and the recommendations that they made over a 30-month period grouped into “buy” and “do not buy” recommendations. The change in price of the recommended shares was measured after periods of one week, one month, three months and six months after the date of publication and after inclusion of dividends paid during those periods, returns were calculated. The returns attained for each share was compared to the return on the JSE-Overall Index during that period, the difference between the two being the excess return of the share. The excess returns of the shares recommended by each journalist were used to calculate portfolio excess returns, on which tests of statistical significance carried out. The portfolio of one journalist showed statistically significant excess returns in all four periods under review. One other achieved a statistically significant excess return over 1 week. No other portfolios achieved significant excess returns over the market.
AFRIKAANSE OPSOMMING: In hierdie werkstuk word die aandeelwenke wat in ‘n gerespekteerde tydskrif gepubliseer is, ondersoek om vas te stel of ‘n beleggingsstrategie wat op die wenke van die joernaliste gebaseer is, die mark gemiddlede opbrengs kan klop. Ses joernaliste is gekies, en hul wenke oor ‘n periode van 30-maande is geklassifiseer in “koop” en “nie koop” wenke. Vir die “koop” wenke is die prys-verandering oor tydperke van een week, een maand, drie maande en ses maande gemeet. Opbrengste met insluiting van dividende is bereken. Die opbrengste is met die JE-algehele indeks se opbrengs vir elk van die periodes vergelyk, en die verskil is as bo-opbrengste gedefinieer. Die bo-opbrengste vir elke aandeel is gebruik om portfolio bo-opbrengste te bereken, weereens vir elk van die periodes. Hierdie bo-opbrengste is vir statistiese betekenisvolheid getoets. Die portfolio van een joernalis het statisties beteksnisvolle bo-opbrengste vir al vier periodes getoon. Die portfolio van een ander joernalis het statisties betekenisvolle bo-opbrengste vir ‘n hou-periode van een week getoon. Geen ander portfolios het bo-opbrengste getoon nie.

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Van, Heerden Gillian. "An analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE)." Thesis, Rhodes University, 2015. http://hdl.handle.net/10962/d1017546.

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The underpricing of initial public offerings (IPOs) and their subsequent low long-run performance represents one of the anomalies observed in primary markets worldwide. However, the depth and breadth of it varies from country to country, and sector to sector. Literature has documented that the phenomenon surrounding the long-run post issue performance of IPOs is not unique and that quite similar patterns can be found regarding firms making seasoned equity offerings (SEOs). This study is an empirical analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE). Using data for 141 South African IPOs that were listed on the JSE Mainboard from 2001 to 2010, significant short-run underpricing is found. A sector wise analysis of three broad sectors indicated that the ‘other’ sector had the largest IPO underpricing after the first few days of trading. The year-wise analysis is also documented. In the long-run this study showed that IPOs in South Africa underperformed two out of three benchmarks in 36 full months post listing. In contrast, using data for 50 South African SEOs during 2003 to 2010, superior SEO performance is found over a 36-month period when assessed using a size and industry adjusted benchmark. Various cross-sectional and time-series patterns in the aftermarket performance of IPO and SEO firms are also documented

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Harrisberg, Richard. "An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange." Master's thesis, Faculty of Commerce, 2019. https://hdl.handle.net/11427/31727.

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The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks.

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Ncemane, Zuko. "Development of a theoretical model of integrated reporting for Johannesburg Stock Exchange (JSE) listed companies." Thesis, Nelson Mandela Metropolitan University, 2014. http://hdl.handle.net/10948/11265.

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Purpose – The purpose of this case study research was to develop a theoretical model of integrated reporting for Johannesburg Stock Exchange (JSE) listed companies. Design/Methodology/Approach – The goal of this case study research was to understand how and why integrated reports are prepared, to develop a theoretical model of integrated reporting for JSE listed companies through literature review and analysis of published integrated reports. In addition, to investigate the perceived success of integrated reporting by examining its requirements, objectives, enforceability and implications to the listed companies. Based on the above, to determine how companies fulfil the requirements of integrated reporting and what those requirements are. To determine by comparing published integrated reports of companies, similarities or comparability of the information published on integrated reports ascertaining the measurability of the success of the application of integrated reporting. Practical implications – This case study research provides a useful insight into drivers of integrated reporting. Limitations to the study – The lack of responses from industry experts contacted for interviews considered a limitation in validating the outcome of the study. Originality/Value – This case study research looks at the current adoption and application of integrated reporting by JSE listed companies.

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Gelderblom, Christo. "JSE securities exchange : is there a justification for low voting shares?" Thesis, Stellenbosch : Stellenbosch University, 2006. http://hdl.handle.net/10019.1/20750.

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A Research Report presented to the Graduate School of Business of the University of Stelienbosch in partial fulfilment of the requirements for the degree of Master of Business Administration
Thesis (MBA)--Stellenbosch University, 2006.
ENGLISH ABSTRACT: Certain companies in South Africa have dual classes of shares listed on the JSE Securities Exchange i.e. ordinary shares and N shares. Ordinary listed shares, nonmally holds one vote per share, are referred to as superior voting shares. Restricted voting shares have restricted voting benefits to the shareholders, in some cases one vote casting for thousand shares held. Some companies have listed N shares on the JSE Securities Exchange; these are the South African shares with restricted voting powers. A total of 34 companies have issued low voting shares in South Africa, 2 companies started as far back as 1990. Naspers Limited is the only company that has listed only low voting shares. This study investigates the justification for companies issuing low voting shares by comparing the price performance of these shares and also investigates the justification for shares with restricted voting rights. Tests are conducted to detenmine whether a premium is paid for South African superior voting shares by comparing the share prices of superior voting shares and restricted voting shares on the same day of trading on the JSE Securities Exchange. Various parties in the South African business community have opinions and arguments against and in favour of low voting shares; the reasons for the issuing of low voting shares are under scrutiny. In addition to the above mentioned tests the factors influencing the voting premium have also been investigated. The benefits of restricted shares are also investigated. The results of tests conducted on dual share classes trading in South Africa are compared with the results of similar studies on share price information of dual share classes trading on international stock exchanges. The findings of the study are: Ordinary listed shares are trading at a premium comparing to restricted voting shares, in South Africa the premium is calculated at 9.83%; The payment of dividends to shareholders does not influence the share premium; The ratio of ordinary shares in relation to total shares issued does not influence the VRP of a company; The capitalisation of company, in other words the outstanding number of ordinary shares valued at the market price, does not influence the voting premium; and Companies being controlled by families or major shareholding groups are more likely to issue shares with restricted voting rights; The conclusion of the study is that the limited benefits are offered to the owners of the companies that have issued the dual classes of shares and not to the investors' public. These owners of superior voting shares have utilised restricted voting shares to remain in control of the companies and get access to relative cheap investors funding. Restricted voting shares' popularity declined to the end of 1992, the phenomenon is consistent with demise of restricted voting shares in France
AFRIKAANSE OPSOMMING: Sommige Suid Afrikaanse genoteerde maatskappye het verskillende klasse aandele genoteer op JSE Securities Exchange. Daar word tel kens na gewone genoteerde aandele verwys as aandele met superieure stem reg, die aandele sal sonder uitsondering een stem hou vir elke uitgereikte gewone aandeel. In Suid-Afrika staan aandele met beperkte stem reg bekend as N-aandele. Die betrokke aandele het nie dieselfde stem reg voordele as gewone aandele nie en kan tot een stem per duisend uitgereikte aandele dra. 'n Totaal van 34 maatskappye het beide klasse aandele genoteer, Naspers Beperk is die enigste maatskappy wat slegs aandele met beperkte stemreg genoteer het. Die verhandeling ondersoek of daar enige geldige rede is vir die uitreiking van aandele met beperkte stem reg. 'n Ondersoek word geloods deur te kyk na die prysgedrag van die twee verskillende tipes aandele naamlik gewone en Naandele. Die redes vir enige prysafwykings word ook ondersoek. 'n Vergelykings tussen die aandelepryse van aandele met superieure stemreg en aandele met beperke stemreg (soos genoteer op die JSE Securities Exchange) word gedoen om te bepaal of aandele met superieure stem reg teen 'n premie verhandel. Verskeie partye het argumente en opinies teen en ten gunste van die gebruik van aandele met beperkte stemreg. die redes vir die uitreiking van aandele met beperkte stem reg word onder die vergrootglas geplaas. In Verdere ondersoek na die faktore wat verantwoordelik kon wees vir die premieverskil tussen aandeelpryse van aandele met superior stemregte en aandele met beperkte stemregte word ook gedoen. Daar word ook ondersoek of daar enige voardele is vir die uitreik van aandele met beperkte stemreg. Die studie sluit af met 'n vergelyking van die resultate in 'n Suid-Afrikaanse beleggingingomgewing met die resultate van soorgelyke studies wat gedoen is op aandeleinligting van verskeie intemasionale aandelebeurse waar aandele met beide superieure en beperkte stem reg genoteer is. Die bevindinge van die studie is as volg: Gewone genoteerde aandele (aandele met superieure stemreg) soos genoteer op die JSE Securities Exchange verhandel teen 'n premie van 9.83% oor die tydperk onder oorskou in vergelyking met aandele met beperkte stemreg. Die beta ling van dividende aan aandeelhouers speel geen rol op die grootte van die pryspremie in die verhandeling van gewone genoteerde aandele en aandele met beperkte stem reg. Die verhouding tussen gewone aandele in verhouding to totale aandele uitgereik speel nie 'n rol in die grote van die pryspremie nie; Die kapitalisasie van die maatskappye, met ander word die uitstaande gewone genoteerde aandele teen markprys, speel geen rol in die graolle van die pryspremie nie; en Die aandeelhouersstruktuur speel 'n ral in die uitreiking van aandele met beperkte stemreg. Maatskappye wat beheer word deur families of graot houermaatskappye is geneig om aandele met beperkte stemreg uit te reik. Die gevolgtrekking van die studie is dat aandele met beperkte stemreg wei voordele het, in die geval nie vir die breer beleggingspubliek nie maar wei vir persone of instansies in beheer van die spesifieke maatskappye met beide klasse aandele. Aandele met beperkte stemreg is gebruik am toegang te verkry tot goedkoop befondsing sander am beheer van die maatskappye te verloor. Aandele met beperkte stemreg se gewildheid het begin afneem, nie net in Suid-Afrika nie maar oak in Frankryk waar baie maatskappye besluil hel om weg Ie doen mel die soort aandele.

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Van, der Merwe Joachim Christoffel. "The effectiveness of the Piotroski screen for value stock selection on the JSE." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/23061.

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This research project investigated the effectiveness of the Piotroski screen to select financially sound stocks from the upper quintile of high book-to-market value (growth) stocks on the Johannesburg Stock Exchange (JSE). The period chosen for this study was all the years since the publication of the Piotroski screen in 2000 until the most recent financial year, 2011.Although no conclusive evidence was found that the mean returns from the portfolio of financially strong firms that were selected by means of the Piotroski screen were significantly better than the portfolio of value stocks, it was strongly suspected that the small group of firms that were signified as financially the strongest by the Piotroski screen had a decreased probability of containing firms with negative one year buy-and-hold returns compared to the other portfolios. Although the outcome was inconclusive due to small sample sizes, it was also strongly suspected that the one year buy-and-hold strategy yielded returns that were in the order of almost four times better than the five year buy-and-hold strategy.It was recommended that, in order to minimise suboptimal investor behaviour caused by psychological biases on the JSE, investors should adopt a mechanical investment method based on objective financial statement analysis, using the Piotroski screen to select financially strong firms from the pool of value firms. It was further recommended that an annual portfolio balancing strategy should be used.
Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted

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Viljoen, Hendrina Helena. "Human Capital Return-on-Investment (HCROI) in South African companies listed on the Johannesburg Stock Exchange (JSE)." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/20047.

