LL.M. / Die doel van hierdie verhandeling is om die reguleringsisteem in Suid-Afrika te beskryf soos wat dit betrekking het op termynkontrakte. Termynkontrakte vorm deel van 'n groep finansiele instrumente algemeen bekend as afgeleide instrumente. Die term 'afgeleide instrumente' is 'n generiese begrip wat gebruik word om verskeie finansiele instrumente te beskryf wie se waarde afgelei word van 'n onderliggende kommoditeit, wisselkoers of indeks. Termynkontrakte word op die Suid-Afrikaanse termynbeurs (SATEB) verhandel. Ter inleiding sal die sleutelaspekte rondom termynkontrakte en termynhandel kortliks bespreek word ten einde die leser 'n oorsig te bied. Die aspekte word egter in die loop van die verhandeling, onder die toepaslike hoofstukke, meer volledige verduidelik.

This thesis addresses two important issues necessary to understand whether insider trading should be prohibited: the effects of insider trading on stock prices and the compensation to insiders for providing information and other related services. This task is accomplished by analyzing stock price changes during corporate takeovers, before and after the regulatory changes in the 1980's that were designed to reduce the level of insider trading. In this thesis, we develop an indirect measure of insider trading that shows how observable stock price movements during takeovers allow one to make inferences about changes in insider trading after regulatory changes. Specifically, we show that when inside information is partially revealed to the market, the effects of regulatory changes on insider trading can be identified by examining the price movements of stocks around takeover announcements. If, however, information is not revealed at all or is fully revealed, it is impossible to identify the effects of regulatory changes on insider trading. We also develop a segmented diffusion model to analyze price movements characterized by cumulative abnormal returns during the period surrounding a takeover announcement. An econometric model is developed to estimate the segmented diffusion model. Naturally, this methodology applies to the study of various events in addition to corporate takeovers and regulatory changes. We conduct empirical analysis to test three hypotheses. With regard to Hypothesis I, we find strong evidence that the tightening of insider trading regulations in the 1980's was effective and that inside information was partially revealed to the market. With regard to Hypothesis II, we find evidence that insider trading regulations have more effect on negotiated takeovers than on takeovers initiated by bidding. With regard to Hypothesis III, we find weak evidence that insiders associated with acquiring firms seek fewer but more profitable takeovers after the introduction of tighter regulations. / Business, Sauder School of / Graduate

In the first part of thesis, we investigated the influence and explanatory power of aggregate insider trading activities on momentum trading strategies in US stock markets. We find that aggregate insider trading activities have ability in predicting cross-sectional returns and can strengthen the naive momentum effects. The risk factors such as size and book-to-market ratio cannot explain the strong momentum effects in our refined momentum strategies. We further extend the time horizon to as long as 3 years and find that the reversal patterns. We interpret our findings as follows: The continuous overreaction causes the mediate term (3- to 12 months) momentum effects and overly pricing. In long-term horizon, these overly priced stocks will be corrected with the time passing. The correction of overly pricing causes long-term reversals. / In the second part of the thesis, we studied relationships between the efficiency of external market and the capital allocation processes in internal market by investigating the performance of red chips traded in Hong Kong. Because of its special role between China and international capital market, it is difficult for international investors to monitor how red chips allocated their Hong Kong raised capital in China. The evidences show that red chips made poor investments in the past decades. However, the external market failed to reflect the unprofitable investment made by the management groups in the internal market. At least, our evidences show that the red chips made diversified but unprofitable investments in aggregate level in the past decade. / Jihong Xiang. / "December 2001." / Source: Dissertation Abstracts International, Volume: 63-01, Section: A, page: 0306. / Supervisors: Jia He; Duan Li. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p.102-113). / Available also through the Internet via ProQuest dissertations and theses under title: Are markets efficient? Evidences from stock markets in United States of America and Hong Kong. / 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.

Magister Legum - LLM / The regulation of market abuse is currently an ever evolving subject, to such an extent that it has been placed as a high priority for regulators worldwide.¹ The Financial Markets Act 19 of 2012 (FMA) of South Africa² prohibits improper practices and is aimed at ensuring that market participants operate in a market that is free, safe and fair. In light of the above and as per example, all members of the stock exchange ensure that they accordingly adhere to the aims of the FMA by exercising functions such as due diligence and having a shared goal in embedding the values entrenched in the FMA.³ The purpose of this dissertation is aimed at assessing the key elements of the transformation process that the South African financial markets have embarked on, since the introduction of the FMA. More specifically, the paper aims to focus on the elements in relation to market abuse practices.⁴ The paper seeks to: 1. provide an overview analysis of the current market abuse control enforcement framework in relation to some selected aspects of the financial markets in South Africa. 2. look at the regulation employed in one of the biggest trading products namely, equities and current lacuna, the legislation that governs high frequency trading under these trading products and in general. 3. review whether regulation in South Africa on market abuse practices are robust enough to deal with key market abuse practices such as insider trading and market manipulation that manifested during the recent global financial crisis. 4. provide a comparative review of the current market leaders regulatory mechanisms on market abuse.

