Thesis (MComm)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, value and momentum effects to be significant in explaining market anomalies by adding a further explanatory factor, namely liquidity. A standard CAPM, as well as a momentum-augmented Fama-French (1993: 3) model are employed to perform regression analyses to examine the effect of the four variables on excess stock returns. Results suggested that the log of the stock‘s market value best captured the size effect, the earnings yield best captured the value effect and the previous three month‘s returns best captured the momentum effect. Five liquidity proxies are used: the bid-ask spread first proposed by Amihud (1986: 223), turnover, the price impact measure of Amihud (2002: 31) and two zero return measures proposed by Lesmond et al. (1999: 1113). Despite prior studies having found liquidity to be an influential factor, this thesis found the opposite to be true. This finding remains robust, irrespective of the type of liquidity measure used. While size, value and momentum are found to be significant to a certain extent in explaining excess stock returns over the period, liquidity is not found to be significant. This is a surprising result, given that the JSE is seen as an emerging market, which is generally regarded as illiquid. This fact is exacerbated by the fact that the JSE is a highly concentrated and therefore skewed market that is dominated by only a handful of shares. Hence liquidity is expected to be of utmost importance. The result that liquidity is however not a priced factor on this market is therefore an important finding that requires further analysis to determine why this is the case. In addition, significant non-zero intercepts remained, indicating continued missing risk factors. / AFRIKAANSE OPSOMMING: In hierdie tesis word die effek van likiditeit op oormaat aandeel-opbrengste op die Johannesburg Effektebeurs (JEB) ondersoek gedurende die periode 2003 tot 2011. Dit bou voort op die bevindinge van vorige studies wat toon dat grootte, waarde en momentum beduidend is in die verklaring van mark onreëlmatighede deur 'n addisionele verklarende faktor, likiditeit, toe te voeg. 'n Standaard kapitaalbateprysingsmodel (KBPM) sowel as 'n momentum-aangepaste Fama-French (1993: 3) model word gebruik om deur middel van regressie analise die effek van die vier veranderlikes op oormaat aandeel-opbrengste te ondersoek. Die resultate toon dat die grootte effek die beste verteenwoordig word deur die logaritme van die aandeel se mark kapitalisasie, die verdienste-opbrengs verteenwoordig die waarde effek en die vorige drie-maande opbrengskoerse verteenwoordig die momentum effek die beste. Vyf likiditeitsveranderlikes is gebruik: bod-en-aanbod spreiding voorgestel deur Amihud (1986: 223), omset, die prys-impak maatstaf van Amihud (2002: 31) en twee nul-opbrengskoers maatstawwe voorgestel deur Lesmond et al. (1999: 1113). Afgesien van die feit dat vorige studies die effek van likiditeit beduidend vind, word die teenoorgestelde in hierdie tesis gevind. Hierdie bevinding bly robuus, ongeag van die likiditeitsveranderlike wat gebruik word. Terwyl bevind is dat grootte, waarde en momentum beduidend is tot 'n sekere mate in die verklaring van oormaat aandeel-opbrengste tydens die periode, is geen aanduiding dat likiditeit 'n addisionele beduidende verklarende faktor is gevind nie. Hierdie bevinding is onverwags, aangesien die JEB beskou word as 'n ontluikende mark, wat normaalweg illikied is. Hierdie feit word vererger deur dat die JEB hoogs gekonsentreerd is en dus 'n skewe mark is wat oorheers word deur slegs 'n hand vol aandele. Dus word verwag dat likiditeit 'n baie belangrike faktor behoort te wees. Die bevinding dat likiditeit nie 'n prysingsfaktor op hierdie mark is nie, is dus 'n belangrike bevinding en vereis verdere analise om vas te stel waarom dit die geval is. Addisioneel word beduidende nie-nul afsnitte verkry, wat aandui dat daar steeds risiko faktore is wat nog nie geïdentifiseer is nie.