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Thesis (MComm)--Stellenbosch University, 2012.
ENGLISH ABSTRACT: The management of human capital requires meaningful measures of human capital effectiveness that enable better strategic human resource decision-making. Existing measures, such as Human Capital Return on Investment (HCROI), allow human resource managers to quantify the bottom-line impact of human capital expenditure, but little is known about how HCROI varies within the population of listed companies. As a result, users of these metrics rarely know how they ‘measure up’ against their competitors in the absence of normative information. If human capital is considered a source of competitive advantage, measures of human capital effectiveness should also allow for normative comparisons. The present study extracted audited financial data from McGregor BFA (2010) and described the central tendency and dispersion of HCROI of Johannesburg Stock Exchange (JSE) listed companies (N = 319). In doing so, it established a set of benchmarks for human capital effectiveness measures across industry and company size categories, as well as described temporal changes over the financial years surveyed (2006 - 2010). Even though South Africa is considered to have a very low labour force productivity level compared to other countries (Schwab, 2010 in World Competitive Report, 2010/2011), the results showed that the grand median HCROI ratio for South African listed companies was higher (M = 3.03) than those from published figures from the USA, EU and UK (PwC Saratoga, 2011). This descriptive research also explored the influence of company size (small, medium or large) and company industry (N = 42) on human capital effectiveness (as indexed by HCROI). No statistically significant differences (p > .05) between the median HCROI ratios across company size categories were found, although notable differences in medians of HCROI across company industry categories were observed. HCROI also showed temporal fluctuations over the study period, reflecting economic cycle influences, but year-on-year changes were bigger when the mean HCROI was used — median HCROI remained relatively stable year-on-year. From the research, several recommendations are made regarding the appropriate use of these HCROI benchmark data. Also, this descriptive study lays a solid foundation for future explanatory research aimed at investigating the antecedents, correlates and consequences of human capital return-on-investment (HCROI) as an indicator of human capital effectiveness. The present study contributes to human capital metrics literature by demonstrating how human capital effectiveness indicators can be calculated from audited financial results available in the public domain, and in doing so, attempts to encourage greater use of human capital reporting in financial reporting standards.
AFRIKAANSE OPSOMMING: Die bestuur van mensekapitaal vereis betekenisvolle metings van menskapitaaleffektiwiteit wat beter strategiese menslike hulpbron-besluitneming tot gevolg het. Bestaande metings, soos Menskapitaalbeleggingsopbrengs (HCROI), laat menslike hulpbronbestuurders toe om die finansiële impak van die menskapitaaluitgawe te kwantifiseer, maar min is bekend oor hoe menskapitaalbeleggingsopbrengste tussen die populasie van gelyste maatskappye varieer. Die gevolg is dat die gebruikers van hierdie metrieke aanduiders (metrics) selde weet hoe hulle ‘opmeet’ teen hul mededingers in die afwesigheid van normatiewe inligting. Indien menskapitaal as ‘n bron van ykmerk (benchmark) oorweeg kan word, moet die meting van menskapitaaleffektiwiteit ook normatiewe vergelykings toelaat. Die huidige studie het geouditeerde finansiële data vanaf McGregor BFA (2010) onttrek en die sentrale neiging en verspreiding van menskapitaalbeleggingsopbrengs van die maatskappye wat op die Johannesburgse Effektebeurs gelys is (N = 319), beskryf. Sodoende het dit ‘n stel ykmerke vir menskapitaaleffektiwiteit-metings daargestel oor die industrie- en maatskappy-grootte kategorieë heen, sowel as om reële veranderinge oor die finansiële jare (2006 – 2010) wat ondersoek is, te beskryf. Alhoewel Suid-Afrika met ‘n baie lae arbeidsmag produktiwiteitsvlak geag word in vergelyking met ander lande (Schwab, 2010 in World Competitive Report, 2010/2011), het die resultate getoon dat die algehele mediaan menskapitaalbeleggingsopbrengs ratio vir Suid-Afrikaans-gelyste maatskappye hoër (M = 3.03) was as die gepubliseerde syfers van die V.S.A., Europa en die Verenigde Koninkryk (PwC Saratoga, 2011). Hierdie beskrywende navorsing het ook die invloed van maatskappy-grootte (groot, medium of klein) en maatskappy-sektore (N = 42) op menskapitaaleffektiwiteit (soos geïndekseer deur die menskapitaal-beleggingsopbrengs) ondersoek. Geen statistiese beduidende verskille (p > .05) is tussen die menskapitaalbeleggingsopbrengs mediaan ratio’s oor die maatskappy-grootte kategorieë gevind nie, alhoewel daar noemenswaardige verskille in die mediaan van menskapitaalbeleggingsopbrengs oor die maatskappy-sektor kategorieë waargeneem is. Menskapitaalbeleggingsopbrengs het ook temporale skommelinge oor die studieperiode getoon, wat ekonomiese siklus-invloede reflekteer het, maar jaar-op-jaar veranderinge was groter indien die gemiddelde (mean) menskapitaalbeleggingsopbrengs gebruik was – mediaan menskapitaalbeleggingopbrengs het relatief stabiel van jaar-tot-jaar gebly. Uit hierdie navorsing word verskeie aanbevelings gemaak rakende die toepaslike gebruik van die menskapitaalbeleggingsopbrengs ykmerk-data. Die beskrywende studie lê ook ‘n vaste fondament vir toekomstige verklarende navorsing wat daarop gerig is om die voorafgaande veranderlikes (antecedents), korrelate en gevolge van menskapitaalbeleggingsopbrengs as ‘n indikator van menskapitaaleffektiwiteit te ondersoek. Die huidige studie dra tot die menskapitaalmaatstawweliteratuur by deur te demonstreer hoe menskapitaaleffektiwiteit indikatore vanaf geouditeerde finansiële resultate kan bereken word wat op die openbare domein beskikbaar is. Daardeur word gepoog om groter gebruik van menskapitaalrapportering in finansiële verslagdoeningstandaarde aan te moedig.

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Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.

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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE's schedule 21 of Listing requirements. The focus of this dissertation is thus centred on whether the current adopted methodologies to establish a fair and reasonable pre-IPO share price is effective. To achieve this, global pricing methodologies were assessed within the framework of various valuation techniques used by South African Designated Advisors.

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17

Govender, Lerissa. "The South African Volatility Index (SAVI) as a tool for market timing on the Johannesburg Stock Exchange (JSE)." Master's thesis, Faculty of Commerce, 2018. http://hdl.handle.net/11427/30159.

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This study tests the viability of using the South African Volatility Index (SAVI) as a tool to time equity trades on the Johannesburg Stock Exchange (JSE), and uses technical analysis in the application of selected market timing trading strategies. This study therefore has very real practical relevance to investors on the JSE, who wish to take an active approach to investing. Using the JSE Top 40 Index for the period May 2007 to March 2018 as a sample, this investigation firstly considers whether the technical trading rules developed for the CBOE VIX, as used in the United States market, can be applied to the South African market using the SAVI as a market timing tool in order to outperform a passive buy-and-hold strategy. This involved switching the portfolio between the Top 40 equity index and the STeFI money market index, depending on the nature of the timing signals generated by the SAVI-based strategies. Secondly, this study considers the viability of using the SAVI in a market timing rule to take advantage of the documented size (small-capitalisation versus large-capitalisation) and style (value versus growth) anomalies on the JSE. In the first part of this study, it was found that three of the eleven market timing trading strategies outperformed the buy-andhold strategy before the inclusion of transaction costs. When compared to the results found by the researchers in the U.S context, it appears that these strategies are more successful in the U.S context using the VIX, as the majority of the trading strategies yielded positive excess returns over their respective sample periods. Additionally, in the second part of this study, it was found that the returns of the style strategy were not significant enough to deem it a profitable market timing strategy. However, the returns of the size strategy were significant enough to make it a profitable strategy. Transaction costs, applied at different levels, had a significant impact on the results of all strategies, with only one of the market timing strategies, namely the simple moving average strategy, beating the buy-and-hold strategy after transaction costs of up to 0.2% and 0.45% (for sales and purchases respectively) have been taken into account.

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Reisinger, Astrid Kim. "The effect of liquidity on stock returns on the JSE." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/71836.

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Thesis (MComm)--Stellenbosch University, 2012.
ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, value and momentum effects to be significant in explaining market anomalies by adding a further explanatory factor, namely liquidity. A standard CAPM, as well as a momentum-augmented Fama-French (1993: 3) model are employed to perform regression analyses to examine the effect of the four variables on excess stock returns. Results suggested that the log of the stock‘s market value best captured the size effect, the earnings yield best captured the value effect and the previous three month‘s returns best captured the momentum effect. Five liquidity proxies are used: the bid-ask spread first proposed by Amihud (1986: 223), turnover, the price impact measure of Amihud (2002: 31) and two zero return measures proposed by Lesmond et al. (1999: 1113). Despite prior studies having found liquidity to be an influential factor, this thesis found the opposite to be true. This finding remains robust, irrespective of the type of liquidity measure used. While size, value and momentum are found to be significant to a certain extent in explaining excess stock returns over the period, liquidity is not found to be significant. This is a surprising result, given that the JSE is seen as an emerging market, which is generally regarded as illiquid. This fact is exacerbated by the fact that the JSE is a highly concentrated and therefore skewed market that is dominated by only a handful of shares. Hence liquidity is expected to be of utmost importance. The result that liquidity is however not a priced factor on this market is therefore an important finding that requires further analysis to determine why this is the case. In addition, significant non-zero intercepts remained, indicating continued missing risk factors.
AFRIKAANSE OPSOMMING: In hierdie tesis word die effek van likiditeit op oormaat aandeel-opbrengste op die Johannesburg Effektebeurs (JEB) ondersoek gedurende die periode 2003 tot 2011. Dit bou voort op die bevindinge van vorige studies wat toon dat grootte, waarde en momentum beduidend is in die verklaring van mark onreëlmatighede deur 'n addisionele verklarende faktor, likiditeit, toe te voeg. 'n Standaard kapitaalbateprysingsmodel (KBPM) sowel as 'n momentum-aangepaste Fama-French (1993: 3) model word gebruik om deur middel van regressie analise die effek van die vier veranderlikes op oormaat aandeel-opbrengste te ondersoek. Die resultate toon dat die grootte effek die beste verteenwoordig word deur die logaritme van die aandeel se mark kapitalisasie, die verdienste-opbrengs verteenwoordig die waarde effek en die vorige drie-maande opbrengskoerse verteenwoordig die momentum effek die beste. Vyf likiditeitsveranderlikes is gebruik: bod-en-aanbod spreiding voorgestel deur Amihud (1986: 223), omset, die prys-impak maatstaf van Amihud (2002: 31) en twee nul-opbrengskoers maatstawwe voorgestel deur Lesmond et al. (1999: 1113). Afgesien van die feit dat vorige studies die effek van likiditeit beduidend vind, word die teenoorgestelde in hierdie tesis gevind. Hierdie bevinding bly robuus, ongeag van die likiditeitsveranderlike wat gebruik word. Terwyl bevind is dat grootte, waarde en momentum beduidend is tot 'n sekere mate in die verklaring van oormaat aandeel-opbrengste tydens die periode, is geen aanduiding dat likiditeit 'n addisionele beduidende verklarende faktor is gevind nie. Hierdie bevinding is onverwags, aangesien die JEB beskou word as 'n ontluikende mark, wat normaalweg illikied is. Hierdie feit word vererger deur dat die JEB hoogs gekonsentreerd is en dus 'n skewe mark is wat oorheers word deur slegs 'n hand vol aandele. Dus word verwag dat likiditeit 'n baie belangrike faktor behoort te wees. Die bevinding dat likiditeit nie 'n prysingsfaktor op hierdie mark is nie, is dus 'n belangrike bevinding en vereis verdere analise om vas te stel waarom dit die geval is. Addisioneel word beduidende nie-nul afsnitte verkry, wat aandui dat daar steeds risiko faktore is wat nog nie geïdentifiseer is nie.

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Van, Heerden Jan Hendrik. "Contribution of broad-based black economic empowerment to the financial performance of companies listed on the JSE during a recession." Diss., University of Pretoria, 2011. http://hdl.handle.net/2263/23356.

