This study sought to empirically investigate trends and volatility in residential property prices in South Africa using quarterly data over the period 1980Q1 to 2011Q4. The empirical analysis uses a range of unit root and stationarity tests as well as a number of ARCH-family of models. The results from the trend analysis suggest that the behaviour of house prices in South Africa follows a random walk process. The randomness in the behaviour of house prices could be attributed to permanent effect of shock. Investigation into the dynamic behaviour of the house prices supports the existence of conditional volatility that is time-varying and highly persistent. Moreover, volatility is found to be asymmetric in news suggesting evidence of anti-leverage effects. These findings have important portfolio implications especially, considering the fact that large-scale losses are possible if house prices exhibit the type of persistent in behaviour as captured in this study. Also, the existence of asymmetric effects in volatility suggests that more caution needs to be placed on news arrival as they may have significant impacts on the house price behaviour. Accordingly, this study suggests the need for residential property market to be treated like other asset markets with regards to risk.

The purpose of this investigation was to explore the relationship between the general psychological mood of the population regarding the national economy and its effect upon the level of stock market prices. It was hypothesized that there should be evidence of a positive relation between the two. In an effort to explain stock price levels several models were constructed which contained various component variables, among which were an Index of Consumer Mood, GNP, Corporate Earnings Before Tax, Money Supply and Canadian Government Long-Term Bond Interest Rates. All datum covered 38 quarters, from 3rd quarter I960 to 4th quarter 1969. From these variables five models were constructed containing three equations each. Five tests were conducted on the five individual models in which the correlations, multiple regressions and polynomial distributed lags were measured. Various tests contained data based on first differences deflated values, relative differences and combinations thereof. A final test was with the exclusion of the Consumer Mood variable in order to judge the effect its presence had made upon the accuracy of the equations. The conclusions based upon the results of the tests must initially indicate that the general psychological consumer attitude has little bearing upon the level of stock prices. Deflated money supply however, proved to be highly relevant and a valuable predictor. The total picture presented by the models is unsatisfactory, requiring either the substitution of more accurate variables or the inclusion of further data to supplant the inefficiency of the variables that were used. The components employed in the tests were both inefficient in some cases and insufficient in others. The results must only indicate areas for further investigation and refinement of the datum. Any generalization on the lack of statistical support for a relationship between consumer confidence and stock prices to the effect of consumer opinions about the economy as a whole would neither be reasonable nor justifiable at this time. / Business, Sauder School of / Finance, Division of / Graduate

This study has a twofold purpose. The primary purpose is to examine empirically the hypothesis of relative price performance. This hypothesis states that issues in the stock market which have recorded a price performance superior to the market for a period of time will tend to continue to record a superior price performance relative to the market. Conversely, those issues which have recorded an inferior price performance relative to the market will tend to maintain an inferior relative performance. The secondary purpose of the study is to develop a theoretical framework that attempts to explain how complexity in corporations is a constraint on the analysis of those corporations and is a determinant of security price behavior. The data consisted of a sample of 1214 companies which constituted those stocks included in the four major indices on the Toronto Stock Exchange as of January 1, 1965. The data tested were adjusted monthly stock prices covering the period January, 1965 to November, 1969. The methodology employed was the estimation of regression equations to determine the relationship between historical measures of relative price performance and subsequent relative price performances. The results of the empirical testing provide no support for the hypothesis. In practically every regression equation estimated the significance of the findings was almost negligible. The findings inferred that the hypothesis should be rejected. The development of a theoretical framework involving complexity in corporations and information types demonstrated that trends in security price movement are logically possible but only in certain cases. As a consequence of the two purposes of the study two conclusions were arrived at. Firstly, the hypothesis as tested here must be rejected due to an absence of any support for it. Secondly, recognition of the constraining influence of complexity on the security valuation process revealed that certain categories of companies would tend to exhibit a consistency in their securities' relative price performance. Therefore it was suggested that future research in the field of security price behavior should give consideration to disaggregating the sample into categories of complexity. / Business, Sauder School of / Graduate

The objective of this thesis was to investigate the effectiveness of kriging as a predictor of future prices for copper, lead and zinc on the London Metal Exchange. The annual average metal prices from 1884 to 1986 were deflated into constant price series with reference to a base of 1984 prices. Analysis of the data showed that the requirement of stationarity was satisfied if the price series were divided into three distinct time periods viz. 1884 to 1917; 1918 to 1953; 1954 to 1986. For copper each of the three time periods were studied in detail, but for lead and zinc only the most recent period was included in this thesis. Spherical models gave a good fit to the experimental semi-variograms computed for each metal-time period and were used to predict future prices by ordinary kriging. Universal Kriging was applied to the most recent time period for each metal by fitting a polynomial curve to the price-time series, computing experimental semi-variograms from the residuals and then fitting spherical models which were used to predict future prices. Within the most recent price-time series, a further subdivision was made by taking that portion of the period from the highest price to 1986. Experimental semi-variograms from the residuals from fitted polynomial curves showed pure nugget effect and consequently extrapolation of the polynomial was used as the price predictor. The kriged and extrapolated future price estimates were compared to future prices estimated by a simple random walk using residual sums of squared differences. For four of the five time series analyzed, ordinary kriging produced the best future price estimates. For copper from 1918 to 1953 , the simple random walk was marginally better than ordinary kriging. This was probably due to the low price variability in this period resulting from the Great Depression and government price controls associated with the Second World War and the Korean War. Specific forecasts for 1985 and 1986 were most accurate for copper and lead by universal kriging and most accurate for zinc by ordinary kriging. The results are encouraging and future investigations should include: applying other kriging methods : analyzing daily and monthly prices : comparing results with more sophisticated time series analysis techniques. / Applied Science, Faculty of / Mining Engineering, Keevil Institute of / Graduate