Thesis (MBA)--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: This paper examines the price and income elasticity of demand for fuel products in Malawi. The data have been disaggregated into various sectors, agriculture, industry, construction, commercial transport, private motor vehicles and household, in order to fully understand the nature and magnitude of elasticity for each sector. Two methods were used - the simple economic method and the correlation coefficient method. This research covers a period of 10 years from 1995 to 2004. This period has been chosen in order to arrive at meaningful conclusions. The results show that each sector responds to price and income changes differently. The agricultural sector has been found to be inelastic to both price and income both in the short and long term. This sector, however, is sensitive to other factors like drought and currency depreciation. The industrial sector has been found to be very sensitive to both price and income changes both in the short and long term. The same trend has also been established for the construction sector and the commercial transport sector. In the private motor vehicle sector, petrol-powered private motor vehicles have been found to be inelastic to price as well as income both in the short and long term. The reason for this is lack of affordable alternative forms of transport. Tests for diesel-powered vehicles show very elastic results. The demand data may have been distorted by the fact that diesel demand for other equipment than vehicles could not be identified and it has been assumed that diesel bought at filling stations or reseller points is used by vehicles. There is evidence that diesel is also used for maize mills and generators. The household sector has been seen to be very sensitive to price and income changes. The reason for this is availability of substitutes such as charcoal, firewood and other forms of biomass fuel that are extensively used in rural areas. Income sensitivity is purely due to the fact that people in rural areas earn low income. The conclusions for the household sector are that first the government should remove the paraffin subsidy as it is not achieving its intended results. Secondly, the government should establish basic wages and also offer better prices to the subsistence sector. / AFRIKAANSE OPSOMMING: Hierdie proefskrif ondersoek die elastisiteit van prys en inkomste in die aanvraag na brandtstofprodukte in Malawi. Om die aard en omvang van die elastisiteit in elke sektor ten volle te verstaan, is die data gedesegregeer in verskeie sektore, naamlik landbou, nywerheid, die boubedryf, handelsvervoer, privaat motorvoertuie en die huishoudelike sektor. Twee metodes is gebruik: die eenvoudige ekonomiese metode en die korrelasie-koeffisient-metode. Hierdie navorsing beslaan 'n tydperk van tien jaar vanaf 1995 tot 2004. Die tydperk is gekies om sodoende betekenisvolle gevolgtrekkings te kan maak. Die resultate dui aan dat die sektore verskillend op veranderings in prys en inkomste reageer. Daar is bevind dat die landbousektor glad nie elasties is nie wat betref prys sowel as inkomste, sowel op die kort- as langtermyn. Hierdie sektor is egter sensitief vir ander faktore soos droogte en die depresiasie van die geldeenheid. Daar is bevind dat die nywerheidsektor baie sensitief is vir prys-, sowel as inkomsteveranderings op die kort- en langtermyn. Dieselfde neiging is bevind vir die bousektor en die handelsvervoersektor. In die privaat motorsektor is bevind dat petrolaangedrewe motors nie elasties is nie wat betref prys sowel as inkomste op die kort- sowel as langtermyn. Die rede hiervoor is die gebrek aan bekostigbare alternatiewe vervoermiddels. Toetse vir dieselaangedrewe motorvoertuie dui uiters elastiese resultate aan. Die data wat betref aanvraag kon moontlik verkeerd voorgestel word as gevolg daarvan dat die dieselaanvraag vir ander toerusting as voertuig nie geidentifiseer word nie. Daar is veronderstel dat diesel wat by vulstasies en herverkooppunte gekoop is, vir voertuie gebruik is. Daar is bewyse dat diesel ook vir mieliemeule en kragopwekkers gebruik word.