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The ANC government has implemented various mechanisms to promote inclusivity of all economic citizens over the past 15 years. The main objectives of all the policies was to promote economic transformation in order to enable meaningful participation of black people in the economy and to change the racial composition of ownership and management structures of existing and new enterprises. The purpose of the research was to determine the contribution of Broad-Based Black Economic Empowerment (BBBEE) to the financial performance of companies on the Johannesburg Stock Exchange (JSE) during the economic recession. The underlying assumption was that companies with greater overall BBBEE compliance rating should outperform companies with a lower overall BEE compliance rating. The top BBBEE rated companies on the JSE were analysed to determine whether these companies outperformed that sector indices. Market-to-book-value, Price-Earnings Ratio and Annual Return were used as financial performance measures. The results showed that there was a positive correlation between the companies’ BBBEE rating and the financial performance. On further investigation it was revealed that on average the companies with greater BBBEE ratings did not outperform companies with lower BBBEE ratings nor did they outperform the sector indices Copyright 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. Please cite as follows: Van Heerden, JH 2011, Contribution of broad-based black economic empowerment to the financial performance of companies listed on the JSE during a recession, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-03202012-121101 / > F12/4/211/gm
Dissertation (MBA)--University of Pretoria, 2011.
Gordon Institute of Business Science (GIBS)
unrestricted

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Madubela, Albert Dingalethu. "What shareholder information on the shareholder spread is disclosed in the financial statements of JSE listed entities in accordance with listing requirements of the JSE?" Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/8518.

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Thesis (MBA)--University of Stellenbosch, 2011.
The study was undertaken to determine whether companies listed on the Johannesburg Stock Exchange disclose shareholder spread in line with the available statutes such as the JSE Listing Requirements. Further, the study explored the closing balances for group, company, trusts, subsidiaries, and treasuries of all the 50 companies studied to ascertain whether there were differences with the ex WDH share program. Various sources to answering the question were used including the Internet, McGregor BFA, Annual Reports of the companies, and material from University of Stellenbosch Business School (USB). There were varying findings with regards to the study as it was found that some companies had differences in group, company, trusts, subsidiaries, and treasuries. Most of the differences were due to company mistakes, non-consolidation of trusts, and use of different methods. It was found that certain companies tend to omit certain information in disclosing the shareholder spread and this has resulted in many companies with differences in their closing balances for the company, group, trusts, subsidiaries, and treasuries. In addition, it was also discovered that certain companies disclosed major shareholders of less than the prescribed five percent which proved to be very helpful in this study.

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21

De, Goede Andre. "Investigating certain share buyback transactions by companies listed on the JSE for the period 2000 to 2005." Thesis, Stellenbosch : University of Stellenbosch, 2007. http://hdl.handle.net/10019.1/818.

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Thesis (MBA (Business Management))--University of Stellenbosch, 2007.
ENGLISH ABSTRACT: Prior to 30 June 1999 companies in South Africa were not allowed to buy back their own shares. Amendments to the Companies Act, the Companies Amendment Act (Act 37 of 1999) radically changed the philosophy around capital maintenance. The result of this amendment is that a company is allowed to buy back its own shares and finance the backbuying of its shares under certain circumstances. A sample of 140 companies listed on the Johannesburg Securities Exchange for the period 2000 to 2005 was selected. The backbuying of shares by the relevant company, subsidiary and trust was analysed for the period 2000 to 2005. For the purposes of this empirical study, the financial sector, as well as the alternative exchange, that is focussed on good quality small and medium-sized high growth companies, were excluded during sample selection. The outcome of this exploratory study is the identification of the fact that a share buyback took place or not in Tables 4.1 and 4.2; a summary of the number of shares bought back in Table 4.3; and, in Table 4.4, a summary of the number of shares bought back, expressed as a percentage of the weighted average number of shares in issue.
AFRIKAANSE OPSOMMING: Maatskappye in Suid-Afrika was voor 30 Junie 1999 deur die Maatskappywet verbied om hul eie aandele terug te koop. Wysigings aan die Maatskappywet, naamlik die Wysigingswet op Maatskappye (wet 37 van 1999) het ’n radikale verandering bewerkstellig in die filosofie rakende kapitaalinstandhouding. Die gevolg van dié wysigingswetgewing is dat maatskappye sedert 30 Junie 1999 hul eie aandele kan terugkoop en in sekere omstandighede die aankoop van hul eie aandele finansier. ’n Steekproef van 140 genoteerde maatskappye op die Johannesburgse Aandelebeurs is geselekteer vir die tydperk 2000 tot 2005. Die terugkooptransaksies van aandele deur die betrokke maatskappy, filiaal en trust is opgesom vir die tydperk 2000 tot 2005. Hierdie empiriese ondersoek het die finansiële sektor, asook die alternatiewe beurs van die Johannesburgse Aandelebeurs, wat fokus op goeie kwaliteit klein en mediumgrootte maatskappye met groot groeipotensiaal, tydens die steekproefseleksie uitgesluit. Die resultate van hierdie empiriese ondersoek is die identifisering en opsomming van die terugkooptransaksies van aandele vir die steekproef in Tabelle 4.1 en 4.2; ’n opsomming in Tabel 4.3 van die getal aandele teruggekoop; en ’n opsomming in Tabel 4.4 van die getal aandele teruggekoop, uitgedruk as ’n persentasie van die gemiddelde getal uitgereikte aandele.

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22

Bester, P. G. "Shareholder distribution choices for industrial companies listed on the JSE : share buybacks versus dividends." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/8443.

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Thesis (MBA)--Stellenbosch University, 2008.
ENGLISH ABSTRACT: Repurchasing of shares by South African companies were legalised on 1 July 1999. This introduced an alternative to dividends for distributing cash to shareholders. Although dividends and share repurchases realise the same value in a perfect efficient market, the inefficiencies of the South African stock market require managers to carefully evaluate factors like taxation and stock price valuation when selecting appropriate distribution methods. This research report aims to update shareholder distribution trends for industrial JSE listed companies over the past 10 years in order to determine the impact of share repurchases on dividend payouts. Furthermore, this research report examines the factors that may have had an impact on shareholder distribution choices in order to provide some guidelines for choosing appropriate distribution methods. An initial analysis of SENS share repurchase announcements revealed that 121 JSE listed companies repurchased about R50 billion worth of shares up to 30 June 2007. The bulk of the shares, 65% by value, were repurchased on the open market, while 35% was repurchased through specific fixed price offers. However, a comparison of accurate share repurchase data obtained from a sample of company annual reports, indicate that repurchase announcements understate actual repurchases by more than 20% on average. Further analysis of distribution trends were therefore based on actual repurchase data published in annual reports rather than SENS announcements. After the legalisation of share repurchases in South Africa, a decline in dividend paying companies was expected similar to that experienced by the United States since the 80's. However, a detailed analysis of 132 industrial listed companies indicated that the proportion of dividend paying companies increased from a level of 50% to almost 75% since the introduction of share repurchases. On the other hand, the proportion of companies repurchasing shares initially rose to over 25%, but then declined to below 20% by 2007. Ordinary dividends are the dominant shareholder distribution choice with 64% of companies opting for this method. Open market share repurchases have been well adopted with 17% of companies using this method, while only 5% and 4% of companies using special dividends or specific repurchases respectively. Dividends paid out of share premium (capital distributions) have also emerged as a favourite over recent years with almost 20% of companies using this shareholder distribution method. Current tax legislation do not provide all the advantages usually enjoyed by share repurchases internationally and have largely prevented dividends from being substituted by share repurchases. The decline in share repurchases up to 2007 also indicates that share repurchases become less effective as share prices increase to overvalued levels. While tax implications and stock price valuation remain the dominant determinants of shareholder distribution choice, this study shows that shareholder diversity, dividend preferences, size of distribution, and BEE requirements also have significant influences on the choice of distribution method in the South African context.
AFRIKAANSE OPSOMMING: Die terugkoop van aandele deur Suid-Afrikaanse maatskappye is wettig sedert 1 Julie 1999. Dit het 'n alternatief tot dividende in werking gestel om kontant aan aandeelhouers uit te keer. Alhoewel dividende en aandele-terugkoop dieselfde waarde in 'n perfekte doeltreffende mark realiseer, vereis die tekortkominge van die Suid-Afrikaanse aandelemark dat bestuurders faktore soos belasting en aandeelpryswaardasie versigtig moet oorweeg tydens die keuse van geskikte uitkeringsmetodes. Die doelwit van hierdie navorsingsverslag is om die tendense van uitkerings aan aandeelhouers te hersien vir industriele JSE-genoteerde maatskappye oor die laaste 10 jaar om sodoende die effek van aandele-terugkope op dividenduitbetalings te bepaal. Verder ondersoek hierdie navorsingsverslag ook die faktore wat moonlik 'n invloed op aandeelhouers-uitkeringskeuses gehad het, om sodoende riglyne vir die keuse van geskikte uitkeringsmetodes saam te stel. 'n Voorlopige analise van SENS-terugkoopaankondigings toon dat 121 JSE-genoteerde maatskappye ongeveer R50 miljard se aandele teruggekoop het tot en met 30 Junie 2007. Die grootste gedeelte van hierdie aandele, 65% se waarde, is op die ope mark teruggekoop terwyl 35% deur spesifieke vasteprys terugkope verkry is. 'n Vergelyking met terugkoopsyfers wat uit 'n steekproef van maatskappyjaarverslae geneem is, dui egter daarop dat aankondigings die ware terugkope met gemiddeld 20% onderskat. Verdere ontleding van aandeelhouers-uitkeringstendense word derhalwe gebaseer op syfers wat in jaarverslae gepubliseer is, eerder as SENS-aankondigings. Na die wettiging van aandele-terugkoop in Suid-Afrika, is verwag dat dividenduitbetalings sou daal soortgelyk aan dit wat in die Verenigde State ondervind is sedert die 80's. Die ondersoek van 132 genoteerde industriele maatskappye toon egter dat die persentasie van maatskappye wat dividende betaal van 50% tot bykans 75% toegeneem het sedert aandele-terugkoop 'n beskikbare opsie is. In teenstelling hiermee, het die persentasie maatskappye wat aandele terugkoop aanvanklik tot 25% gestyg, maar sedertdien afgeneem tot onder 20% teen 2007. Gewone dividende is die gewildste aandeelhouers-uitkeringsmetode met 64% van maatskappye wat van hierdie metode gebruik maak. Aandele-terugkope op die ope mark is goed verteenwoordig met 17% van maatskappye wat van hierdie metode gebruik gemaak het, terwyl slegs 5% en 4% van maatskappye onderskeidelik van spesiale dividende en spesifieke aandele-terugkope gebruik gemaak het. Dividende uit aandelepremie (kapitaaluitkerings) het ook na vore getree as 'n gunsteling keuse in die laaste paar jaar met bykans 20% van maatskappye wat hierdie uitkeringsmetode gebruik het. Huidige belastingswetgewing bied nie al die belastingvoordele aan aandele-terugkope wat normaalweg deur internasionale maatskappye benut word nie en het grotendeels verhoed dat dividende deur aandele-terugkoop vervang is. Die afname in aandeleterugkope tot en met 2007 is ook 'n aanduiding dat dit minder effektief raak soos wat aandeelpryse oor gewaardeerde vlakke styg. Terwyl belasting-oorwegings en aandeelpryswaardasies steeds die dominante drywers van aandeelhouersuitkeringskeuses bly, bevind hierdie studie dat faktore soos aandeelhouers se diversiteit, dividendvoorkeure, grootte van uitkerings, en vereistes van swart ekonomiese bemagtiging ook 'n noemenswaardige invloed op uitkeringskeuses binne die Suid-Afrikaanse konteks het.

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Traverso, Andre Barzellai Amedeo. "Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE." Master's thesis, University of Cape Town, 2000. http://hdl.handle.net/11427/7683.

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Bibliography: leaves 133-138.
The objective of the discussions and tests presented in this dissertation is to test the JSE as an efficient market. The statistical tests will be undertaken with the aim of observing trends in returns to investments on the JSE, whilst investment strategies that are based on assumptions contrary to those of the EMH will be created and their returns observed. The presence of observable patterns in returns and the ability of investment strategies to consistently earn excess positive returns have both been interpreted as providing evidence against the EMH. Thus, the results achieved in the present studies will be interpreted within a similar context. Evidence of price movements and returns behaviour that are contrary to those expected in an efficient markets would render one of the central assumptions of the CAPM questionable and one of the most widely used asset pricing models would be rendered ineffective. A further consequence of any conﬂicting results is that the theory of rational investors and their immediate reaction to new pertinent information will be refuted. The absence of rational decision makers would imply that current publicly available information does have value in terms of investment strategies, unlike in an efﬁcient markets The above mentioned efficient markets tests will be applied to the JSE so as to observe whether pricing errors do occur and whether these errors are sufficient to conclude that the JSE is not an efﬁcient market.