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.

Univ., Diss.--Würzburg, 2004. / Literaturverz. S. 419 - 447.

This dissertation aims to study the behavior of intermediaries under market imperfections and the consequences of that for the financial market's functioning. To do so, I focus on two classes of market frictions: funding constraints and information asymmetry. Chapter 1 studies how the dealers' capital constraints affect the market liquidity in the presence of imperfect competition and how recent regulations have shifted the competitive landscape of interest rate swaps. On the subject of informational frictions, Chapters 2 and 3 study empirically and theoretically the pace at which prices incorporate private information under the limited learning capacity of the informed traders. Understanding the microstructure of the swap markets is of interest to both policymakers and academics, especially for it helps in the efficient implementation of post-crisis regulations, namely the Dodd-Frank Act. An understudied dimension of the swap market microstructure is the determinants of the cost of the market-making activity. Using a proprietary regulatory dataset collected by the Commodity Futures Trading Commission (CFTC) on both the interest rate swap transactions and the collateral requirements at the London Clearinghouse (LCH), in Chapter 1, I study the key balance sheet constraints that affect the ability of the bank-affiliated dealers to provide intermediation service to the end-users. Most of the interest rate swaps are now mandated to be centrally cleared. This has increased the dealer's need for collateral in the form of highly liquid assets (cash and cash equivalents) to back their swap exposures. Facing capital adequacy measures such as Supplementary Leverage Ratio (SLR), dealers find it even costlier to increase the size of their balance sheet to fund these margins. I show that a 1-percentage point increase in SLR leads to an increase of 1.09 percentage points in the bank's cost of capital per unit of margin requirement. Furthermore, I find the funding spread of the dealers (the difference between the cost of external funding and the risk-free rate) is also a relevant factor for determining the dealer's marginal cost of swap transaction; a cost that is evidently transferred to the end-users in the form of less favorable prices. Measuring the cost of intermediation for the dealer-to-client interest rate swap market is challenging because of the high concentration in the market-- the first seven dealers intermediate more than 50% of the total notional traded. Therefore, one must consider the nontrivial effect of markups in transaction prices to estimate the marginal cost of intermediation reliably. For this reason, I model a differentiated product demand for swaps in the spirit of empirical Industrial Organization (IO) literature and structurally estimate this model to account for the markups in the transaction prices using estimated price elasticities. The demand estimations show economically interpretable heterogeneity among the end-users in their taste for duration risk hedging. The structurally estimated equilibrium model of intermediation can serve as a basis for answering counterfactual policy questions, especially in the debate on the social costs and benefits of excluding initial margins in calculating supplementary leverage ratio. In Chapter 2, I turn the focus to the impact of informational frictions on market-making activity. More specifically, we study the informed trading under random stopping time. Empirical evidence is provided based on an episode of time when the Securities and Exchange Commission (SEC) unintentionally disclosed security filings to some investors before the public for several years. For technological reasons, the delay between the private and public disclosure was exogenously random. We exploit the variation in the time window of private information to show the intensity of trades and the speed at which market prices reach their efficiency, decrease with the expected arrival time of public announcement. In addition, we find the learning capacity of the insider determines the evolution of trading intensity over time. In Chapter 3, inspired by the stylized facts observed in the earlier chapter, I extend the Kyle (1985) model of strategic trading to a case with limited learning capacity of both the dealers and the informed traders (insiders). The insider does not perfectly observe the true value of the security, but he continues to hone his knowledge by using private information sources over time. Two classes of equilibria emerge from this model. In one class, the insider trades excessively patiently, and the market efficiency is reached only asymptotically. In the second type, the insider optimally chooses a deterministic time T, before which he trades patiently as in Kyle (1985) until the price reaches its full efficiency. After T, the insider keeps revealing every piece of new information immediately, and the market price stays efficient while the insider keeps making profits. Which equilibrium emerges depends on the insider's learning capacity, initial informational advantage, and the private source's informational content.