Thesis (MBA)--Stellenbosch University, 2008. / ENGLISH ABSTRACT: Internationally, a number of studies on property cycles have been undertaken. In contrast very little academic research has been undertaken in South Africa. The importance of the subject is once again become evident given the recent global turbulence in both property and credit markets. The central hypothesis of this study is that there exists a residential property cycle in South Africa and that it can be identified and that furthermore there are indicators that can identify the various stages that the property market finds itself in and that these indicators can be used to forecast the property cycle. A number of potential drivers of the property cycle were identified and analysed. These drivers collectively propel the property cycle through its various cycle stages. Not one of the drivers in isolation has the ability to move the cycle; it is rather the correct combination of drivers at the right time that have the necessary impact to make the changes in property price levels. The study has identified the historical residential property cycle in South Africa and identified the primary drivers of the property cycle. It was found that Interest Rates, GOP, Population, Household Debt to Disposable Income ratio, Quantity of Building Plans Approved and Building Cost Escalation are all material drivers in defining the property cycle. A statistical analysis in the form of multiple regression was applied to the above variables and a statistical model was developed to forecast the property cycle. It was found that the model has significant explanatory powers when the goodness of fit was tested. / AFRIKAANSE OPSOMMING: Die sentraal onderstelling van hierdie studie is dat daar 'n residensiele eiendom kringloop in Suid-afrika bestaan en dat dit geidentifiseer kan wees en dat bowendien daar aanwysers wat die verskeie stadiums van die eiendom mark kan identifiseer vind en dat hierdie aanwysers gebruik kan word vir voorspelling van die eiendom kringloop. 'n Aantal potensiele drywers van die eiendom kringloop was geidentifiseer en gean ali seer. Hierdie drywers gesamentlik dryf die eiendom kringloop deur sy verskeie kringloop stadiums voort. Nie een van die drywers in isolasie het die vermoe om die kringloop te beweeg nie; dit is liewer die korrekte kombinasie van drywers op tyd wat die nodige impak het om die veranderinge in eiendom prys vlakke te maak. Die studie het die historiese residensiele eiendom kringloop in Suid-afrika geidentifiseer en die primere drywers van die eiendom kringloop. Dit was gevind dat Rentekoerse, GOP, Populasie, Huishouding Skuld tot Weggooibare Inkomste Verhouding, Hoeveelheid van Gebou Pia nne Goedgekeur en Gebou Kos Eskilasie is almal materiaal drywers in definieer van die eiendom kringloop. 'n Statisties analisering was aangewend aan die bo onkonstante en 'n statistiese skema was ontwikkel om voorspelling van die eiendom kringloop te bepaal. Dit was gevind dat die skema beduidende verduidelike kragte het wanneer die goedheid van pas getoets was.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: This event study examines the effect that Black Economic Empowerment (BEE) announcements have on a companies' share price. The average mean return model is applied to study a sample of companies from the Financial Mail Top 200 Empowerment Companies list, 2007. The mean price change observed in a 7-day window around the event announcement is found to be significant relative to the calculated critical value. Results of the test statistic calculated relative to the probability shows that at a p-value of 0,00113, the result is significant and the null hypothesis is rejected at a 95% confidence level. This result of this study supports the fact that markets react positively to the announcements of BEE events. / AFRIKAANSE OPSOMMING: Hierdie studie ondersoek die verhouding tussen die verandering van 'n maatskappy se aandele prys wanneer hierdie maatskappy 'n aankondiging maak oor 'n Swart Ekonomiese Transaksie (SET). Die Financial Mail Top 200 Empowerment Companies 2007 lys is gebruik om maatskappye te kies vir die studie. Die gemiddelde verandering in aandele prys in a 7-dag venster rondom die SET aankondiging blyk merkwaardig te wees wanneer met 'n berekende kritiese waarde vergelyk word. Die toets statistiek bewys dat met 'n p-waarde van 0,00113 daar met 95% sekerheid die nul hipotese kan verwerp. Die resultaat van hierdie studie ondersteun die feit dat markte positief reageer teenoor maatskappye wat nuus oor SET transaksies aankondig.

