Thesis (Ph.D.)--University of Wollongong, 2006. / Typescript. "Middle East and North Africa (MENA) region, namely, Egypt, Turkey, Jordan and Morocco." -- Abstract. Includes bibliographical references: leaf 247-261.

Market abuse practices may directly or indirectly give rise to diverse problems such as inaccurate stock market prices, low public investor confidence, reduced market integrity and poor efficiency in the affected financial markets. This thesis reveals that three major forms of market abuse, namely insider trading, prohibited trading practices (trade-based market manipulation) and the making or publication of false, misleading or deceptive statements, promises and forecasts relating to listed securities (disclosure-based market manipulation) are prohibited in South Africa. However, although South Africa has had market abuse legislation for about 30 years, and must be commended for its great effort to enhance market integrity by combating market abuse practices, the enforcement of such legislation is still problematic. Moreover, in spite of the fact that there is no empirical data or accurate figures quantifying the occurrence and extent of market abuse activities in the South African financial markets, this thesis submits that market abuse practices are still to be completely eradicated. Accordingly, this thesis suggests that the aforementioned problem might have been aggravated by inter alia, various gaps, flaws and/or inconsistent implementation and enforcement of the market abuse legislation in South Africa. To this end, the anti-market abuse enforcement framework under the Securities Services Act 36 of 2004 is analysed to investigate its adequacy. The co-operation and role of the Financial Services Board, the courts, the Directorate of Market Abuse and other relevant stakeholders is also examined and discussed. Moreover, the co-operation between the Financial Services Board and similar international agencies is discussed to gauge its effectiveness in relation to the combating of cross-border market abuse practices. The adequacy of the awareness and preventative measures in place to curb market abuse practices is also investigated to determine whether such measures are robust enough to combat other new challenges that were posed by the 2007 to 2009 global financial crisis. Furthermore, a comparative analysis is undertaken of the enforcement of the market abuse prohibition in other jurisdictions, namely the United States of America, the United Kingdom, the European Union and Australia. This was done to investigate the relevant lessons that can be learnt or adopted from these jurisdictions. The thesis further discusses the adequacy of the recently introduced provisions of the Financial Markets Bill as well as the subsequent market abuse provisions of the Financial Markets Bill 2012. The thesis highlights that the aforementioned Bills are positive attempts by the policy makers to improve the enforcement of the market abuse provisions in South Africa. Nonetheless, the thesis reveals that most of the shortcomings contained in the Securities Services Act 36 of 2004 were duplicated in the Financial Markets Bill and the Financial Markets Bill 2012. In light of this, it remains to be seen whether the market abuse provisions contained in the Financial Markets Bill and/or the Financial Markets Bill 2012 will improve the combating of market abuse practices in South Africa. Consequently, it is hoped that the relevant market abuse provisions of the Securities Services Act 36 of 2004, the Financial Markets Bill and/or the Financial Markets Bill 2012 will be comprehensively reviewed in regard to the recommendations made in this thesis. To this end, the thesis proposes a viable anti-market abuse model and policy framework and sets out both policy objectives and provisions which policy makers could use to strengthen some of the market abuse provisions in South Africa.

This diploma thesis is devoted to the problem of creating a portfolio of shares. First part is focused on the characterization of shares - classes of shares and rights associated with them. The second chapter compares the Efficient market theory and Behavioral approach, as the two opposing schools of thought. The third chapter gradually introduces fundamental analysis, from the global analysis through the analysis of an industry to the analysis of a particular company. Furthermore, this work focuses on the Value investment approach, that is based on fundamental analysis. On the basis of several criteria are particular stocks selected to the portfolio. The intensity of these criteria is then tested in the relationship with the resulting number of selected stocks. The conclusion of the fourth chapter is devoted to the issue of discounts and premiums that are trying to take into account specific factors of securities, which should be reflected into their prices.