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24

Myburgh, Gustav. "Validation of the coherent market hypothesis using neural networks and JSE securities exchange data." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52601.

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Thesis (MBA)--Stellenbosch University, 2001.
ENGLISH ABSTRACT: Much research effort has been spent over the past few decades in the field of capital market analysis and modelling. This research was mostly based on static linear models or derivatives thereof such as the Efficient Market Hypothesis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory. This study project takes an interesting look at a contemporary capital market hypothesis, which is fundamentally based on a non-linear statistical model. The Coherent Market Hypothesis (CMH) was first formulated by Tonis Vaga in 1990. It is based on a theory of social imitation, taking factors such as the underlying fundamental situation and the level of crowd behaviour into account. It also includes the phenomenon of “random walk” as a special case. The CMH departs from the premise of rational investors and normally distributed share returns. In turn, it offers a series of “market states” ranging from trendless (random walk), through unstable transition into coherent bull or bear phases and ultimately into periods of chaotic fluctuation (panics and crashes). The CMH is mathematically formulated and therefore it offers many opportunities for experimentation. This study project is an investigation of the validity and application of the CMH using real JSE data. Artificial Neural Networks were applied as computational aids. The main objective was to demonstrate the CMH’s usefulness as a forecasting tool in both a quantitative as well as qualitative capacity. The results of the quantitative analysis were not as significant or valuable as initially expected. However, the usefulness of the CMH was demonstrated in a more qualitative sense. It is shown that the CMH offers a rich theoretical framework for interpretation, understanding and recognising of market dynamics.
AFRIKAANSE OPSOMMING: Gedurende die afgelope paar dekades is aansienlike hoeveelhede navorsing gedoen in die veld van kapitaalmark analise en modellering. Hierdie navorsing was hoofsaaklik gebaseer op statiese, lineêre modelle of afgeleides daarvan, naamlik die Efficient Market Hypothesis, die Capital Asset Pricing Model en die Arbitrage Pricing Theory. Hierdie werkstuk kyk vanuit ‘n interessante oogpunt na ‘n meer hedendaagse kapitaalmark hipotese wat fundamenteel gebaseer is op ‘n nie-lineêre statistiese model. Die Coherent Market Hypothesis (CMH) is oorspronklik geformuleer deur Tonis Vaga in 1990. Dit is gebaseer op ‘n teorie van sosiale nabootsing en dit neem faktore in ag soos die onderliggende fundamentele situasie asook die vlak van groepgedrag. Die verskynsel van “random walk” word ook ingesluit as ‘n spesiale geval. Die CMH wyk af van die aanname dat beleggers rasioneel optree asook van die aanname dat aandeel opbrengste normaal verspreid is. In teendeel, die CMH omvat ‘n reeks marktoestande wat wissel van die tendenslose (random walk) deur onstabiele oorgang na koherente bul- of beerfases en uiteindelik in tydperke van chaotiese skommelings (markineenstortings). Die CMH is wiskundig geformuleer en daarom bied dit vele geleenthede ten opsigte van eksperimentering. Hierdie werkstuk is ‘n ondersoek na die geldigheid en toepassing van die CMH met die gebruik van JSE aandeledata. Kunsmatige Neurale Netwerke is gebruik as berekeningshulpmiddels. Die hoofoogmerk was om die bruikbaarheid van die CMH as voorspellingshulpmiddel te demonstreer in beide ‘n kwantitatiewe sowel as kwalitatiewe opsig. Die resultate van die kwantitatiewe analise was nie so beduidend as aanvanklik verwag nie. Die bruikbaarheid van die CMH was wel gedemonstreer in ‘n meer kwalitatiewe opsig. Dit is ook aangetoon dat die CMH ‘n omvangryke teoretiese raamwerk bied vir die interpretasie, begrip en uitkenning van markdinamika.

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25

Luthuli, Sandile. "A study into the relationship between the price earnings ratio and the price book ratio on the JSE Securities Exchange." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52143.

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Thesis (MBA)--Stellenbosch University, 2001.
ENGLISH ABSTRACT: Academics, analysts and investors have always been intrigued by, and have always sought to identify with certainty, factors that determine investment returns and share price movements. In 1953 Maurice Kendall, following on the work of Louis Bachelier, made the revelation that share price movements followed a random pattern, i.e. they could not be predicted with certainty. Through continual research, two schools of thought emerged - fundamental and technical analysis. The fundamentalists' perspective is that through thorough due diligence analysis of current and historical data, one will be able to identify good investment prospects.The latter stipulates that future price movements can be predicted from previous price movements, i.e. historical patterns replicate themselves over time. The random walk theory suggested by Kendall was followed by the Capital Asset Pricing Model (CAPM) as developed and refined by Sharpe (1964), Lintner (1965) and Black (1972). The CAPMrecognised risk (beta) as the key explanatory variable of returns. The CAPMremains the backbone of modern financial theory and is the basis against which all new developmentsare measured. Subsequent studies have attempted to find other explanatory variables of return other than beta. Banz (1981) found evidence of a relationship between size and returns later referred to as the size effect. Chen (1981 and 1983) found that after adjusting for risk factors, the size effect did not yield high returns adequately, thus challenging Banz's findings. In 1985, Chan, Chen and Hsieh using macro and micro economic variables found that given more accurate estimates of beta, no sized-based differences in returns could be observed. Reinganumin 1981 found evidence of high earnings-price (EjP) shares yielding abnormally high returns. He further found a strong relationship between size and earnings-to-price (EjP) ratio. Bhandari (1988) suggested that in addition to beta and size, leverage also played an important explanatory role of returns. Related studies by Basu (1977), Chan, Hamao and Lakonishok (1991) and Jegadeesh (1992) found a multi-variable explanation of returns - market equity, beta, EjP ratio, size and other non-market factors. The combination of these factors led to the conclusion that the CAPM model had been misspecified. Fama and French (1992 and 1995) expanded the research and sought to establish the multi-dimensionality of beta. They found, inter alia, that equities with a high book value vis-a-vis their price realised higher returns than their counterparts. They further found profitability to be positively related to size. This led to a new ratio in financial analysis, the price book ratio (PB). The PB ratio has never emerged as a prominent analytical tool in the financial sector and has historically been superseded by the price earnings (PE) ratio. The author therefore seeks to establish the raison d' etre for the status quo by undertaking an empirical study of the JSE Securities Exchange for the period commencing 1989 and ending 1998. Using financial data obtainable from annual financial statements, the author proceeded to calculate PE and PB ratios. Tracing the mathematical derivation of the two ratios and using the Pearson correlation coefficient, trend analysis and the Spearman Rank correlation test, the author found that there exists prima facie evidence to suggest that the PE ratio could be used as a proxy for the PB ratio. This offers a partial explanation of the inconspicuous role of the PB ratio as an explanatory tool.
AFRIKAANSE OPSOMMING: Akademici, analiste en beleggers stel steeds belang in en strewe om faktore wat beleggingsopbrengste en aandeleprysbewegings bepaal, met sekerheid te identifiseer. In 1953 het Maurice Kendal, gebaseer op die werk van Louis Bachelier, getoon dat aandelepryse 'n ewekansige patroon volg en as gevolg hiervan nie met sekerheid voorspel kan word nie. Navorsing het twee denkrigtings tot gevolg gehad naamlik fundamentele ontleding en tegniese analise. Fundamentele ontleding veronderstel dat winsgewende beleggingsgeleenthede vanuit 'n deeglik oorweegde impak analise van huidige en historiese data gemaak kan word. Tegniese analise stel voor dat toekomstige prysbewegings uit vorige prysbewegings afgelei en voorspel kan word, óf anders gestel, dat patrone hulself oor 'n sekere periode herhaal. Die stogastiese lopie teorie van Kendall is gevolg deur die markpryswaarderingsmodel (MPM) wat deur Sharpe (1964), Lintner (1965) en Black (1972) ontwikkel en verfyn is. Die MPM stel risiko (beta) as 'n sentrale veranderlike wat opbrengste voorspel. Die MPM vorm steeds die primêre uitgangspunt van finansiële teorie en die basis waaraan nuwe ontwikkelings gemeet word. Voortspruitend uit die voorafgaande studies, is daar gepoog om verdere veranderlikes anders as beta te ondersoek wat opbrengste voorspel. Banz (1981) toon aan dat daar 'n verhouding bestaan tussen grootte en opbrengste - naamlik die grootte-effek. Chen (1981 en 1983) het die gevolgtrekking gemaak dat die grootte-effek nie genoegsame hoë opbrengste lewer nadat risikofaktore in berekening gebring is nie. Gevolglik is Banz se bevindinge bevraagteken. In 1985 het Chan, Chen en Hsieh deur die gebruik van makro en mikro-ekonomiese veranderlikes bevind dat, gegewe 'n meer akkurate bepaling van beta, geen grootte gebaseerde opbrengste waargeneem kon word nie. Reinganum (1981) bevind dat bewyse bestaan dat aandele met hoë verdienste-prys abnormaal hoë opbrengste getoon het. Sterk verhoudings tussen grootte en die aandeel se prysverdienste verhouding is waargeneem. Bhandari (1988), in verdere navorsing in hierdie verband, stel dat in aanvulling tot die gebruik van die beta-koëffisient en grootte, hefboomwerking ook 'n belangrike bydrae lewer in die bepaling van opbrengste. Verbandhoudende studies deur Basu (1977), Chan, Hamao en Lakonishok (1991) en Jegadeesh (1992) stel dat opbrengste verduidelik kan word aan die hand van verskeie veranderlikes, naamlik markekwiteit, beta, prysverdienste verhouding, grootte en ander nie-markverwante faktore. Die kombinering van hierdie faktore het gelei tot die gevolgtrekking dat die MPM model verkeerd gespesifiseerd was. Fama en French (1992 en 1995) se navorsing poog om die multi-dimensionaliteit van beta te bepaal. Hulle bevind onder andere dat aandele wat 'n hoë boekwaarde teenoor prys, 'n hoër verdienste of opbrengs oplewer as ander aandele. Verder is bevind dat 'n positiewe korrelasie tussen winsgewendheid en grootte bestaan. Dit het gelei tot 'n nuwe verhouding in finansiële analise, naamlik die prys-tot-boek verhouding (PB). Die PB-verhouding het egter nooit in die finansiële sektor gerealiseer as 'n prominente analitiese metode nie en word histories deur die prysverdienste verhouding oorskadu. Die skrywer wil gevolglik die raison d' etre vasstel vir die status quo deur 'n empiriese studie van die Johannesburgse Effektebeurs vir die periode 1989 tot 1998 te onderneem. Deur jaarlikse finansiële state te ontleed, is die prysverdienste en prys-tot-boek verhoudings bereken. Deur 'n wiskundige afleiding van die twee verhoudings te maak, die Pearson korrelasiekoëffisient, tendensanalise en die Spearman rang korrelasiekoëffisienttoets te gebruik, het die skrywer bevind dat daar prima facie getuienis bestaan dat die prysverdienste verhouding ook gebruik kan word as 'n ekwivalent vir die prys-tot-boek verhouding. Dit bied 'n gedeeltelike verklaring van die ontoereikende rol van die prys-tot- boek verhouding as 'n verklarende veranderlike.

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26

Van, Niekerk J. P. de T. "The application of neural networks to the prediction of share price indices on the JSE." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53086.