Thesis (MBA)--Stellenbosch University, 2004. / ENGLISH ABSTRACT: The aim of the investigation was to supply decision-makers within the explosives industry with a study, outlining all aspects important for the successful completion of a capital project. It also aimed to supply a model to support them in decision-making regarding new capital expansions and to sensitise them to what is necessary for the successful completion of a capital project. This model was developed with the aid of the following equation: Target return = Cost + Desired percentage return x Capital invested In the process of developing the model, it became clear that financial criteria could not be looked at in isolation. The conclusion was reached that, in an attempt to successfully complete a capital project, it becomes important to investigate the whole process, from budgeting to project completion. The capital project at issue takes place against the background of the explosives business in South Africa. It follows that the investigation started off with a study as to where explosives originated from, as this played an important role in the later development of mining techniques and the resulting change in how mine management approached the delivery of service through explosives companies. From the investigation it became clear that large mines, in an increasing way, opt for "one-contract suppliers". It is expected from these suppliers to manage all aspects pertaining to drilling, blasting and the hauling of ore. The study also indicated that there is an oversupply of ammonia, an important ingredient in the manufacturing of explosives, in South Africa. The combined conclusion was that margins in the explosives industry in South Africa were put under pressure. This conclusion underlines the importance of proper capital project management. It was also found that the level of customer service largely contributes towards the determination of the layout, size and quantity of remote sites. It follows that this is also a large cost driver. This cost as well as the costs of erection, purchase of explosives trucks and the "operability enablement" of such a remote site are important in the sense that they form a part of the determination of the initial capital outlay as well as the future cash flow for the calculation of the net present value and the internal rate of return on the project. A large portion of the operations cost is represented by the transportation of raw materials from the manufacturing plants to the different remote sites. This action, in the Sasol Explosives environment, is the only link in the logistics system that has been outsourced. The investigation into the outsourcing showed that there was no clear reason why this function was outsourced and, likewise, no apparent reason why it cannot be "insourced" again. A recommendation has been made that a full-scale investigation into the possible insourcing of the transport function be launched. In the process of establishing the future cash flow, an investigation was launched into the income generated by the project. It was found that the investigation into income could be divided into two parts: the first, the required return, is coupled to risk; and the second is the actual sale of products. Sales volume (tonnage) and the accompanying price per ton "combine" to form sales income. Finally, price per ton, in turn, is used to "balance" the equation that has been investigated. This price is used as the figure quoted to potential customers. This equation, as well as the sum total of the investigation, was used as the basis for the development of a model or Excel spreadsheet. / AFRIKAANSE OPSOMMING: Die doel van die ondersoek was om 'n studie aan besluitnemers binne die springstofbedryf daar te stel wat alle aspekte belangrik vir die suksesvolle voltooiing van 'n kapitaal projek bespreek. Die doel was verder om 'n model ter ondersteuning van nuwe kapitaal-uitbreidings besluitneming daar te stel en besluitnemers ook te sensiteer ten opsigte van wat nodig is om 'n kapitaalprojek suksesvol af te handel. Hierdie model is ontwikkel aan die hand van die volgende vergelyking: Doelopbrengs = Koste + Verlangde persentasie opbrengs x Kapitaal belegging. In die proses om die model te ontwikkel het dit duidelik geword dat daar nie in isolasie na finansiele kriteria gekyk kon word nie. Daar is tot die slotsom gekom dat, in 'n poging om 'n kapitaalprojek suksesvol af te handel, dit nodig was om die hele proses, vanaf begroting tot projek-afhandeling, te ondersoek. Die genoemde kapitaalprojek vind plaas teen die agtergrond van die springstofbedryf in Suid-Afrika. Die ondersoek het derhalwe 'n aanvang geneem met 'n volledige ondersoek na waar springstof vandaan gekom het, aangesien dit 'n belangrike rol gespeel het in die latere ontwikkeling van mynboutegnieke en die