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.

Thesis (MBA (Business Management))--University of Stellenbosch, 2008. / ENGLISH SUMMARY: During the period of change in South Africa in the year of the first democratic elections, 1994, the first King Report on Corporate Governance appeared. For the first time in South Africa, companies had a good reference for corporate practice and conduct. A second King report, commonly referred to as King II, appeared in March 2002 and expanded on the earlier Code to produce, what was considered at the time to be, a world-class code of corporate governance. In addition to the acceptance and incorporation of King II into corporate governance practice, the JSE included compliance with the King Code as part of its listing requirements. The code itself is not an enforceable set of rules, but rather guidelines to assist companies in implementing principles of good governance. In similar vein, the JSE has given companies the flexibility to justify non-compliance. This underscores the socalled comply or explain philosophy to which corporate governance in South Africa subscribes. Studies have found the level of corporate governance in South Africa to be high, especially for an emerging market. Compliance with corporate governance principles and transparency go hand in hand. In a comply or explain regime, where the regulation is considered to be done by the market, disclosure of compliance is especially important. The goal of this research project was to conduct a survey of the top listed South African companies to ascertain what the level of disclosure of corporate governance was, with specific reference to the recommendations contained in the King Code. For the purposes of this study, the top companies were defined as the FTSE/JSE Top 40 Index companies. The supposition was that most companies, having been confronted with the King Code for almost six years, would be compliant to a large degree and will disclose their compliance. This was expected to be more evident amongst top companies who have the resources and influence to effect changes sooner and take the lead on high profile issues. The study confirmed the supposition that companies, at least in the sample, were highly compliant. There were however some areas where improvements can be made to be more in line with global best practices. / AFRIKAANSE OPSOMMING: Gedurende die periode van vernuwing in Suid-Afrika en die jaar van die eerste demokratiese verkiesing, 1994, het die eerste King verslag op korporatiewe bestuur verskyn. Vir die eerste keer het maatskappye in Suid-Afrika ‘n goeie verwysing gehad in die bepaling van hul korporatiewe bestuurspraktyke en gedrag. ‘n Tweede King verslag, alombekend as King II, het in Maart 2002 verskyn en op die eerste verslag uitgebou om ‘n kode te voorskyn te bring wat ten tyde van publisering as wêreldklas bestempel is. Bo en behalwe die aanvaarding en toepassing van King II in die korporatiewe bestuurspraktyk, het die JSE ook nakoming van die Kode as deel van die noterings vereistes ingesluit. Die King Kode opsigself is nie ‘n afdwingbare stel reëls nie, maar eerder riglyne wat maatskappy bystaan in die implementering van beginsels van goeie bestuur. In ‘n soortgelyke manier gee die JSE ook aan maatskappye die buigsaamheid om gevalle van nie-nakoming te regverdig en verdedig. Dit onderskryf die sogenaamde voldoen of verduidelik filosofie wat korporatiewe bestuur in Suid Afrika aan gehoor gee. Studies het gevind dat die vlak van korporatiewe bestuursgedrag in Suid-Afrika hoog is, veral vir ‘n ontluikende mark. Nakoming met korporatiewe bestuurgedragskodes en deursigtigheid gaan hand aan hand. In ‘n voldoen of verduidelik regime, waar die mark geag word om te reguleer, is openbaarmaking van korporatiewe bestuursgedrag van kardinale belang. Die doel van hierdie navorsingsprojek was om ‘n peiling te maak van die voorste Suid-Afrikaanse maatskappye om te bepaal wat die vlak van openbaarmaking in terme van korporatiewe bestuursgedrag was, met spesifieke verwysing na die King Kode. Vir die doeleindes van die studie is die voorste maatskappye gedefiniëer as die FTSE/JSE Top 40 Indeks. Die veronderstelling was dat meeste maatskappye, gegewe die feit dat die Kode al ses jaar in omgang is, tot ‘n groot mate aan die Kode sal voldoen en inligting rakende die voldoening openbaar maak. Dit is ook verwag dat dit veral die geval onder die voorste maatskappye sou wees aangesien hulle oor die hulpbronne en invloed beskik om veranderinge vroeër teweeg te bring en leierskap te neem met hoë profiel kwesssies. Die studie het die veronderstelling korrek bewys dat maatskappye, ten minste in die geval van die ingeslote groep, ‘n hoë vlak van voldoening en openbaarmaking ten toon stel. Daar is egter nogtans areas waar verbeterings gedoen kan word om meer in lyn met internasionale beste praktyke te kom.