The day-of-the-week effect is a market anomaly that manifests as the cyclical behaviour of traders in the market. This market anomaly was first observed by M.F.M. Osborne (1959). The literature distinguishes between two types of cyclical effects in the market: the cyclical pattern of mean returns and the cyclical pattern of volatility in returns. This dissertation studies and reports on cyclical patterns in the South African market, seeking evidence of the existence of the day-of-the-week effect. In addition, the dissertation aims to investigate the implications of such an effect on hedge fund managers in South Africa. The phenomenon of cyclical volatility and mean returns patterns (day-of-the-week effect) in the South African All-share index returns are investigated by making use of four generalised heteroskedastic conditional autoregressive (GARCH) models. These were based on Nelson's (1991) Exponential GARCH (EGARCH) models. In order to account for the risk taken by investors in the market Engle et al's, (1987) 'in-Mean' (risk factor) effects were also incorporated into the model. To avoid the dummy variable trap, two different approaches were tested for viability in testing for the day-of- the-week effect. In the first approach, one day is omitted from the equation so as to avoid multi-colinearity in the model. The second approach allows for the restriction of the daily dummy variables where all the parameters of the daily dummy variables adds up to zero. This dissertation found evidence of a mean returns effect and a volatility effect (day-of-the- week effect) in South Africa's All-share index returns data (where Wednesdays have been omitted from the GARCH equations). This holds significant implications for hedge fund managers. as hedge funds are very sensitive to volatility patterns in the market, because of their leveraged trading activities. As a result of adverse price movements, hedge fund managers employ strict risk management processes and constantly rebalance their portfolios according to a mandate, to avoid incurring losses. This rebalancing typically involves the simultaneous opening of new positions and closing out of existing positions. Hedge fund managers run the risk of incurring losses should they rebalance their portfolios on days on which the volatility in market returns is high. This study proves the existence of the day-of-the-week effect in the South African market. These results are further confirmed by the evidence of the trading volumes of the JSE's All-share index data for the period of the study. The mean returns effect (high mean returns) and low volatility found on Thursdays, coincide with the evidence that trading volumes on the JSE on Thursdays are the highest of all the days of the week. The volatility effect on Fridays, (high volatility in returns) is similarly correlated with the evidence of the trading volumes found in the JSE's All-share index data for the period of the study. Accordingly. hedge fund managers would be advised to avoid rebalancing their portfolios on Fridays, which show evidence of high volatility patterns. Hedge fund managers are advised to rather rebalance their portfolios on Thursdays, which show evidence of high mean returns patterns, low volatility patterns and high liquidity. / Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2006.

Relationships are important for older black people in their endeavours to understand the world. The relationships of older black people have, however, undergone many changes. This article attempts to explore the relational experiences of older black women using the MmogomethodTM as a projective technique to obtain insight into the meanings they attach to the changed relations. The Mmogo–methodTM (Roos, 2008; 2011) is a culturally sensitive research tool. Eight Swazi–speaking women from eMalahleni in Mpumalanga, South Africa, with ages ranging from 68 to 88, participated in the research. The research participants were asked to create visual representations using malleable clay, beads and dry grass stalks to illustrate aspects of their experiences of relationships with those around them. They then took part in focus group discussions. Thematic content analysis was used to analyse the data. The findings revealed that the older women in the study contributed to relationships by providing financial support and by taking care of their families and extended families. They provided financial support by using their government grants to look after their households. In turn, they received selective physical, emotional and spiritual support. The research revealed that the older women generally identified one particular person with whom they established a close relationship. They felt understood in this relationship, which they described as comforting because their needs were perceived and met by the particular person. The older women also emphasised the emotional support they received from the community, which came mainly from people of the same age thus giving them the opportunity to share information and experiences with their peers while taking part in various activities and while relaxing. Spiritual support was also a key factor in the relationships among the older people - they could, for example, share their experiences of life with fellow church members, and church members also looked after and supported each other in times of illness. The relational challenges experienced by the older black women were a lack of protection, a lack of help and support in taking care of their houses, the absence of men, changed norms and values, and the loss of relationships. The older women said that they felt overwhelmed and stressed by these challenges. They also felt estranged from intergenerational relationships, which were traditionally regarded as a potential sources of support and care for older persons. They also did not know how to approach the relationships differently because the familiar norms and values that had guided intergenerational relationships had changed. The older women in the study said that they had felt cared for and safe in previous intergenerational relationships. They longed for the past when, in their view, clear norms and values guided relational interactions. They felt stressed and overwhelmed by the absence of men in their traditional roles as providers. Contemporary men also did not fulfil their duties when compared with men in the old days. The Mmogo–methodTM which was applied as a projective technique, revealed the meanings the older black women attached to relationships in their lives. As part of a cross–cultural, intergenerational research project, this method gave valuable insight into how older black women perceive their contributions and the challenges related to their relationships. / Thesis (M.A. (Research Psychology))--North-West University, Potchefstroom Campus, 2011.