gevolglike verandering in hoe mynbestuur dienslewering deur springstofmaatskappye benader. Uit die ondersoek het dit gevolg dat groot mynmaatskappye hulle al meer wend tot "een-kontrak-verskaffers". Daar word van hierdie verskaffers verwag om alle aksies rakende boorwerk, skietwerk en die vervoer van grondstowwe te bestuur. Die ondersoek het ook daarop gewys dat daar 'n oor-aanbod van ammoniak, 'n belangrike onderdeel in die vervaardiging van springstowwe, in Suid-Afrika bestaan. Die gesamentlike gevolg was dat marges in die springstofbedryf in Suid-Afrika onder druk is. Hierdie gevolg het die feit onderstreep dat baie noukeurig na kapitaal projekte gekyk moet word. Daar is bevind dat die vlak van klientediens grootliks die uitleg, grootte en aantal verafgelee aanlegte bepaal. Gevolglik is dit ook 'n baie groot kostedrywer. Hierdie genoemde koste, asook die kostes van die oprigting, aankoop van springstoftrokke en die "bedryfbaar-maak" van so 'n verafgelee aanleg, is belangrik in die sin dat dit deel uitmaak van die nodige vasstelling van die toekomstige aanvanklike kapitaaluitleg, asook die kontantvloei vir die berekening van die huidige nettowaarde en interne opbrengskoers van die beplande projek. 'n Groot deel van die bedryfskoste word verteenwoordig deur die vervoer van grondstowwe vanaf die vervaardigingsaanlegte tot by die verskeie verafgeleë aanlegte. Hierdie aksie is egter, in die Sasol Springstowwe-omgewing, die enigste skakel in die logistieke stelsel wat uit gekontrakteer is. Die ondersoek na hierdie "'uitsondering" het daarop gewys dat daar klaarblyklik geen rede gevind kon word waarom hierdie aksie uitgekontrakteer is nie en dat daar ook geen klaarblyklike rede bestaan waarom dit nie weer ingekontrakteer kan word nie. 'n Aanbeveling is gemaak dat 'n volledige ondersoek gelas word na 'n moontlike inkontraktering van die vervoer-aksie. In die proses om die toekomstige vloei van kontant te bepaal, is ondersoek ingestel na die inkomste wat gegenereer word deur die projek. Daar is gevind dat die ondersoek na inkomste in twee dele verdeel kan word, i.e. die eerste, die verlangde opbrengs, wat gekoppel is aan risiko, en die tweede die werklike verkoop van produkte. Verkopevolume (ton) en die meegaande prys per ton "kombineer" om verkope-inkomste uit te maak. Ten slotte word prys, per ton, gebruik om die vergelyking wat ondersoek is te balanseer. Hierdie prys word gebruik as die syfer wat gekwoteer word aan potensiele kliente. Hierdie vergelyking, asook die som totaal van die ondersoek, is gebruik as basis vir die daarstelling van 'n model of Excel-sigblad.

Thesis (MBA)--Stellenbosch University, 2004. / ENGLISH ABSTRACT: The wine industry in South Africa has the potential to produce wine of world-class quality, but simultaneously large volumes of inferior quality wine are produced annually and sold in the market in cheap, low-quality packaging, making up the bottom end of the alcoholic beverage market. The study investigated the South African wine industry to determine where the industry is headed. The document focussed on inexpensive wine that is sold in cheap packaging to determine who drinks it and what the effect is on the wine industry. The methodology followed was to perform a literature study of the current situation of the South African wine industry. Personal interviews were conducted with members of wineries and companies to determine if the sales of foil bags influenced the sales on their products. The study found that the packaging, in which the inexpensive wine is sold is not the problem, but rather the quality of the wine that goes into the cheap packaging. The banning of wine sold in foil bags from the market in July 2005 shows a commitment from the industry to improve the image of the industry. It will, however, not solve the social problem of alcohol abuse in South Africa, as the profile of the inexpensive wine drinker indicated that if cheap wine is not available, they would change to any other form of cheap alcohol that is available. It is recommended that the quality of the products sold in cheap packaging must be improved. To improve the quality of the product, quality standards must be put into place in the industry that suppliers must adhere to. Policing in the industry needs to be improved to ensure that everybody adheres to the regulations. The industry must help with policing by mobilising industry resources. / AFRIKAANSE OPSOMMING: Die Suid-Afrikaanse wynindustrie het die potensiaal om wyn van wêreldklas gehalte te produseer. Tesame hiermee word wyn van lae kwaliteit jaarliks geproduseer wat in goedkoop, lae kwaliteit verpakkings in die mark verkoop word. Dit maak die laagste deel van die alkoholiese mark uit. Die navorsing het gekyk na waar die Suid-Afrikaanse wyn industrie heen op pad is. Die dokument het gefokus op die goedkoop wyn wat verkoop word