This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.

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.

The thesis examines two interrelated topics; the perception of management theory in general, and the efficacy of the learning organisation in particular. The purpose of this thesis, therefore, is to compare the rhetoric espoused in the learning organisation literature with a survey of senior managers in large, commercial organisations. The results revealed a positive disposition towards business and management theory in general. The survey also demonstrated that leadership is considered the most important variable in the success of a company. This is facilitated through the attraction and retention of the appropriate staff and creating sufficient space for them to operate. Learning is embedded by anticipating the future, learning from the past and enabling good communication. However, the latter is balanced through change management. This is derived through legitimate authority and a reliance on planning. Finally, a strategy of experimentation is balanced by challenging industry rules. Themes involving politics, corporate alignment and corporate longevity were found to have relatively little convergent validity. The third section of the questionnaire reveals a positive disposition towards the learning organisation. The contribution of this thesis is in three areas. First, it is the only work to evaluate the anti-guru school. Second is the development of a syncretic model of learning organisation concept using structural equation modelling. Finally, it explains and examines the largely misunderstood concept of management fashions.

Since the early 1990’s the number of corporate stand-alone reports produced by various organisations worldwide has increased considerably (Kolk, 2004; Owen, 2006). It is argued that introducing an assurance statement with the stand-alone report may contribute to enhancing the credibility of the reported information (FEE, 2002; Dando and Swift, 2003; ACCA and AccountAbility, 2004). This thesis reports on a multi-level analysis of assurance statements attached to stand-alone reports that were produced by the UK FTSE100 companies during the reporting years 2000-2004. Drawing on a research instrument (which itself has been informed by previous literature, namely O’Dwyer and Owen, 2005) as well as the most recent assurance guidelines and standards (such as FEE, 2002; GRI, 2002, AA1000AS, 2003; and ISAE3000, 2004), this thesis examines the extent to which assurance statements disclose information about crucial elements of the assurance engagement, the amount of disclosure as well as factors associated with the information disclosed. In this context, particular attention is given to issues of independence of the assurance provider; the methodology used to conduct the assurance engagement; the degree to which stakeholders have been engaged and their issues taken account of within the assurance process; and assurance results (namely presentation of the assurance opinion, findings and recommendations). The research results suggest that, despite the increased amount and quality of information disclosed within the assurance statements over the years, engagement of stakeholders and taking adequate account of their issues within the assurance process is still lacking compared to other dimensions of assurance. In the absence of generally accepted stand-alone reporting criteria and assurance standards for this type of reporting, various assurance approaches have emerged and these correspond to the nature of the assurance provider (for example, accountancy, consultancy and certification body). The FTSE100 companies (in almost in two-thirds of the conducted engagements) rely most heavily on consultancy firms for assurance and as a result, this approach dominates UK assurance practice. As a consequence, there are noticeable variations in the assurance methodologies, results of the assurance engagements (findings, opinions and recommendations) and shape of the assurance statements over the study. There are also changes that emerge over time and these are most strongly associated with the standards that are used to govern the assurance engagement and also the type of information being assured. These findings raise concerns about whether it is possible to harmonise assurance practice of the corporate stand-alone reports. This thesis concludes with some practical implications for the assurance of stand-alone reports, as well as recommendations for future research.

Background: Investors around the globe have debated, for more than 40 years, about whether the dividend yield has an influence on a stock’s price or not. There are different theories supporting both sides. These theories, however, often simplify the real world and therefore may not apply fully. Purpose: The purpose of this paper is to conduct empirical research on the complicated dividend policy topic and find out whether the dividend yield influences a stock’s price by testing for its effect on stock price volatility. This result finds evidence of whether investors disregard, or regard, any dividend payments and if it influences investors decisions when purchasing stock. Method: We take the top valued companies in the non-financial sector from the LSE and the Euronext between the years 2008 and 2017. We then run a Fixed Effect Model regression taking some of their reported values including their dividend yield and their stock price volatility. Conclusion: Our results indicate that the dividend yield a company pays stockholders has a positive influence on the stock price volatility, thus affecting the prices of stocks. These results counter the MM Theorem and are inconclusive with the main principles of the Bird in Hand Theorem by Gordon (1960) and Lintner (1962).