The strong form of the efficient market hypothesis (EMH) puts forward that it is impossible to achieve better than market results. Yet there are very famous investors, particularly a famous value based investor named Warren Buffett that have achieved better than market returns. The primary objective of this study is to investigate the role of value based investment in generating better than market or superior investment returns. The study was conducted both as a literature study and an empirical study. The objectives of the literature study were threefold. Firstly, to discover value based investment as part of a discussion on investment strategies. Secondly, to investigate the possibility of achieving better than market returns. Lastly, to investigate the role of value based investing in achieving better than market returns. Through the literature study, value based investment parameters were also identified for empirical testing. It was found in the literature that value based investing has a role to play in achieving superior returns. By way of the application of correlation-based research, as well as regression analysis it was found that there is significant statistical evidence to underscore that value based investment parameters can lead to superior returns. / Thesis (M.B.A.)--North-West University, Vaal Triangle Campus, 2010.

The strong form of the efficient market hypothesis (EMH) puts forward that it is impossible to achieve better than market results. Yet there are very famous investors, particularly a famous value based investor named Warren Buffett that have achieved better than market returns. The primary objective of this study is to investigate the role of value based investment in generating better than market or superior investment returns. The study was conducted both as a literature study and an empirical study. The objectives of the literature study were threefold. Firstly, to discover value based investment as part of a discussion on investment strategies. Secondly, to investigate the possibility of achieving better than market returns. Lastly, to investigate the role of value based investing in achieving better than market returns. Through the literature study, value based investment parameters were also identified for empirical testing. It was found in the literature that value based investing has a role to play in achieving superior returns. By way of the application of correlation-based research, as well as regression analysis it was found that there is significant statistical evidence to underscore that value based investment parameters can lead to superior returns. / Thesis (M.B.A.)--North-West University, Vaal Triangle Campus, 2010.