in goedkoop verpakkings, om te bepaal wie dit drink en wat die effek daarvan op die mark is. Die metodologie wat gevolg is, was om 'n literatuur studie te doen van die huidige situasie in die Suid-Afrikaanse wynindustrie. Persoonlike onderhoude met lede van kelders en maatskappye is gedoen om te bepaal of die verkope van goedkoop wyn in goedkoop verpakkings enige invloed het op hulle markte. Die studie het gevind dat die verpakkings waarin die goedkoop wyn verkoop word nie soseer die probleem is nie, maar eerder die kwaliteit van die wyn wat in die goedkoop verpakking gebruik word. Die verbod op die verkope van wyn in papsakke vanaf Julie 2005 wys die verbintenis van die industrie om die beeld van die industrie te verbeter. Dit sal egter nie die sosiale probleem in Suid-Afrika oplos nie, aangesien die profiel van die goedkoop wyndrinker aandui dat wanneer goedkoop wyn nie beskikbaar is nie, hulle enige ander vorm van goedkoop alkohol sal drink wat wel beskikbaar is. Dit word aanbeveel dat die kwaliteit van die produk wat in goedkoop verpakkings verkoop word, verbeter word. Om die kwaliteit van die produk te verbeter moet daar kwaliteitstandaarde in plek wees waaraan die verskaffers moet voldoen. Polisiëring in die industrie moet verbeter word om te verseker almal aan die regulasies voldoen. Die industrie moet help met polisiëring deur die mobilisering van industrie hulpbronne.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: This study investigates the relationship between dividends and stock returns on the Johannesburg Stock Exchange (JSE). In this mini study project a regression model is used to investigate the relationship between dividend yield portfolios and stock returns. Each of these dividend yield portfolios are further subdivided into dividend stability portfolios which together with a regression model are used to investigate the relationship between dividend stability and stock returns on the JSE. It follows from this study that there is a non-linear relationship between the risk-adjusted returns and dividend yields. A significant finding of this study is the fact that there is an inverse linear relationship between the dividend yield and average stock returns for dividend paying portfolios on the JSE. Investors on the JSE appear to place a premium on capital gains as opposed to dividends. It follows from this study that there is an inverse correlation between dividend stability and the risk-adjusted return with the beta coefficient increasing as dividend stability decreases. Within a particular yield portfolio, it is evident that higher systematic risk is associated with shares with unstable dividend yielding histories. It is clear from the results that this dividend signalling is not limited to high yielding stocks alone. As dividends are not entirely controlled by managers, a low stable dividend yield could signal a low exposure to systematic risk to outsiders. / AFRIKAANSE OPSOMMING: In hierdie studie word die verband tussen dividende en aandeelopbrengste op die Johannesburgse Effektebeurs ondersoek. 'n Regressiemodel is in hierdie mini werkstuk gebruik om die verwantskap tussen dividend opbrengsportfolios en aandeelopbrengs te ondersoek. Elk van hierdie opbrengsportfolios is vervolgens verder verdeel in dividendstabiliteitsportfolios wat tesame met 'n regressiemodel gebruik is om die verband tussen dividendstabiliteit en aandeelopbrengs te bepaal. Dit volg uit hierdie studie dat daar 'n nie-lineêre verband tussen risiko aangepaste aandeelopbrengs en dividendopbrengs bestaan. 'n Noemenswaardige bevinding is die inverse lineêre verwantskap tussen dividend en gemiddelde aandeelopbrengs vir dividend betalende aandele op die Johannesburgse Effektebeurs. Dit blyk asof beleggers op die Johannesburgse Effektebeurs 'n premie plaas op kapitaalgroei ten koste van dividendopbrengs. Dit volg ook uit hierdie studie dat daar 'n inverse korrelasie is tussen dividendstabiliteit en risiko aangepaste aandeelopbrengs met die beta koëffissiënte wat toeneem soos dividendstabiliteit afneem. Binne 'n spesifieke dividendopbrengsportfolio is dit duidelik dat hoër sistematiese risiko geassosieer word met onstabiele historiese dividendopbrengste. Dit volg uit die resultate dat hierdie inligtingoordrag deur middel van dividende, nie beperk is tot hoë dividendopbrengs aandele nie. Aangesien dividende nie uitsluitlik deur bestuurders beheer word nie, kan 'n aandeel met lae maar stabiele dividendopbrengs, 'n boodskap van lae blootstelling aan sistematiese risiko aan die mark oordra.