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Thesis (MBA)--Stellenbosch University, 2002.
ENGLISH ABSTRACT: The dream of finding the ultimate tool for forecasting market instruments like share prices has long eluded investors throughout the world. Various forecasting techniques have been examined with a view to helping the investor or analyst to gain a better understanding of price behaviour in the open market. These techniques have been based mainly on traditional statistical analysis of data to forecast price behaviour. Though used by almost all serious investors, these techniques have yielded limited success as investment instruments. The reason for this is that most of these methods explored linear relationships between variables in the forecasting model, while in fact, most relationships found between variables in the share market are non-linear. Neural networks present a unique opportunity for the investor to overcome this problem. Neural networks are mathematical models of the human brain and have the ability to map complex nonlinear relationships between data sets. This study focuses on developing a neural network model to predict the price changes of the ALSI index on the JSE one and five days into the future. The results of the neural network model were then compared to forecasting results obtained by using a traditional statistical forecasting technique namely ARIMA modelling. The study found that the neural network models did not significantly perform better than the ARIMA models. A further test was done to determine the performance of the five-day forecasting model when analysing different time windows within the given data set. The test indicated that the model did perform better when using the inputs of certain time frames. This indicates that the neural network model needs to be updated regularly to ensure optimum model performance. The results of the neural network models were also used in a trading simulation to determine whether these results could be applied successfully to trading the ALSI index on the JSE. Unfortunately, the results of the trading simulation showed that using the neural network results as trading strategy yielded poorer results than using a buy/hold investment strategy. It can therefore be concluded that, although the neural network models performed relatively well relative to traditional forecasting techniques in forecasting the ALSI index, the forecasts were still not accurate enough to be useful as inputs in a trading strategy.
AFRIKAANSE OPSOMMING: Die droom om die perfekte vooruitskattingsinstrument te vind om die prysgedrag van verskillende markinstrumente vooruit te skat, ontwyk al generasies lank die meeste beleggers. Verskillende tegnieke is al ondersoek om die belegger te help om ’n beter gevoel van prysveranderinge in die vrye mark te verkry. Die meeste van hierdie tegnieke het gefokus op tradisionele statistiese vooruitskattingstegnieke. Alhoewel hierdie tegnieke wêreldwyd deur investeerders gebruik word, was hierdie metodes se sukses as investeringsinstrument beperk. Die rede vir hierdie beperkte sukses lê in die feit dat hierdie tegnieke slegs die lineêre verwantskappe tussen veranderlikes gebruik het om voorspellings te maak, terwyl die meeste verwantskappe wat tussen veranderlikes in die vrye mark bestaan, nie-lineêr is. Neurale netwerke bied ’n unieke geleentheid vir beleggers om bogenoemde probleme te oorkom. Neurale netwerke is wiskundige modelle wat op die werking van die menslike brein gebaseer is en besit die vermoë om komplekse nie-lineêre verwantskappe tussen datastelle te herken. Hierdie studie fokus op die ontwikkeling van ’n neurale netwerk(e) om die prysverandering van die ALSI indeks op die JEB een en vyf dae in die toekoms vooruit te skat. Die resultate van die neurale netwerk model is verder vergelyk met die resultate van tradisionele statistiese vooruitskattingstegnieke soos byvoorbeeld ARIMA tegnieke. Die studie het gevind dat die neurale netwerk modelle nie beduidend beter gevaar het as die ARIMA modelle in die vooruitskatting van die ALSI indeks in beide die een- en vyfdag vooruitskattings nie. ’n Verdere toets is gedoen om die toepaslikheid van die gekose vyfdagmodel op verskillende tydvensters van die tydreeks te bepaal. Die toets het aangetoon dat die model baie meer akkuraat is vir sekere tydvensters as vir ander tydvensters. Dit dui dus daarop dat die neurale netwerk model gereeld heropgelei behoort te word om seker te maak dat die model optimaal presteer gegewe die spesifieke insetdata. Die resultate van die neurale netwerk model is ook gebruik in ’n simulasie om te bepaal of die resultate die belegger kan help om beter investeringsbesluite rakende die ALSI indeks op die JEB te maak. Ongelukkig het die simulasie resultate gewys dat ’n beleggingstrategie gebaseer op die neurale netwerk resultate swakker opbrengste gerealiseer het as ’n koop/hou beleggingstrategie. Ten slotte het die studie getoon dat alhoewel die neurale netwerk modelle relatief goed in vergelyking met tradisionele statistiese modelle gevaar het in die vooruitskatting van die ALSI indeks, hierdie vooruitskattings nie akkuraat genoeg is om as inset tot ’n investeringstrategie gebruik te word nie.

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27

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.
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 analysed to reveal the distributional characteristics and if it violated the normality assumption. The volatility was also analysed to identify in which way, if any, subsequent periods are correlated. For each of the interval sizes one-step-ahead volatility forecasting was conducted using Linear Regression, Exponential Smoothing, GARCH(1,1) and EGARCH(1,1) models. The results were analysed using appropriate criteria to determine which of the forecasting models were more powerful. The forecasting models range from very simple to very complex, the rationale for this was to determine if more complex models outperform simpler models. The analysis showed that there was sufficient evidence to conclude that there was volatility clustering on the FTSE/JSE Top 40 Index. It further showed that more complex models such as the GARCH(1,1) and EGARCH(1,1) only marginally outperformed less complex models, and does not offer any real benefit over simpler models such as Linear Regression. This can be ascribed to the mean reversion effect of volatility and gives further insight into the volatility structure over the sample period.
AFRIKAANSE OPSOMMING: Die navorsingsverslag ondersoek die FTSE/JSE Top 40 Indeks om te bepaal of daar genoegsame bewyse is dat volatiliteitsbondeling teenwoordig is. Die teenwoordigheid van volatiliteitsbondeling het praktiese implikasies vir besluite in finansiele markte en akkurate en betroubare volatiliteitsvooruitskattings. Die verslag doen 'n diepgaande ontleding van volatiliteit, gemeet oor vyf verskillende opbrengs interval groottes wat die die steekproef dek in nie-oorvleuelende periodes. Elk van die opbrengs interval groottes se volatiliteitsverdelings word ontleed om te bepaal of dit verskil van die normaalverdeling. Die volatiliteit van die intervalle word ook ondersoek om te bepaal tot watter mate, indien enige, opeenvolgende waarnemings gekorreleer is. Vir elk van die interval groottes word 'n een-stap-vooruit vooruitskatting gedoen van volatiliteit. Dit word gedoen deur middel van Lineêre Regressie, Eksponensiële Gladstryking, GARCH(1,1) en die EGARCH(1,1) modelle. Die resultate word ontleed deur middel van erkende kriteria om te bepaal watter model die beste vooruitskattings lewer. Die modelle strek van baie eenvoudig tot baie kompleks, die rasionaal is om te bepaal of meer komplekse modelle beter resultate lewer as eenvoudiger modelle. Die ontleding toon dat daar genoegsame bewyse is om tot die gevolgtrekking te kom dat daar volatiliteitsbondeling is op die FTSE/JSE Top 40 Indeks. Dit toon verder dat meer komplekse vooruitskattingsmodelle soos die GARCH(1,1) en die EGARCH(1,1) slegs marginaal beter presteer het as die eenvoudiger vooruitskattingsmodelle en nie enige werklike voordeel soos Lineêre Regressie bied nie. Dit kan toegeskryf word aan die neiging van volatiliteit am terug te keer tot die gemiddelde, wat verdere insig lewer oor volatiliteit gedurende die steekproef.

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Russell, Palmira Farinha. "Does the sales-to-price ratio possess more explanatory power in determining percentage share returns for JSE data compared to previously assessed variables?" Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49934.

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Thesis (MBA)--Stellenbosch University, 2004.
ENGLISH ABSTRACT: A number of financial variables have received extensive attention from those analysts determined to obtain that significant set of variables that improve their forecasts of expected returns. Barbee. Mukherji and Raines (1996: 56-60) suggested that the focus shift to the sales-to-price (S/P) ratio. Their findings indicated that the S/P ratio exhibited greater explanatory power in assessing share returns on Standard and Poars (S&P) American data compared to those variables already in the spot light. This study focuses on a seventeen-year period extending from 1985 to 2002, and includes a sample of industrial sector JSE-listed companies. The set of variables assessed are referred to as the "explanatory variables" and include the following: • Debt-to-equity (D/E) ratio, • Book-to-market value (B/M) ratio, • Market value of equity (MVE) variable; and • Sales-to-price (S/P) ratio. Correlation tests and regression analyses on permutations of these explanatory variables against percentage share return data revealed the MVE variable to possess the dominant relationship with percentage share returns. All models were shown (through inference) to exhibit some validity, with the exception of that model which excluded the MVE variable as an independent variable. The coefficient of the B/M ratio becomes significant when combined with the MVE variable in a regression analysis, accounting for most of the explanatory power of the model. Results from this study were compared with those in Barbee, et al., (1996), Fricker (1996) and Mouton (1998). The comparison revealed that Barbee, et al., (1996) is the only study (of the authors considered) with sufficient evidence to infer significance in the S/P ratio as a more powerful explanatory variable for determining share returns. This study has therefore shown no support for the S/P ratio as an explanatory power in determining percentage share returns, based on JSE data. The MVE variable was instead shown to have the greatest explanatory power, specifically when combined with the BlM ratio.
AFRIKAANSE OPSOMMING: 'n Aantal finansiele veranderlikes het aansienlike aandag van die analiste gekry ten einde 'n betekenisvolle stel van veranderlikes daar te stel wat help om hul vooruitskattings van opbrengste te verbeter. Barbee, Mukherji and Raines (1996: 56-60) het voorgestel dat die fokus verskuif na die verkope tot prys (S/P) verhouding. Hul het bevind dat die S/P verhouding groter verduidelikingsvermoe het by die beoordeling van aandeel opbrengste op Standard en Poors (S&P) se Amerikaanse data as daardie veranderlikes wat reeds onder die soeklig was. Die studie fokus op 'n sewentienjaar-periode van 1985 tot 2002, en dek 'n monster van genoteerde industriele aandele op die Johannesburg se Effektebeurs. Hierdie stel veranderlikes word na verwys as die "verduidelikende veranderlikes" en sluit in: • Skuld tot aandeelhouersfondse (D/E) verhoudings, • Boek tot markwaarde (B/M) verhouding, • Markwaarde van aandeelhouersbelang (MVE) veranderlike, en • Verkope tot prys (S/P) verhouding. Korrelasietoetse en regressie-analises op permutasies van hierdie verduidelikende veranderlikes teenoor persentasie aandeel opbrengste het aangetoon dat die MVE die dominante veranderlike met die persentasie aandeel opbrengste getoon het. Alle modelle (deur gevolgtrekking) het 'n mate van betekenisvolheid openbaar, behalwe die model wat die MVE veranderlike as onafhanklike veranderlike uitgesluit het. Die koeffisient van die B/M verhouding het betekenisvol geword toe dit met die MVE-veranderlike in 'n regressie-analise gekombineer is, en wat dan die grootste gedeelte van die verduidelikingswaarde van die model verklaar. Die resultate van die studie is vergelyk met die van Barbee, et aI., (1996), Fricker (1996) en Mouton (1998). Die vergelyking het aangedui dat Barbee, et al., (1996) die enigste studie is (van die skrywers ondersoek) wat genoegsame getuienis verkry het om die belangrikheid van die S/P verhouding as 'n sterk veranderlike vir die aandeel opbrengste te verklaar. Hierdie studie kon dus geen ondersteuning vind dat die S/P verhouding as 'n verduidelikende veranderlike by die vasstelling van persentasie-opbrengste op die JSE data gebruik kan word nie. Daarenteen het die MVE-veranderlike die grootste voorspellingswaarde gehad, veral as dit gekombineer is met die B/M verhouding.

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Mpendu-Mningiswa, Nwabisa. "Verification of the calculated cumulative factors of the USB with the implicit cumulative factors used by listed industrial JSE companies." Thesis, Stellenbosch : Stellenbosch University, 2003. http://hdl.handle.net/10019.1/53712.