Relationships are important for older black people in their endeavours to understand the world. The relationships of older black people have, however, undergone many changes. This article attempts to explore the relational experiences of older black women using the MmogomethodTM as a projective technique to obtain insight into the meanings they attach to the changed relations. The Mmogo–methodTM (Roos, 2008; 2011) is a culturally sensitive research tool. Eight Swazi–speaking women from eMalahleni in Mpumalanga, South Africa, with ages ranging from 68 to 88, participated in the research. The research participants were asked to create visual representations using malleable clay, beads and dry grass stalks to illustrate aspects of their experiences of relationships with those around them. They then took part in focus group discussions. Thematic content analysis was used to analyse the data. The findings revealed that the older women in the study contributed to relationships by providing financial support and by taking care of their families and extended families. They provided financial support by using their government grants to look after their households. In turn, they received selective physical, emotional and spiritual support. The research revealed that the older women generally identified one particular person with whom they established a close relationship. They felt understood in this relationship, which they described as comforting because their needs were perceived and met by the particular person. The older women also emphasised the emotional support they received from the community, which came mainly from people of the same age thus giving them the opportunity to share information and experiences with their peers while taking part in various activities and while relaxing. Spiritual support was also a key factor in the relationships among the older people - they could, for example, share their experiences of life with fellow church members, and church members also looked after and supported each other in times of illness. The relational challenges experienced by the older black women were a lack of protection, a lack of help and support in taking care of their houses, the absence of men, changed norms and values, and the loss of relationships. The older women said that they felt overwhelmed and stressed by these challenges. They also felt estranged from intergenerational relationships, which were traditionally regarded as a potential sources of support and care for older persons. They also did not know how to approach the relationships differently because the familiar norms and values that had guided intergenerational relationships had changed. The older women in the study said that they had felt cared for and safe in previous intergenerational relationships. They longed for the past when, in their view, clear norms and values guided relational interactions. They felt stressed and overwhelmed by the absence of men in their traditional roles as providers. Contemporary men also did not fulfil their duties when compared with men in the old days. The Mmogo–methodTM which was applied as a projective technique, revealed the meanings the older black women attached to relationships in their lives. As part of a cross–cultural, intergenerational research project, this method gave valuable insight into how older black women perceive their contributions and the challenges related to their relationships. / Thesis (M.A. (Research Psychology))--North-West University, Potchefstroom Campus, 2011.

This thesis tests for seasonal anornalies and daily predictability on the UK stock market and investigates how mispricing caused by the bid-ask spread, known as the 'touch' and nonsynchronous trading in portfolio returns may explain these anomalies. By using constructed portfolios within a th-ne-series regression framework, I show that seasonality, in the first instance, is prominent in returns around the turn of the week and the turn of the year. However, this seasonal returns behaviour disappears when the touch is accounted for. Indeed, seasonality seerns to occur in the touch rather than returns. Despite this touch explanation, lagged returns remain significant, suggesting return predictability. In fact, when using a price adjustment model returns are predictable across portfolios. This predictability, while to some extent dependent upon firm size and the touch, may be accounted for by nonsynchronous trading. First-order autocorrelation and cross-autocorrelation found in returns proves more indicative of infrequent trading than return predictability. Thus, these results confirm that mismeasurernent in portfolio returns caused by market microstructure and nonsynchronous trading can create false inferences about the extent of stock market anornalies in the UK and subsequently, market efficiency.

There has been an increasing interest in the finance literature regarding the impact of transactions costs on US equity markets. The US empirical evidence indicates that transactions costs influence both trading volume (Atkins and Dyl (1997)) and asset returns (Amihud and Mendelson (1986)). Additionally, the theoretical finance literature also indicates that transactions costs affect equilibrium asset returns (Fisher (1994)). In this thesis we assess the impact of transactions costs on the UK equity markets, from four aspects. Firstly, we provide empirical support to the hypothesis that transactions costs affect the "holding period" of an asset in the portfolio of an investor. Secondly, we provide robust results showing that transactions costs affect equilibrium asset returns. Thirdly, we explain the variability of transactions costs with the use of information asymmetry, proxied by the variance of analysts' forecasts, in the spirit of Kim and Verrecchia (1994, 2001). Finally, we find that stock price and trading volume reaction to changes in the FTSE 100 list can be explained by liquidity effects, as proxied by the bid-ask spread. We provide overwhelming evidence, suggesting that transactions costs are important in UK equity markets.