技術分析一直是許多研究的熱門主題，也被眾多市場參與者廣泛運用在市場交易，而最普遍且最受歡迎的技術分析工具即為移動平均法。 本研究設計三種移動平均交易方法（一種只考慮收盤價，一種考慮收盤價及交易量，而另一種則將交易量作為收盤價的權重），每種交易方法皆使用五天為短期移動平均天數，十天、五十天、一百天、一百五十天、兩百天為長期移動平均天數，總計十五種移動平均交易規則，運用在臺灣中型100成分股以產生買進與賣出訊號，並依訊號進行交易動作，進而在未考慮交易成本的假設下計算出單次交易的平均報酬、平均持有天數，以及Hit ratio（正報酬的交易次數占總交易次數的比例），藉以探討移動平均法在此種股票的獲利性。而以交易量為價格權重來產生移動平均交易方法是基於相信帶有較高交易量的價格較有意義，盼藉以測試此種方法是否正如預期，相較於一般傳統的價格移動平均法有更好的績效。 本研究雖然未考慮交易成本，但呈現的單次交易平均報酬可以提供讀者與實際臺灣股票市場交易成本作比較，藉以了解考慮交易成本後的情況。而本研究除了呈現所有成分股單次交易的平均報酬、平均持有天數及Hit ratio的平均值，也將成分股依照ICB行業分類指標分成幾個主要產業，並呈現各產業內成分股的平均值，企圖了解特定交易方法是否在特定產業有較好的績效。 結果顯示，產生最好績效的移動平均交易方法也僅能有一半的交易次數得到正報酬，而就整體而言，將交易量作為價格權重的移動平均方法，也沒有產生相較於傳統價格移動平均法更好的績效，因此可以說，這類的技術分析對於這些股票無法有較好的績效。 / Technical analysis has been widely studied and used by many researchers and market participants. The most common and popular technical trading rule is moving average since it is mathematically well defined and used by many analysts. This article examines the profitability of technical analysis for FTSE TWSE Mid-Cap Taiwan 100 Index constituents under the hypothesis of no transaction costs. It uses three strategies (Price Strategy, Price and Volume Strategy, and PV Strategy) and fifteen moving average rules to generate buy and sell signals, and then compute average returns per trading, average holding days per trading, and hit ratios to see the profitability. It is believed that prices come with high volumes are more meaningful than those with low volumes. All of these strategies and trading rules are not only used for all constituents of FTSE TWSE Mid-Cap Taiwan 100 Index without consid-ering industry classifications but also for each major industry classifications of these constituents. Therefore, we can understand whether specific trading rules have better performances for specific industries of these stocks. The results are not that optimistic. Overall Price and Volume Strategy has the best results of hit ratio, however, the highest value is barely 50%, which means it can only have a half trading times positive returns. As for PV Strategy which uses weighted price moving average to trade, the performance has no significantly better than using simple price moving average rule. It can say that Technical Analysis like moving average can hardly have good performances on these stocks.

One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equity indexes on several pairs involved in carry trading. The reason for studying these relationships is to further explain the causes of the uncovered interest parity puzzle, thus adding our contribution to the academic field through this thesis.To accomplish our goals, data was gathered for daily quotes of 16 different currency pairs, grouped by interest differentials, and two equity indexes, the S&P 500 and FTSE All-World, along with data for the VIX volatility index, for the 2003-2012 period. The data was collected from Thomson Reuters Datastream and the selected ten year span was divided into three different periods. This was done in order to discover the differences on how equity indexes relate to typical carry trade currency pairs, depending on market developments before, during and after the world financial crisis.The tests conducted on the collected data measured the correlations, influences and sensitivity for the 16 different currency pairs with the S&P 500 Index, the FTSE All-World index, and the volatility index between the years of 2003-2012. For influences and sensitivity, we performed Maximum Likelihood (ML) regressions with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) [1,1], in Eviews software.After analyzing the results, we found that, during our chosen time period, the majority of currency pair daily returns are positively correlated with the equity indexes and that the FX pairs show greater correlation with the FTSE All-World, than with the S&P 500. Factors such as the interest rate of a currency and the choice of funding currency played an important role in the foreign exchange markets, during the ten year time span, for every yield group of FX pairs.Regarding the influence and sensitivity between currency pairs and the S&P 500 with its VIX index, we found that our models explanatory power seems to be stronger when the interest rate differential between the currency pairs is smaller. Our regression analysis also uncovered that the characteristics of an individual currency can show noticeable effects for the relationship between its pair and the two indexes.

This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle & Grangers (1987) two-step procedure. The results show that there is a bi-directional long-term relationship between stock prices and dividends, i.e. an adjustment process is at work when a disequilibrium occurs. I also find a bi-directional short-term relationship. This paper also shows that Lintners model and the present value model are relevant frameworks in stock valuations.

Magister Commercii - MCom / Diversification is one of the more familiar concepts in finance because of its ability to curtail risk towards investors. However, for diversification to be efficient, the assets combined should have inversely related price movements. In the same light, previous research done on international portfolio diversification has consistently found that having investments diversified across different global markets that have low to medium correlations helps to get as close to an optimal portfolio as possible. However, previous research also indicates that both global financial integration and exogenous shocks increase correlations among international markets, hence negating the benefits of international portfolio diversification to an extent. Therefore, with global integration on the rise, coupled with economic and political instability in some BRICS nations, the research examines these factors and gauges the current viability of international portfolio diversification from the perspective of a South African investor.

The thesis examines two interrelated topics; the perception of management theory in general, and the efficacy of the learning organisation in particular. The purpose of this thesis, therefore, is to compare the rhetoric espoused in the learning organisation literature with a survey of senior managers in large, commercial organisations. The results revealed a positive disposition towards business and management theory in general. The survey also demonstrated that leadership is considered the most important variable in the success of a company. This is facilitated through the attraction and retention of the appropriate staff and creating sufficient space for them to operate. Learning is embedded by anticipating the future, learning from the past and enabling good communication. However, the latter is balanced through change management. This is derived through legitimate authority and a reliance on planning. Finally, a strategy of experimentation is balanced by challenging industry rules. Themes involving politics, corporate alignment and corporate longevity were found to have relatively little convergent validity. The third section of the questionnaire reveals a positive disposition towards the learning organisation. The contribution of this thesis is in three areas. First, it is the only work to evaluate the anti-guru school. Second is the development of a syncretic model of learning organisation concept using structural equation modelling. Finally, it explains and examines the largely misunderstood concept of management fashions.