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Study project (MBA)--University of Stellenbosch, 2003.
ENGLISH ABSTRACT: The objective of this study is to verify the cumulative factors developed by the Graduate School of Business of the University of Stellenbosch when calculating prices per share (price) over the period 1970 to 2000, earnings per share (EPS), cash flows per share (CFS) and net asset values per share(NA V). All four are done in a time series format. This study project forms part ofa larger research project of the Graduate School of Business ofthe University of Stellenbosch (USB). The data was extracted from the database of the USB and also from companies' financial annual reports and/or directors' reports of the annual financial statements of each company included in the research for the specified periods. The aim of this study is to compare the calculated implicit cumulative factors used in practice with the specific cumulative factor calculated/used by the USB. The !NET prices were compared with the prices of the USB (after using the USB specific cumulative factors). The study also compares the NAV published by companies with the NAV obtained by the USB by dividing equity/weighted average number of shares duly adjusted by the cumulative factor. Companies with minor and major differences were observed but for the purpose of this study only the examples of companies with major differences have been indicated and properly documented.
AFRIKAANSE OPSOMMING: Die doel van hierdie studie is om die kumulatiewe faktore wat deur die Nagraadse Bestuurskool van die Universiteit van Stellenbosch ontwikkel is, te verifieer, wanneer pryse per aandeel (prys) oor tydperk 1970 tot 2000, verdienste per aandeel, kontantvloei per aandeel en netto batewaardes per aandeel bereken word. Al vier word in 'n tydreeksformaat gedoen. Hierdie studieprojek vorm deel van 'n groter navorsingsprojek van die Nagraadse Bestuurskool van die Universiteit van Stellenbosch (USB). Die data is van die USB databasis verkry, asook van maatskappye se finansiële jaarverslae en/of direkteure se verslae van die jaarlikse finansiële state van elke maatskappy wat in die navorsing vir die spesifieke tydperke ingesluit is. Die doelwit van hierdie studie is om die berekende implisiete kumulatiewe faktore wat in die praktyk gebruik word met die spesifieke kumulatiewe faktore wat deur die USB bereken/gebruik word, te vergelyk. Die !NET pryse is met die pryse van die USB (nadat die USB spesifieke kumulatiewe faktore gebruik is) vergelyk. Die studie vergelyk ook die netto batewaardes per aandeel wat deur die maatskappye gepubliseer is met die netto batewaardes per aandeel wat deur die USB verkry is, deur die aandeelhouersbelang/geweegde gemiddelde aantal aandele wat behoorlik aangepas is, met die kumulatiewe faktore te deel. Maatskappye met groter of kleiner verskille is waargeneem, maar vir die doel van hierdie studie is slegs die voorbeelde van maatskappye met groter verskille aangedui en behoorlik voorsien.

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Stafford, Mark Terence Guattari. "The short and long term effects of large takeovers on the share price performance of acquiring companies listed on the JSE." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/23052.

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Whether mergers and acquisitions create or destroy shareholder value for acquiring companies has been widely researched and remains fairly inconclusive. The purpose of this research was to study the short term and long term impacts of large acquisitions on the share price performance of acquiring companies using the event study methodology.From a population of 11 062 acquisitions made by JSE listed companies between 1999 and 2008, 39 acquisitions met the relevant criteria of non-occurrence of confounding events and the availability of information. The Cumulative Abnormal Returns of acquiring companies over a short term period surrounding the announcement date and the longer term post-announcement date period were tested to observe whether they were significantly different to zero.Whilst statistically significant Cumulative Abnormal Returns were observed over the short term 3-day event window [-1;+1], no statistically significant Cumulative Abnormal Returns were observed around the remaining five event windows.
Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted

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Arguile, Wayne Peter. "Performance of defensive shares on the JSE during financial crisis: evidence from analysis of returns and volatility." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1002736.

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This study analyses whether historically defensive sectors on the JSE have – with respect to the market – proven to be defensive during the recent global financial crisis. By withstanding the shocks of market volatility, defensive industries (such as pharmaceuticals and consumer staples) are renowned for their consistent performance throughout the business cycle. Using daily data for the period 2000–2009, the study compares the descriptive statistics of sector returns before and during the crisis. The volatility of each sector relative to the market index is calculated using the CAPM beta and a simplified volatility ratio. The same comparison is extended to the conditional volatilities of each of the sectors, which is estimated using the GARCH model and two of its extensions: the EGARCH and GJR GARCH models. While no sector experienced a positive mean return during the financial crisis, Healthcare, Consumer Goods, Consumer Services and Industrials all proved less volatile than the market. Surprisingly, Telecommunications proved more volatile than the market and experienced leverage effects during the financial crisis. Since the timing of a recession is difficult to predict, defensive securities were found to be a useful investment tool for protection against adverse movements in the stock market.

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Rungqu, Mzolisi A. "Determination of the optimum number of shares to be included in a well-diversified portfolio of small capitalisation shares listed on the JSE : problem revisited." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52182.

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Thesis (MBA)--Stellenbosch University, 2001.
ENGLISH ABSTRACT: The objective of this study is to determine the optimum number of shares to be included in a well-diversified portfolio of small-capitalised companies listed on the Johannesburg Securities Exchange. A previous study by Jordan (1998) on South African companies falling in this category found that at least 20 shares should be included in a well-diversified portfolio. Neu-ner and Firer (1997) conducted a similar study of naïve diversification on all shares listed on the JSE with findings that at least thirty shares should be included in a well-diversified portfolio, which concurred with the findings of the study done by Statman (1997) on the NYSE. Findings of numerous studies conducted in the USA yielded different results with suggestions that between eight and twenty random selected stocks make a welldiversified portfolio. Fama and French (1992) conducted a research on risk and return with findings that size of a company is a better proxy for risk than beta. Small companies tend to produce returns that are greater than the returns from portfolios of larger companies. The research for determining the number of shares to be included in a portfolio of small company shares was conducted using naïve or random diversification and efficient diversification based on Markowitz efficient frontier. The results of the study indicate that random diversification of a portfolio in small company shares requires between twenty and thirty shares for a portfolio to be well diversified. The findings also showed consistency for the different investment periods investigated in terms of risk reduction. The research findings concur with the studies done by Statman, and Neu-ner and Firer, which suggest that a well-diversified portfolio should contain approximately thirty shares. The efficient diversification or Markowitz diversification resulted in fewer shares included in a well-diversified portfolio. However the optimum portfolio depends on the investors' preference as to the trade-off between risk and return. Efficient diversification is primarily based on the degree of covariance between asset returns in a portfolio. The results found using this technique indicate that a well-diversified portfolio should have approximately sixteen shares. The CAPM TUTOR programme used for efficient diversification conducted the research on an ex ante basis.
AFRIKAANSE OPSOMMING: Die doel van hierdie studie is om die optimale getal aandele van 'n goed gediversifiseerde portefeulje wat saamgestel is uit klein gekapitaliseerde maatskappye wat op die Johannesburgse Effektebeurs noteer is, te bepaal. 'n Vorige studie deur (Jordan, 1998) van Suid-Afrikaanse maatskappye wat in hierdie kategorie val, het bevind dat ten minste 20 aandele ingesluit behoort te word in 'n goed gediversifiseerde portefeulje. Neu-ner en Firer (1997) het 'n soortgelyke studie onderneem van naïewe diversifikasie van al die aandele wat op die Johannesburgse Effektebeurs noteer is. Hulle het bevind dat ten minste 30 aandele ingesluit behoort te word in 'n goed gediversifiseerde portefeulje, wat ooreenstem met die bevindings van die studie deur Statman (1997) oor die New Yorkse Effektebeurs. Bevindings van talle studies wat in die VSA gedoen is, het verskillende resultate opgelewer en dui daarop dat tussen agt en 20 lukraak geselekteerde aandele 'n goed gediversifiseerde portefeulje verteenwoordig. Fama en French (1992) het navorsing gedoen oor risiko en opbrengs, en het bevind dat die grootte van 'n maatskappy 'n beter aanduiding vir risiko is as beta. Klein maatskappye neig om opbrengste te lewer wat groter is as die opbrengs van portefeuljes wat bestaan uit groter maatskappye. Navorsing om die getal aandele te bepaal wat ingesluit behoort te word in 'n portefeulje wat bestaan uit aandele van klein maatskappye, is gedoen deur gebruik te maak van naïewe of lukrake diversifikasie en doeltreffende diversifikasie, gebaseer op die Markowitz doeltreffendheidsfront. Die resultate van hierdie studie dui aan dat lukrake diversifikasie, van 'n portefeulje wat uit aandele van klein maatskappye bestaan, tussen 20 en 30 aandele vereis vir die portefeulje om goed gediversifiseerd te wees. Hierdie bevindings het ook gedui op konsekwentheid vir die verskillende beleggingsperiodes wat ondersoek is in terme van risikoverlaging. Hierdie navorsingsbevindings stem ooreen met die studies van Statman, Neu-ner en Firer, wat daarop dui dat 'n goed gediversifiseerde portefeulje uit ongeveer 30 aandele behoort te bestaan. Die doeltreffende diversifikasie, of Markowitz diversifikasie, het tot gevolg gehad dat minder aandele ingesluit is in 'n goed gediversifiseerde portefeulje. Die optimale portefeulje word egter bepaal deur beleggersvoorkeur ten opsigte van die verrekening tussen risiko en opbrengs. Doeltreffende divesifikasie is hoofsaaklik gebaseer op die mate van kovariansie tussen bate-opbrengs in 'n portefeulje. Die resultate dui daarop dat deur hierdie tegniek te gebruik, 'n goed gediversifiseerde portefeulje ongeveer 16 aandele moet insluit. Die CAPM TUTOR-program wat gebruik is vir doeltreffende diversifikasie, het die navorsing op 'n ex ante (vooruitgeskatte ) basis gedoen.

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Viljoen, Christo. "Price discovery, price behaviour, and efficiency of selected grain commodities traded on the agricultural products division of the JSE securities exchange." Thesis, Rhodes University, 2004. http://hdl.handle.net/10962/d1002686.

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Agricultural commodity derivatives were first introduced in South Africa in 1996 after the deregulation of the former marketing system. In the context of its proposed functions, namely price discovery and risk management, the question arose as to whether the futures market developed over time to performed its role efficiently. According to the Efficient Markets Hypothesis (EMH) an efficient market is one that accurately incorporates all information available at any point in time. The purpose of the research was to address the issue of price discovery efficiency, firstly, focusing on the weak-form methodology. Secondly, considering the behaviour of futures prices over time, the study addressed the concern of anomalies in daily returns – phenomena contradictory to the EMH by implication. Thirdly, as a means of defining the sources of inefficiency, the role of scheduled public information and its impact on futures prices was examined. Therefore, the primary objective of the research was to investigate and identify the main components of agricultural futures market inefficiency within the unique price formation structure of South African grain markets. The assessment of this problem is important in terms of evaluating the growth and development of the futures market for different grain commodities to date. The Exchange needs to review rules and regulations on a frequent basis in order to ensure proper functioning at all times especially in the case of a relatively new and fast growing market. The study contributed to the knowledge of understanding the price adjustment process and its implications for market efficiency in the context of the three grain markets considered. The weak-form efficiency was tested using a co-integration based model. Analysing daily spot and futures prices of white maize, yellow maize, and wheat, results indicated that all three markets were efficient and unbiased. Non-parametric tests revealed the significant presence of day-of-the-week and turn-of-the-month effects in the futures returns of the three commodities. Further non-parametric analyses suggested a high degree of uncertainty in futures returns around scheduled agricultural and macroeconomic information release dates also contributing significantly to the identified anomalies. It was concluded that (1) the markets’ ability to anticipate the contents of future information to be released, (2) the current skewed size distribution of broking members, (3) the significant role of the R/$ exchange rate in the price formation process of South African grains and, therefore, (4) the relationship to and influence of the broader economy enhanced the return effects (anomalies) creating opportunity for profitable arbitrage. This conclusion was mainly attributed to South Africa’s status as a price-taker in the world grain complex as well as the relatively short existence of the local agricultural futures markets.

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Vorster, Barend Christiaan. "Liquidity premium and investment horizon a research report on the influence of liquidity on the return and holding period of securities on the Johannesburg Stock Exchange /." Diss., Pretoria : [s.n.], 2008. http://upetd.up.ac.za/thesis/available/etd-08122008-115611/.

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Soko, Leon Lenny Kudzaishe. "An investigation of the relationship between Corporate Social Responsibility (CSR) and financial performance of companies listed on the Johannesburg Stock Exchange (JSE) in South Africa." Thesis, Rhodes University, 2017. http://hdl.handle.net/10962/7078.