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The dream of finding the ultimate tool for forecasting market instruments like share prices has long eluded investors throughout the world. Various forecasting techniques have been examined with a view to helping the investor or analyst to gain a better understanding of price behaviour in the open market. These techniques have been based mainly on traditional statistical analysis of data to forecast price behaviour. Though used by almost all serious investors, these techniques have yielded limited success as investment instruments. The reason for this is that most of these methods explored linear relationships between variables in the forecasting model, while in fact, most relationships found between variables in the share market are non-linear. Neural networks present a unique opportunity for the investor to overcome this problem. Neural networks are mathematical models of the human brain and have the ability to map complex nonlinear relationships between data sets. This study focuses on developing a neural network model to predict the price changes of the ALSI index on the JSE one and five days into the future. The results of the neural network model were then compared to forecasting results obtained by using a traditional statistical forecasting technique namely ARIMA modelling. The study found that the neural network models did not significantly perform better than the ARIMA models. A further test was done to determine the performance of the five-day forecasting model when analysing different time windows within the given data set. The test indicated that the model did perform better when using the inputs of certain time frames. This indicates that the neural network model needs to be updated regularly to ensure optimum model performance. The results of the neural network models were also used in a trading simulation to determine whether these results could be applied successfully to trading the ALSI index on the JSE. Unfortunately, the results of the trading simulation showed that using the neural network results as trading strategy yielded poorer results than using a buy/hold investment strategy. It can therefore be concluded that, although the neural network models performed relatively well relative to traditional forecasting techniques in forecasting the ALSI index, the forecasts were still not accurate enough to be useful as inputs in a trading strategy. / AFRIKAANSE OPSOMMING: Die droom om die perfekte vooruitskattingsinstrument te vind om die prysgedrag van verskillende markinstrumente vooruit te skat, ontwyk al generasies lank die meeste beleggers. Verskillende tegnieke is al ondersoek om die belegger te help om ’n beter gevoel van prysveranderinge in die vrye mark te verkry. Die meeste van hierdie tegnieke het gefokus op tradisionele statistiese vooruitskattingstegnieke. Alhoewel hierdie tegnieke wêreldwyd deur investeerders gebruik word, was hierdie metodes se sukses as investeringsinstrument beperk. Die rede vir hierdie beperkte sukses lê in die feit dat hierdie tegnieke slegs die lineêre verwantskappe tussen veranderlikes gebruik het om voorspellings te maak, terwyl die meeste verwantskappe wat tussen veranderlikes in die vrye mark bestaan, nie-lineêr is. Neurale netwerke bied ’n unieke geleentheid vir beleggers om bogenoemde probleme te oorkom. Neurale netwerke is wiskundige modelle wat op die werking van die menslike brein gebaseer is en besit die vermoë om komplekse nie-lineêre verwantskappe tussen datastelle te herken. Hierdie studie fokus op die ontwikkeling van ’n neurale netwerk(e) om die prysverandering van die ALSI indeks op die JEB een en vyf dae in die toekoms vooruit te skat. Die resultate van die neurale netwerk model is verder vergelyk met die resultate van tradisionele statistiese vooruitskattingstegnieke soos byvoorbeeld ARIMA tegnieke. Die studie het gevind dat die neurale netwerk modelle nie beduidend beter gevaar het as die ARIMA modelle in die vooruitskatting van die ALSI indeks in beide die een- en vyfdag vooruitskattings nie. ’n Verdere toets is gedoen om die toepaslikheid van die gekose vyfdagmodel op verskillende tydvensters van die tydreeks te bepaal. Die toets het aangetoon dat die model baie meer akkuraat is vir sekere tydvensters as vir ander tydvensters. Dit dui dus daarop dat die neurale netwerk model gereeld heropgelei behoort te word om seker te maak dat die model optimaal presteer gegewe die spesifieke insetdata. Die resultate van die neurale netwerk model is ook gebruik in ’n simulasie om te bepaal of die resultate die belegger kan help om beter investeringsbesluite rakende die ALSI indeks op die JEB te maak. Ongelukkig het die simulasie resultate gewys dat ’n beleggingstrategie gebaseer op die neurale netwerk resultate swakker opbrengste gerealiseer het as ’n koop/hou beleggingstrategie. Ten slotte het die studie getoon dat alhoewel die neurale netwerk modelle relatief goed in vergelyking met tradisionele statistiese modelle gevaar het in die vooruitskatting van die ALSI indeks, hierdie vooruitskattings nie akkuraat genoeg is om as inset tot ’n investeringstrategie gebruik te word nie.