This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets. (author's abstract)

Background: Since the early 60’s, the CAPM or Capital Asset Pricing Model, has been an invaluable tool for assessing an asset's expected return, assuming that the asset is added to an already well-diversified portfolio of assets. CAPM theory assume that the unsystematic risk can be diversified and that the systematic, market-specific, risk is determined by the Beta value, from the Greek β. An investor who takes big risks expect higher returns. One of the CAPM’s basic assumptions is that disruption in the market is not taken into account. This assumption may lead to results that do not correspond to reality. Objective: This study examined the relationship between systematic risk, and return on a stable and volatile market. Methodology: The study was performed using a quantitative research with secondary data, in which 30 companies listed on the OMX 30 on the Stockholm stock exchange was studied. The investigation period was from 2003 to 2012 and was divided into three parts. Using the statistics program SPSS and Excel the data required to answer the purpose of the essay was calculated. Results: The analysis of the first time period between 2003 and 2007 showed that there was a statistically significant relationship between beta value and the average return for the period. The second time period between 2008 and 2012, which was characterized by an extremely volatile stock market, showed different results. The result of this period showed no statistical relationship existed when the market was characterized by high volatility. The third and final period between 2003 and 2012, which was a combination of a stable and a volatile market. The results for this period showed no significant association between beta value and average returns. The conclusion of this study is therefore that the CAPM model to assess an asset's return fails when the market is unstable, e.g. due to a financial crisis. To compensate for this error that is built into the model, one should therefore use alternative models, or revised versions of the CAPM, if the aim is to produce data in a realistic way that can be used as basis for investment decisions. / Bakgrund: Sedan början av 60-talet har CAPM, eller Capital Asset Pricing Model, varit ett ovärderligt instrument för att bedöma en tillgångs förväntade avkastning, där man antar att tillgången läggs till i en redan väldiversifierad portfölj av tillgångar. CAPM teorin antar vidare att den osystematiska risken diversifieras bort samt att den systematiska, marknadsspecifika, risken bestäms med hjälp av Beta-värdet, från grekiskans β. En investerare som tar stora risker förväntar sig högre avkastning. Ett av CAPM:s grundantaganden är att störningar på marknaden inte tas hänsyn till. Detta antagande kan leda till resultat som inte stämmer överens med verkligheten.   Syfte: I denna studie undersöktes sambandet mellan systematisk risk, samt avkastning på en stabil respektive volatil marknad. Metod: Undersökningen genomfördes med en kvantitativ forskningsmetodik med sekundära data där 30 bolag noterade på OMX30 på stockholmsbörsen studerades. Undersökningsperioden var mellan 2003 till 2012 och delades upp till tre delar Med hjälp av statistikprogrammet SPSS samt Excel beräknades nödvändiga data för att svara på uppsatsens syfte. Resultat: Analysen av den första tidsperioden mellan 2003-2007 visade att det förelåg ett statistiskt signifikant samband mellan betavärdet och den genomsnittliga avkastningen för perioden. Den andra tidsperioden mellan 2008-2012, som kännetecknades av en mycket volatil aktiemarknad, visade annorlunda resultat. Resultatet av denna tidsperiod visade att inget statistiskt samband förelåg när marknaden kännetecknades av en hög volatilitet. Den tredje och sista och perioden mellan 2003-2012, som alltså var en kombination av en stabil och en volatil marknad. Resultatet för denna tidsperiod visade inget signifikant samband mellan betavärdet och den genomsnittliga avkastningen. Slutsatsen av denna studie blir därmed att CAPM som metod för att bedöma en tillgångs avkastning fallerar när marknaden är ostabil, t.ex. beroende på en finanskris. För att kompensera för detta fel som är inbyggt i modellen bör därför alternativa modeller, eller justerade versioner av CAPM, användas om syftet är att ta fram data som på ett verklighetstroget sätt kan vara underlag för investeringsbedömningar.

We assess empirically the changes in returns to education at the subnational level in Uganda using the Uganda National Household Surveys for 2002/2003 and 2005/2006. Our results indicate that average returns to schooling tended to converge across regions in the last decade. The overall trend in convergence of returns to schooling took place at all levels of educational attainment and this behaviour in returns to education is mostly driven by the dynamics of returns to schooling in urban areas. We analyse subnational convergence in returns to education and unveil deviant dynamics in Northern Uganda. We discuss the potential challenges to inclusive economic growth in Uganda which are implied by our results. (authors' abstract) / Series: Department of Economics Working Paper Series