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The purpose of this study is to investigate whether there is an association between CSR and financial performance in South African companies which are listed on the FTSE/JSE SRI Index. Specifically, whether there is a difference in financial performance of companies that perform CSR activities, and those that do not. If so, which direction does this association have? The selection process of companies used in this study will now be explained step-bystep. The JSE SRI Index results show that there were 80 successful constituents as of February 2015 (JSE, 2015). These 80 companies are listed alphabetically in Appendix A, while the top 100 companies as ranked by Turnover are linked in Appendix B. Of these 100 companies, 67 were constituents of the JSE SRI Index continuously in 2015 and are shown in Appendix C. This leaves 33 companies in the top 100 which are not listed on the JSE SRI Index. Companies that were listed on the JSE SRI Index were assumed to be ‘good’ companies as the listing requirements included the performance of numerous CSR activities such as Employee development, environmental sustainability practices and stakeholder engagement. The financial performance of these 67 companies was compared to the financial performance of the 33 companies that were not listed on the JSE SRI Index which were included in the population sample of one hundred companies. Financial performance was measured using the ratios: Return on Assets and Return on Equity. The data analysis process used in this study was as follows: 1. The ratios for each company were obtained from the iNET (BFA) database, and annual and integrated reports for the period 2011 - 2015 (Appendix D;E;F). 2. The ratios for Non-SRI and SRI companies were then compared for each of the three ratios using a T-Test. The purpose of the T-Test was to show whether there is a difference in the ratios between SRI and Non-SRI companies on a year to year basis. The direction of the difference was shown by whether the SRI ratio was higher than or lower than the Non-SRI ratio. The results of this study do not seem to support any of the CSR theories, as the study concluded that there is no significant difference between the financial performance of companies that perform CSR activities and those that do not. This means that investing in CSR activities does not have a significant effect on the financial performance of a company.

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Jarana, Vuyani. "A survey of the accuracy of reporting and the extent of compliance to the disclosure provisions of AC101 by industrial companies listed in the Johannesburg Securities Exchange." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49863.

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Thesis (MBA)--Stellenbosch University, 2004.
ENGLISH ABSTRACT: This study examines the extent to which the industrial companies listed in the Johannesburg Securities Exchange complied with the disclosure provisions of the Accounting Standards AC101 when publishing their financial statements for the years 2000 to 2002. This study further evaluates the accuracy of the reporting of the salaries and wages as presented in their Value Added Statements. Published financial statements for the years 2000 to 2002 of more than 160 companies were analysed and evaluated. The study also identifies companies that did not disclose staff costs and directors' emoluments in their financial statements as well as those companies that reported the labour portion of their wealth distribution accurately in their Value Added Statements.
AFRIKAANSE OPSOMMING: Die studie dek die mate waarin genoteerde industriële maatskappye op die Johannesburgse Effektebeurs voldoen het aan die openbaarmakingsvereistes van die Rekeningkundige Standaarde RE101 ten opsigte van hul finansiële state soos van 2000 tot 2002 gepubliseer. Die studie let verder ook op die akkuraatheid van die verslaggewing van salarisse en lone in die Toegevoegdewaardestate. Gepubliseerde finansiële state vir die jare 2000 tot 2002 van meer as 160 maatskappye is ontleed en geëvalueer. Die studie identifiseer ook daardie maatskappye wat nie salariskoste en direkteursvergoeding in hul finansiële state geopenbaar het nie, sowel as diegene wat hul salarisse korrek in die Toegevoegdewaardestate openbaar het.

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Unterlerchner, Jens. "2006 survey of integrated sustainability reporting in South Africa : an investigative study of the companies listed on the JSE securities exchange all share index." Thesis, Stellenbosch : University of Stellenbosch, 2007. http://hdl.handle.net/10019.1/794.

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Thesis (MBA (Business Management))--University of Stellenbosch, 2007.
ENGLISH ABSTRACT: Corporate governance in South Africa was institutionalised by the publication of the King Report on Corporate Governance in 1994. The King Reports were set up to ensure transparency and accountability within companies. The second King Report on corporate governance for South Africa was released in 2002 and compliance with certain aspects of the report made compulsory as a listing requirement for companies trading on the Johannesburg Stock Exchange in 2003. These requirements adopt an approach of comply or explain, and companies have to report on whether they comply with the recommendations of the second King report, or have to explain the reason for such non-compliance. In 2004 the Johannesburg Stock Exchange launched the SRI Index with the aim to facilitate investment in such companies that have adopted the triple bottom line approach to reporting. The Global Reporting Initiative (GRI) develops and disseminates globally applicable sustainability reporting guidelines which provide a framework for reporting on an organisation’s economic, environmental, and social performance. The first draft guidelines of the GRI were released in 1999 and updated in 2002. The third generation (3G) of the reporting guidelines were released in October 2006. The focus of this research project was to conduct a survey on all companies that are listed on the Johannesburg Stock Exchange All Share Index as well as the companies listed on the JSE SRI Index, with the aim of giving some insight into the development of corporate governance and sustainability reporting applied by South African companies. The findings of the 2006 study were compared to the findings of a similar study on compliance on integrated sustainability reporting done in 2004, and trends were identified, analysed and discussed. Specific focus was placed on the reporting on issues of climate change, biodiversity and compliance with applicable sector charters. The 2006 survey established that overall reporting on sustainability and governance issues has improved, that companies are publishing additional detail on the implementation of BEE and transformation policies and that corporate governance and ethical compliance have been entrenched in the companies’ corporate culture. Environmental management is the matter that was least reported on.
AFRIKAANSE OPSOMMING: Korporatiewe bestuur in Suid Afrika was geinstitusionaliseer deur die publikasie van die King Verslag oor Korporatiewe Bestuur in 1994. Die King Verslag was ontwikkel om deursigtigheid en aanspreeklikheid in maatskappye te verseker. Die tweede Verslag oor Korporatiewe Bestuur in Suid Afrika was vrygestel in 2002 met sekere aspekte van die verslag wat verpligtend is as ’n maatskappy wil noteer op die Johannesburgse Effektebeurs. Die verslag vereis van maatskappye om ’n standpunt in te neem van voldoening of verduideliking. Die maatskappy moet ’n verslag inlewer om redes te verskaf hoekom hulle voldoen aan die regulasies, of verduidelik hoekom hulle nie aan die regulasies van die tweede King Verslag voldoen het nie. In 2004 het die Johannesburgse Effektebeurs die SRI Indeks bekend gestel met die doel van fasilitasie vir beleggings in maatskappye wat die ’triple bottom line’ standpunt aanwend. Die ’Global Reporting Initiative’ ontwikkel en versprei globale riglyne vir ’triple bottom line’ verslagdoening – dit verskaf 'n raamwerk vir verslagdoening van ’n organisasie se ekonomiese, omgewings en sosiale optrede. Die eerste stel riglyne is vrygestel in 1999 en aangepas in 2002. Die derde generasie van die riglyne is vrygestel in Oktober 2006. Die fokus van die navorsing was alle maatskappye wat op die JSE All Share Indeks geregistreer is asook die maatskappye wat deel vorm van die JSE SRI Indeks, met die doel om insig te gee in die ontwikkeling van korporatiewe maatreëls en verslagdoening wat toegepas word deur Suid Afrikaanse maatskappye. Die resultate van die 2006 studie is vergelyk met resultate van ’n soortgelyke studie in 2004. Spesifieke fokus was geplaas op verslagdoening oor sake met betrekking tot klimaatsverandering, biodiversiteit en voldoening met toepaslike sektor verslae. Die 2006 ondersoek het bevind dat algehele verslagdoening verbeter het; dat maatskappye verdere inligting beskikbaar stel oor die implementasie van swart ekonomiese bemagtiging, transformasie beleid en korporatiewe bestuur; en dat etiese voldoening ge-integreer was in die maatskapy se korporatiewe kultuur.

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Van, Aswegen Ninette. "An investigation of South African economic themes based on data obtained from the annual reports of industrial companies listed on the JSE Securities Exchange." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49845.

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Thesis (MBA)--Stellenbosch University, 2004.
ENGLISH ABSTRACT: This study consists of three independent papers which all broadly examine South African economic issues using accounting data obtained from the annual reports of industrial The first paper reports on employment trends amongst listed industrial companies in South Africa over the period 1996 to 2002. The results obtained showed that overall employment decreased 1,26% per annum for the companies under review. This negative trend in the largest companies in the sample. By contrast, smaller companies showed excellent growth in employment numbers. Hence appeared that smaller companies might be the most important vehicle for employment growth in the formal sector of the South African economy. It was therefore recommended that greater emphasis be placed on encouraging small business development in order to reverse the declining rates of employment in South Africa. The of ratios calculated from value added statement data in South Africa. The sample used for this purpose included all listed industrial companies which published value added statements or cash value added statements over the period 1990 to 2002. The ratio V A x 100/sales and the various components of value added as a percentage of total value added were considered in studies, it was not wholly apparent why the central location of the ratio V A x 100/sales remained stable, while the central location of the value added component ratios varied over time. The paper examines the changes which took place in the formal sector of the South African economy vis-a-vis economic growth, employment, labour productivity and from the annual financial statements of 62 industrial companies listed on the JSE Securities by companies listed on the JSE Securities Exchange. by employment growth appeared to be driven mainly by decreased rates of employment amongst it second paper expands on existing knowledge concerning the trends and characteristics VA I detail. Although these ratios were shown to have values similar to those reported in previous I third growth. remuneration and also compares these changes with projections put forward in the Growth, Employment and Redistribution (GEAR) policy. The data used in the study was gathered Exchange over the period 1994 to 2000. income differential in South Africa. It thus appeared that in reality few of the projections put forward in GEAR were achieved by the companies representing the formal sector of the South The findings of this study demonstrated that value added could be used successfully as a proxy for economic growth. Although appeared as though labour productivity had increased, the increase was panly due to an overall decrease in employment, rather than a greater than expected increase in value added. emerged that the majority of companies which decreased employment in fact contributed negatively to economic growth. The companies which decreased employment were also shown to have increased salaries on a per employee basis, which meant that these companies did not reduce their overall salary expenses substantially. By decreasing employee numbers and increasing per capita remuneration, the companies in question only acted to further increase an already wide ronnal African economy.
AFRIKAANSE OPSOMMING: Hierdie werkstuk bestaan uit drie onafhanklike artikels wat Suid-Afrikaanse ekonomiese aspekte behandel. Die bogenoemde ekonomiese temas word ondersoek deur middel van die gebruik van rekenkundige data wat verkry is uit die jaarverslae van industriële maatskappye wat op die JSE Effektebeurs genoteer is. Die eerste artikeI beskryf die patrone van indiensneming van werkers deur genoteerde industriele maatskappye in Suid-Afrika gedurende die tydperk 1996 tot 2002. Die bevindings van hierdie studie bewys dat indiensneming met 1,26% per jaar gedaal het. Hierdie negatiewe neiging in indiensneming is grootliks veroorsaak deur 'n vermindering in die aantal werknemers in kleiner maatskappye toegeneem. Dit blyk dus asof kleiner maatskappye 'n belangrike roI kan speel om te verseker dat indiensneming in Suid-Afrika styg. Daar word op die ontwikkeling van kleiner besighede geplaas moet stuit. Die tweede artikel bou voort op die bestaande kennis oor kenmerke en neigings in toegevoegde waarde staat-verhoudings in Suid-Afrika. Die steekproef wat in hierdie geval bestudeer is, sluit alle genoteerde industriele maatskappye wat oor die tydperk 1990 tot 2002 toegevoegde waarde state in hul jaarverslae gepubliseer het. in. Die verhouding van TW x 100/verkope, asook die verhoudings van die verskillende komponente van toegevoegde waarde as 'n persentasie van die totale toegevoegde waarde, is ondersoek. Daar is bevind dat die waardes van die verhoudings ooreenstem met waardes in vroeëre onderdoeke. Dit was egter nie heeltemal duidelik waarom die sentrale plasing van die verhouding TW x 100/verkope bestendig gebly het, terwyl die sentrale plasing van die toegevoegde waarde komponentverhoudings nie. Die derde artikel ondersoek die veranderinge wat plaasgevind het in die Suid-Afrikaanse ekonomiese groei, indiensneming, arbeidsproduktiwiteit en vergoeding en vergelyk dit met die verandering wat in die Groei, werkskepping en herverdeling (GEAR) dokument voorspel is. Die data wat in hierdie studie gebruik is, is afkomstig van die jaarverslae van 62 industriële maatskappye wat vanaf 1994 to 2000 op die JSE Effectebeurs genoteer was. Die resultate van hierdie studie het gewys dat die verbetering in arbeidsproduktiwiteit deels as gevolg van 'n afname in indiensneming, eerder as 'n bo-gemiddelde toename in toegevoegde waarde, plaasgevind het. Daar is bevind dat die maatskappye wat indiensneming verminder het, 'n negatiewe bydrae gemaak het tot die ekonomie. Verder het hierdie maatskappye ook vergoeding per werknemer verhoog wat beteken dat hulle nie in geheel bespaar het op indiensnemingskoste nie. Die maatskappye wat hulle werknemers verminder en hulle salarisse per werknemer verhoog het, het net verder bygedra tot die groeiende inkomste differensiaal in Suid-Afrika. Dit blyk dus dat min van die beramings wat in GEAR uitgelê was deur maatskappye verteenwoordigend van die formele sektor van die Suid-Afrikaanse ekonomie, in hierdie studie bereik is.