Thesis (MBA)--Stellenbosch University, 2003. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: Investors often question the extent to which the state of the market affects returns in investment finance, and seek answers as to whether the market response to bad and good news is dependent on the level of the market. If this is true, investors who have the ability to identify events can make substantial amounts of money by identifying the state of the market before investing. This would then be in violation of the efficient market hypothesis. This study used the Conrad, Cornell and Landsman (2002) model to investigate whether the share price's response to bad news in South Africa changes with the relative level of the market. Conrad, et al. (2002) found enough evidence that the market's response to bad news increases with the increase in relative level of the market. Bhana (1996) supported this notion when he reported that investors overreacted to companies that announced negative earnings. A sample analysis of this study produced regression equations with insignificant unexpected earnings coefficients. One of the notable factors was that, for some observations, the retained earnings moved in the opposite direction with the unexpected earnings shocks. Malan (1998) found similar market reaction when he investigated the overreaction theory using three indices from Johannesburg Stock Exchange and he reported that the market could not distinguish between bad and good news as the results for both bad and good news yield either positive or negative abnormal returns. After introducing additional variables to allow for these opposite movements, CHANGE, the regression equation produced significant regression coefficients. The results of the study were directly opposite to the findings of Conrad, et al. (2002) and those in other existing literature. These indicated that the market responds strongly to good news in both good and bad market states. The study concludes by suggesting further areas for future research. / AFRIKAANSE OPSOMMING: Beleggers bevraagteken dikwels die mate waarin die opbrengste in beleggingsfinansies deur marktoestande beïnvloed word, en wil weet of die markreaksie op slegte of goeie nuus van markvlakke afhang. Indien dit waar is, kan beleggers wat die vermoë het om vooraf gebeure te identifiseer, aansienlike hoeveelhede geld maak deur die toestand van die mark te bepaal voor hulle geld belê. Dit sal dan teenstrydig wees met die Doeltreffende markhipotese. Hierdie studie gebruik die Conrad, Cornell en Landsman-model (2002) om uit te vind of die aandeleprys se reaksie op slegte nuus in Suid-Afrika saam met die relatiewe vlak van die mark verander. Conrad, et al. (2002) het voldoende bewyse gevind dat die mark se reaksie op slegte nuus toeneem soos die relatiewe vlak van die mark toeneem. Bhana (1996) het hierdie gedagte ondersteun toe hy berig het dat beleggers oorreageer wanneer maatskappye negatiewe verdienste aankondig. 'n Steekproefontleding in hierdie studie het regressievergelykings met onbeduidende onverwagte verdienste-koëffisiënte gelewer. Een van die belangrikste faktore was dat die teruggehoue verdienste by sommige waarnemings in die teenoorgestelde rigting beweeg het met onverwagte verdienste-skokke. Malan (1998) het 'n soortgelyke markreaksie gevind toe hy die oorreaksie-teorie ondersoek het deur drie indekse van die Johannesburgse aandelebeurs te gebruik. Hy het berig dat die mark nie tussen slegte en goeie nuus kon onderskei nie omdat die resultate vir slegte sowel as goeie nuus positiewe of negatiewe abnormale opbrengste lewer. Nadat bykomende veranderlikes ingebring is om voorsiening vir hierdie teenoorgestelde bewegings te maak, het die regressievergelyking beduidende regressiekoëffisiënte opgelewer. Die resultate van hierdie studie staan lynreg teenoor die bevindinge van Conrad, et al. (2002) en dié van ander bestaande literatuur. Dit dui daarop dat die mark sterk reageer op goeie nuus in goeie sowel as swak marktoestande. Die studie word afgesluit met voorstelle vir verdere navorsing op hierdie gebied.

Thesis (MBA)--Stellenbosch University, 2012. / The use of leading indicators provides a valuable method to predict changes in macro-economic variables. However, the accuracy of the various models using leading indicators is a topic of constant debate. This study aimed to identify whether leading indicator models predicting residential house price changes performed as well during the recent global financial crisis (fourth quarter 2007 to second quarter 2012) as during the period directly before the crisis. Several potential drivers of the South African property market were identified with the help of previous studies on this topic. Following that, a quantitative analysis was done and single leading indicator models were built using regression analysis to evaluate the importance of each independent variable. This information was used to create a composite leading index for the South African housing market. The accuracy of these models were then compared to predict the changes in house prices during the period preceding the recent global economic crisis.It was found that the ability of these leading indicator models to predict house price changes during the recent global economic crisis decreased significantly.