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Magister Commercii - MCom / The drastic decline in stock prices on the 24th October 1929 sent a frantic wave of panic across the US. Merely a century later, on the 29th September 2008 another financial crisis hit the globe - this time leaving most countries devastated. The main objective of this study is twofold: 1) to determine whether leading indicators have sufficient predictive capacity to predict global financial crises; and 2) to use the Efficient Market Theory (EMT) and/ or Behavioural Finance Theory (BFT) as a means of developing a theory explaining the potential impact bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis. This study was not only designed to qualitatively conceptualise the notion of the term “investor confidence” whilst drawing special attention to its frailty using the 1929 Great Depression and the 2008 Global Financial Crisis, but also assist governments, reserve banks and key institutions to develop effective strategies of mitigating the effects of the latter financial crisis as well as provide guidance on how another financial crisis can be prevented. This study extracted bad public announcements from 40 books and 60 journal articles using 6 NBER-based leading economic indicators (LEI) and 4 systematic risk-based leading non-economic indicators (LNEI) in order to: 1) qualitatively assess the extent to which leading indicators can be used to predict global financial crises 3 – 8 months in advance; and 2) use the EMT and/ or BFT to provide an explanation concerning the potential impact that bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis.

PhD (Statistics) / Department of Statistics / There has been a growing interest in investment opportunities in Africa. The net foreign direct investment (FDI) to Sub-Saharan Africa has increased from $13 billion in 2004 to about $54 billion in 2015. Investing on the stock markets is one of such investment opportunities. Stock markets in Africa have realised growth in market capitalization, membership, value and volume traded due to an increase in investments. This level of growth in African stock markets has raised questions about their efficiency. This thesis examined the weak-form informational efficiency of African stock markets. The aim therefore of this thesis is to test the efficiency of African stock markets in the weak-form of the Efficient Market Hypothesis (EMH) for eight countries, namely, Botswana, Egypt, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia. Since, the researcher will be testing the weak-form of the EMH, the data to be used is on past price information on the markets of the eight countries. Data for the eight countries were obtained from DataStream for the period between August 28, 2000 to August 28, 2015. The data is for a period of 180 months which resulted in 3915 data points. Although there have been studies on the weak-form market efficiency of African stock markets, the efficiency conclusions on the markets have been mixed. This problem might be due to the methods used in the analyses. First, most of the methods used were linear in nature although the data generating process of stock market data is nonlinear and hence nonlinear methods maybe more appropriate in its analysis. Also these linear methods tested the efficiency of African markets in absolute form, however, an efficiency conclusion relying solely on absolute efficiency might be misleading because, stock markets become efficient with time due to improvements in the quality of information processing from reforms on the markets. The researcher solved this problem of using absolute frequency by comparing the results when the presence of long-memory in frequency and time domains of the markets were examined. The researcher used a semi-parametric estimator, the Local Whittle estimator to test for long-memory in frequency domain and the Detrended Fluctuation Analysis (DFA) to test for long-memory in time domain. The DFA method is suitable for both stationary and nonstationary time series which makes it to have more power over methods like the rescaled range analysis (R/S) in the estimation of Hurst exponent. Second, the researcher examined whether the markets were predictable under the Adaptive Market Hypothesis (AMH). The researcher employed the Generalised Spectral (GS) test to examine the Martingale difference hypothesis (MDH) of the markets. The Generalised spectral (GS) test is a non-parametric ii test designed to detect the presence of linear and nonlinear dependencies in a stationary time series. The GS test considers dependence at all lags. Third, because of the nonlinear nature in the data-generating process on the markets, the stationarity of the market returns under a nonlinear Exponential Smooth Threshold Autoregressive (ESTAR) model was examined. A nonlinear ADF unit root test against ESTAR and a modified Wald-type test against ESTAR in the analysis were employed. Fourth, the self-exciting threshold Autoregressive (SETAR) method was employed to model the returns when non-linear patterns were observed as a result of nonlinear data generating process on the markets. The literature on market efficiency of African stock markets has shown that variations exist in the study characteristics. There are variations in the method of analysis, type of test, type of data employed, time period chosen and the scope of analysis for the studies. The researcher therefore quantitatively reviewed previous studies by means of meta-analysis to identify which study characteristics affects efficiency conclusions of African markets using the mixed effects model. The findings showed the presence of long-memory in the returns of the stock markets when the whole sample was used. This made the markets weak-form inefficient, however, when the researcher tested for the persistence of long-memory through time, there were periods the markets were efficient in the weak-form. The memory effect was low in the South African market but high in the Mauritian market. Furthermore, it was observed that, the returns for Egypt, which were highly predictable when the whole data was analysed became not highly predictable when the rolling window approach of the GS test was used. Egypt had one of the lowest percentages of the windows that had a p-value less than 0.05 after South Africa. The results obtained from using the non-linear unit root tests on the logarithmic price series of the markets under study showed that, the markets were non-stationary and hence weak-form efficient under an ESTAR framework but for Botswana. Thus the markets were weak-form efficient when analysed using a non-linear method. This observation means that Africa’s foreign direct investment would have been increased over the years if the appropriate methods are used. This is because, over the years, studies on the weak-form efficiency African stock markets have ended with mixed conclusions with most of the markets being concluded to be weak-form inefficient as a result of the use of linear methods in the analysis. This finding, to us, has had an effect on investors commitments to Africa because the right methodology was not employed. iii The findings from modelling the returns under the non-linear SETAR model showed that, the SETAR model performs better than the standard AR(1) and AR(2) model for all the markets under study after the non-linear patterns were identified in the returns series. The SETAR (2,2,2) model is a threshold model, therefore, investors are able to move freely in search of higher opportunities between the low and high regimes. Investors main aim is to make profits, hence, the threshold model of SETAR gives them the freedom to move to a regime where the rate of returns is increasing unlike the standard AR(1) and AR(2) linear models where there are no switching of regimes. Finally, none of the study characteristics in the market efficiency studies was found to be significant in efficiency conclusions of African stock markets but the indicator for publication bias was significant. This means that there has been a change in attitude in recent years towards studies on informational market efficiency whose results do not support the Efficient Market Hypothesis (EMH), unlike the earlier years when the EMH was formulated and acclaimed to be one of the best propositions in economics. It was therefore concluded that when time-varying methods are used in analysing weak-form efficiency, the dynamics of the markets become known to investors for proper decision-making. Also, nonlinear methods should be used in order to reflect the nonlinear nature of data capturing on the stock markets / NRF

Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006. / In recent times many theories have surfaced posing challenging threats to the Efficient Market Hypothesis. We are entering an exciting era of financial economics fueled by the urge to have a better understanding of the intricate workings of financial markets. Many studies are emerging that investigate the relationship between stock market predictability and efficiency. This paper studies the existence of calendar-based patterns in equity returns, price momentum and earnings momentum in the South African securities market. These phenomena are commonly referred to in the literature as security market imperfections, financial market puzzles and market anomalies. We provide evidence that suggests that they do exist in the South African context, which is consistent with findings in various international markets. A vast number of papers on the subject exist in the international arena. However, very few empirical studies on the South African market can be found in the public domain. We aim to contribute to the literature by investigating the South African case.

Wong Hau Man, Ben. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 85-89). / Abstract / Acknowledgment / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Introduction to the Hang Seng Index Futures Market --- p.9 / Chapter Chapter 3. --- Dynamic Efficiency --- p.17 / Chapter 3.1 --- The Potential Lead/Lag Relationship between the Stock Index Futures price and the Stock Index --- p.18 / Chapter 3.2 --- Empirical Evidence of the Lead/Lag Relationship -the US experience --- p.20 / Chapter 3.3 --- Granger and Engle's Error-Correction Model --- p.21 / Chapter 3.4 --- Error-Correction Model for the Hang Seng Index Futures Price and Hang Seng Index --- p.25 / Chapter 3.5 --- Simultaneous Error-Correction Model --- p.30 / Chapter Chapter 4. --- Price Volatility --- p.38 / Chapter 4.1 --- Why Volatility Matters --- p.38 / Chapter 4.2a --- Theoretical Foundation of the relationship between Futures Trading and Cash Market Volatility --- p.39 / Chapter 4.2b --- Empirical Evidence of Futures Trading and Cash Market Volatility - the US experience --- p.40 / Chapter 4.3 --- The Schwert Estimation Method --- p.42 / Chapter 4.4 --- Hang Seng Index Volatility and Cash Market Trading Volume --- p.47 / Chapter 4.5 --- Hang Seng Index Volatility and Futures Trading Activities --- p.48 / Chapter 4.6 --- Hang Seng Index Volatility and Contract Life Cycle --- p.50 / Chapter Chapter 5. --- Margin Policy --- p.56 / Chapter 5.1 --- The Economic Role of Futures Margin --- p.57 / Chapter 5.2a --- Theoretical Foundation of the relationship between Margin Requirement and Futures Volatility --- p.58 / Chapter 5.2b --- Empirical Evidence of Margin Requirement and Price Volatility --- p.59 / Chapter 5.3 --- HSI Futures Margin Requirement and Probability of Exhaustion --- p.61 / Chapter 5.4 --- HSI Futures Margin Requirement and HSI Futures Volatility --- p.64 / Chapter 5.4a --- Event-Study Approach --- p.64 / Chapter 5.4b --- Alternative Method --- p.66 / Chapter 5.5 --- HSI Futures Leverage and Price Volatility --- p.70 / Chapter Chapter 6. --- Conclusions --- p.81 / REFERENCES --- p.85 / APPENDIX 1. - Data Description --- p.90 / APPENDIX 2. - FIGURES --- p.92 / Chapter - --- Figure 1. Trend of HSI from May 86 to Dec93 --- p.93 / Chapter - --- Figure 2. Trend of HSI Futures Price from May 86 to Dec93 --- p.94 / Chapter - --- Figure 3. Volatility of HSI from May 86 to Dec93 --- p.95 / Chapter - --- Figure 4. HSI Futures Margin and Futures Volatility (Futures volatility is measured in daily change in contracts value) --- p.96

by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaf 52). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF ILLUSTRATIONS --- p.iv / LIST OF TABLES --- p.v / ACKNOWLEGEMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OBJECTIVES --- p.3 / Chapter III. --- LITERATURE REVIEW --- p.4 / Chapter IV. --- THE SAMPLE --- p.9 / Chapter V. --- METHODOLOGY --- p.14 / The Market Model --- p.15 / Methods to Estimate the Excess Returns --- p.16 / Chapter VI. --- RESULTS AND ANALYSIS --- p.19 / Price Effects on Inclusion in HSI --- p.19 / Price Effects on Exclusion from HSI --- p.33 / Comparison between Inclusion and Exclusion --- p.41 / Chapter VII. --- IMPLICATIONS --- p.42 / Chapter VIII. --- CONCLUSION --- p.45 / APPENDIX --- p.47 / BIBLIOGRAPHY --- p.52

This study investigates whether earnings components are correctly priced by the Chinese investors. Under the Chinese GAAP, total earnings can be easily decomposed into core earnings and non-core earnings. Core earnings are more persistent than non-core earnings and cash flows from operations are more persistent than accruals, as expected. However, the market underestimates (overestimates) the value implications of current core (non-core) earnings for future earnings. Furthermore, the market overprices (underprices) accruals (cash flows from operations). Therefore, future returns adjusted for risk factors identified in this study are predictable by the information contained in the components of current earnings. Both the portfolio tests and regression analysis generate economically significant abnormal returns that are robust to sensitivity checks. Further analysis suggests that there is no significant difference in the extent of mispricing across firms with different characteristics such as transaction costs, arbitrage risks, investor sophistication, or firm size. This could be due to the measurement errors in the proxy variables for these characteristics. / Wu Donghui. / "July 2003." / Advisers: In-Mu Haw; James Xie. / Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2551. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. 121-130). / Available also through the Internet via Current research @ Chinese University of Hong Kong under title: Mispricings of earnings components empirical evidence from China. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.