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Du, Preez Brett Schorn. "JSE market micro-structure." Thesis, 2015. http://hdl.handle.net/10539/17637.

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A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of requirements for the degree of Master of Science. January 2015.
Stylized facts play a significant role in the testing whether models agree with known statistical anomalies and phenomena that occur in financial markets or not. Thus, we can use these stylized facts as a modelling tool or just to understand the general behavior of financial markets better. In the paper by Bouchaud et al in 2004 [1] we see the promotion of a new stylized fact that correlations in trade signs fail to die out, even after large lags. In fact, Bouchaud et al expressed the correlations as a slow power-law decay over trade ticks. In the results of our empirical study of JSE and BM&FBOVESP we find that the selected stocks show the this same power-law decay of correlations of trade signs. We also find that the stocks behave in a way which may allow for price manipulation at high enough trading rates as discussed by Gatheral [2].

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Sachikonye, Panashe John Lloyd. "Effect of co-location in the Johannesburg Securities Exchange (JSE)." Thesis, 2016. https://hdl.handle.net/10539/23755.

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Thesis (M.M.(Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016
Co-location on the JSE took place on the 14th of May 2014. This dissertation looks at the impact this event has had on the market. In order to measure the effects of colocation, market quality factors are examined before and after the event to see whether there were any significant changes. A regression is then undertaken to see the correlation between co-location, liquidity and volatility. Our results suggest that colocation benefits market liquidity but we are unable to assess the relationship with volatility. This means that the growing liquidity in the market can be used to attract more institutions and firms wishing to run trading algorithms and strategies. Trades originally meant for dark pools can be now traded on the JSE co-location servers. By moving trades from dark pools to co-location servers at the JSE and encouraging institutions to use these facilities, transparency can be increased. Exchanges should implement kill switches if it is apparent that they are being impaired or flooded with erroneous orders. The deployment of kill switches, circuit breakers and other system compliance will improve investor confidence and market stability. Subsequent research can lead to better understanding by investigating the correlation between colocation and volatility.
MT 2018

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Muzenda, Simon. "Analysis of predictable behaviour of security returns on the JSE." Thesis, 2014.

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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013.
This paper replicates Jegadeesh`s (1990) paper entitled “Evidence of Predictable Behavior of Security Returns”. Jegadeesh (1990) states that by using the observed systematic behaviour of stock returns it is possible to make “one-step-ahead return forecasts”. That is forecast the return one month in the future. The aim of this research is to assess the predictability of monthly returns on the Johannesburg Stock Exchange (JSE) by analysing the monthly returns of stocks and portfolios of stocks from the JSE. This thesis will show that it is not possible to accurately or reliably forecast future returns for individual stocks or portfolios of stocks from the JSE. In addition the findings in this paper also indicate that stocks and portfolios of stocks from the JSE follow the random walk theory.

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Nair, Preyen. "Agent based modelling of a single-stock market on the JSE." Thesis, 2015. http://hdl.handle.net/10539/16840.

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A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of requirements for the degree of Master of Science. Johannesburg 2014.
The application of agent based modelling in nance allows market experiments to be undertaken which would normally be prohibitive due to cost, complexity and other factors. Agent based models use simple behaviour and interaction to produce complex outcomes. We introduce the requirements of an agent based market simulator based on protocol stipulated by the Johannesburg Stock Exchange. The requirements are then translated into a technical design. This design is implemented using the Microsoft .NET framework. The product of this design and creation approach is a market simulator which is then used to run three simulations where different agent behaviour is demonstrated. The approach and results of the simulations are documented to show possible use cases of the simulator.

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Basiewicz, Patryk. "Motivating, constructing and testing the Fama-French three factor model on the Johannesburg Stock Exchange." Thesis, 2011. http://hdl.handle.net/10539/10371.

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MCom (Research) , Faculty of Commerce, Law and Management, University of the Witwatersrand, 2007
The purpose of this dissertation is to motivate, construct and test the suitability of the Fama and French (1993) three-factor model in pricing equities listed on the Johannesburg Stock Exchange. Before this can be achieved, however, the existence of the size and the value effects needs to be established, and their resistance to risk adjustment with traditional asset pricing models needs to be ascertained. Once, these two empirical facts are documented, the three-factor model is built and tested. Results of Fama and French (1992) can be replicated on the Johannesburg Stock Exchange in that a firm‟s size and its value-growth indicator have reliable power to forecast stock returns. However, the value effect and, in particular, the size effect, attenuate after market microstructure is controlled for. Both effects are found to be independent of one another and the book-to-market ratio is found to be the best value-growth indicator. The static CAPM and an APT variant cannot explain the size and the value effects. This result is robust to time-series and cross-sectional tests. The three factor model of Fama and French (1993), and its variant, are constructed. The models can capture a substantial amount of time-series variation in most assets. When applied to the size and book-to-market sorted portfolios, they are not rejected in the vast majority of asset pricing tests. In tests on ungrouped data, the three factor model can explain the value effect, but not the size effect. However, in cross-sectional tests that use the size and book-to-market sorted portfolios as well as industry portfolios, the pricing errors of the three factor model are not substantially different from the ones obtained from the static CAPM.

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Masinga, Zamani Calvin. "Modeling and forecasting stock return volatility in the JSE Securities Exchange." Thesis, 2016. http://hdl.handle.net/10539/21053.

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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016
Modeling and forecasting volatility is one of the crucial functions in various fields of financial engineering, especially in the quantitative risk management departments of banks and insurance companies. Forecasting volatility is a task of any analyst in the space of portfolio management, risk management and option pricing. In this study we examined different GARCH models in Johannesburg Stock Exchange (JSE) using univariate GARCH models (GARCH (1, 1), EGARCH (1, 1), GARCH-M (1, 1) GJR-GARCH (1, 1) and PGARCH (1, 1)). Daily log-returns were used on JSE ALSH, Resource 20, Industrial 25 and Top 40 indices over a period of 12 years. Both symmetric and asymmetric models were examined. The results showed that GARCH (1, 1) model dominate other models both in-sample and out-of-sample in modeling the volatility clustering and leptokurtosis in financial data of JSE sectoral indices. The results showed that the JSE All Share Index and all other indices studied here can be best modeled by GARCH (1, 1) and out-of-sample for JSE All Share index proved to be best for GARCH (1, 1). In forecasting out-of-sample EGARCH (1, 1) proved to outperformed other forecasting models based on different procedures for JSE All Share index and Top 40 but for Resource 20 RJR-GARCH (1, 1) is the best model and Industrial 25 data suggest PGARCH (1, 1)
DM2016

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McKane, Graeme. "Liquidity and size effects on the JSE." Thesis, 2017. https://hdl.handle.net/10539/24389.

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A research report presented in partial fulfilment (50%) of the requirements for the degree of Master of Commerce in Business Economics (Finance) in the School of Economic and Business Sciences at the University of Witwatersrand, Johannesburg, 6 October 2017
This study tests the efficacy of the liquidity variables of Liu (2006) in determining the existence of a liquidity premium on the South African market and finds evidence of a significant liquidity effect. This factor is determined to be robust and to proxy for a different underlying effect than the Fama-French (1992) effects and the market risk premium. The analysis is performed through portfolio sorts and tests for difference of portfolio means, as well as both a univariate and multivariate regression analysis. The sample period covers 16 years from 2000 to 2015. The relationship between size and liquidity is clear, however liquidity is found to be separate from the size effect. This study recommends the use of a liquidity-augmented model for the analysis of asset returns in South Africa.
GR2018

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Potgieter, Fahmida. "Share issues and repurchases related to equity market timing on the JSE." Thesis, 2016. http://hdl.handle.net/10539/19418.

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A 50% dissertation presented in partial fulfilment of the requirements for the degree of Master of Commerce at the University of Witwatersrand.
Information asymmetry creates a gap between management’s perception of the firm’s value and the market value of the firm. It is thought that management engage in information signalling activities in order to close the gap created by information asymmetry. There is a need to understand why management engage in their chosen transactions as this will provide investors with insight into market activities, as well as allow for more accurate investment strategies. While research is available on the market’s reactions to signalling events, the problem is whether management’s intentions have been correctly interpreted by the market. The starting point to gaining this understanding is to ask the question: What signals do management send when they issue and repurchase shares? This study attempts to answer this question by investigating whether companies listed on the Johannesburg Stock Exchange (JSE) issue shares because management perceive their market values to be overvalued and repurchase shares because their market values are undervalued. For the period 1 January 2003 to 31 December 2012, a total of 295 share issue announcements are considered for 102 companies; and a total of 183 share repurchase announcements are considered for 83 companies. The results of this study reveal that managerial equity market timing may exist in the presence of excess returns, where management are better able to predict returns in advance than the market. However, there is also evidence suggesting share repurchases are made to return excess cash to shareholders and issues and repurchases decisions are linked to capital structure planning. The fact that there are other potential reasons for share issues and repurchases, means that the market must be able to determine what the real intentions of management are when shares are issued and repurchased; and hence determine whether their intentions suggest equity market mispricing.

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Snaith, N. J. G. "The optimum leverage for listed companies on the Johannesburg Securities Exchange." Thesis, 2014. http://hdl.handle.net/10210/12340.

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M.Com. (Business Management)
The capital structure of a company depends on the degree of debt used. Companies use debt to trade of tax shields and financial distress costs. At the margin where these equate, the optimal capital structure is reached. This optimal capital structure has been determined for each size of market capitalisation on the Johannesburg Securities Exchange. The capital structure theories of the static trade-off theory, pecking order and signalling model theory are highlighted in relation to company determinants such as size, asset structure, profitability and growth opportunities. A sample of 35 companies was used for each market capitalization for the period 2003 to 2009. The researcher uses a bar graph to display the average price to book value (P/BV) in sequential intervals for each degree of leverage in order to determine the optimal capital structure. The research shows that the optimum leverage for small market capitalisations was reached with a DIE ratio of 0.75-1 and for medium and large market capitalisations between 1.01-1.25.

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Naicker, Shreelin. "Evaluation of the performance of a pairs trading strategy of JSE listed firms." Thesis, 2016. http://hdl.handle.net/10539/21506.

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A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the degree of Master of Finance and investment. Johannesburg, 2015
A pairs trading strategy is a market neutral trading strategy that tries to make a profit by making use of inefficiencies in financial markets. In the equity pairs trading context, a market neutral strategy, is a strategy that hedges against both market and sector risk. According to the efficient market theory in its weak form, a pairs trading strategy should not produce positive returns since the actual stock price is reflected in its past trading data. The main objective of this paper is to examine the performance and risk of an equity pairs trading strategy in an emerging market context using daily, weekly and monthly prices on the Johannesburg Securities Exchange over the period 1994 to 2014. A bootstrap method is used determine whether returns from the strategy can be attributed to skill rather than luck.
MT2016

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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)
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 yielded from these effects are not significant and close to zero. Evidence relating to the dividend signalling hypothesis was also present in the South African market.

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Burlo, Adrian Vincent. "A share trading strategy : the JSE using 50 and 200 day moving averages." Thesis, 2012. http://hdl.handle.net/10210/6586.

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M.B.A
The aim of this dissertation is to determine if there is any evidence that supports a "50" and a "200" day moving average share trading strategy to select, buy and sell shares quoted on the Johannesburg Securities Exchange (JSE) Main Board, in order to determine if a "50" and a "200" day moving average share trading strategy will be appropriate to use, in order to make share trading profits in excess of the return generated by the JSE Overall Index. 1.4 0 .ACTIFVES o To evaluate fundamental analysis in respect of the quality of information (mainly at a company level) available to investors as the basis on which decisions to buy and sell shares are made. o To evaluate previous research undertaken in technical analysis with respect to the use and application of moving averages as a trading strategy in making share selections as well as buy and sell decisions. 14 Analyse historic price data on individual, randomly selected shares from the total population of all main board (1.6.5) listed shares quoted on the Johannesburg

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Dissertations / Theses on the topic 'Johannesburg Stock Exchange (JSE)'

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