The trend in house prices is of importance to governments, financial institutions and households. However, currently no proven reliable indicator of house prices exists. The lack of an accurate house price series is due to two major factors. First convenient and accurate data on house prices are not readily available and data collection from the Land Registry Office is both time consuming and costly. The second factor relates to the problem of changes in the quality of the series through time. This quality problem has two basic aspects. First, the quality of the index may be influenced by shifts in the distribution of sales between different values of homes. The second problem arises from the unique nature of real estate as to its’ location, age, condition, etc. Unlike other indices, there is no standardized unit of housing to which price quotations may, be reduced, thus the quality of the housing sold in each year will be different. In this study, the problems encountered in sampling and constructing a price index for the single family housing stock are identified and analyzed both conceptually and empirically. The conceptual examination involves a review of the literature as well as an analysis of the methodologies employed in the construction of the major housing indicies in use today. The empirical analysis is done through the construction of a price series for the eight rapidly growing cities and municipalities of the Greater Vancouver Regional District for the years 1949 to 1976. The indicies are based upon data obtained from the Land Registry Offices in British Columbia and are designed to be statistically representative of all sales for those areas during the study period. The analysis forms a basis for future research into housing indicies and in particular, provides a reliable benchmark series against which alternative measures of price changes can be tested. / Business, Sauder School of / Graduate

Although computers have long been studied in terms of their changing price/performance ratio, the issue of accounting for performance in computer systems has not been adequately addressed. This paper addresses the topic in three ways. First, a survey of IS Managers and business "power-users" of personal computers was conducted to empirically determine the attributes of computer systems that provide value to users; these results guide subsequent choices regarding the operationalisation of user value. Second, an index of system performance was developed from published performance benchmarks and used as a direct measure of performance in the hedonic function. Third, a set of technical proxies was shown to adequately reproduce the performance index derived above, and was used in an alternate specification of the hedonic function. Using data on IBM-PC compatible laptop and desktop systems, price indexes were constructed using both approaches to performance measurement. The results demonstrated that both approaches yielded good explanatory power and nearly identical estimates of the rate of quality adjusted price change in PC systems. Thus, the set of technical proxies could be used to operationalise performance in a larger data set for which direct performance measures are unavailable. For the 1990s, laptop PCs were found to have decreased in quality adjusted price at an average of 39% per year while the corresponding figure for desktop PCs was 35% per year. / Business, Sauder School of / Graduate

The objective of this thesis is to gain a better understanding of the process by which residential land prices are determined and change over time. A special concern is also shown for the causal relationship between the prices of building lots and the selling prices of new single-detached housing built on those lots. In the introductory chapter, the upward climb over the years in the average price of building lots relative to the increase in new house prices is identified as a matter in need of closer study. The significance of this subject for planning practice is seen to lie in the power of planning authorities to intervene in the operation of property markets, and in the role of planning authorities implied in many proposals for solving the land price problem. In Chapter Two, numerous theoretical analyses and empirical studies of the determination and inter-temporal variation in residential land prices are surveyed. A critical assessment of the literature made in the first part of Chapter Three identifies several shortcomings. A static rather than dynamic approach, the assumption of market equilibrium and perfect competition, inadequate treatment of supply-demand interaction, and a limited behavioral content, characterize most of the works surveyed. A theoretical model is subsequently developed to explain the process by which residential lot prices are determined and change over time. Its fundamental hypothesis is that the level of new house prices and their changes over time are a prime determinant of lot prices and their intertemporal variation, while the profit-maximizing behavior of lot sellers and housebuilders generates the process by which lot prices increase over time. In Chapter Four, an empirical investigation is proposed for testing the theoretical model. Data on residential construction in Canada over the 1951-1977 period and financed under the provisions of the National Housing Act are selected for the investigation. Since the data pertain to a portion rather than the whole of the lot market, the theoretical model is reformulated in light of this and other empirical conditions. The Chapter is concluded with an outline of the statistical procedures to be used in the investigation. The results of the study are presented in Chapter Five. They are found to be generally consistent with the hypotheses of the empirical model, and the postulates of the theoretical model. It is concluded, among other things , that lot sellers and housebuilders behave in the manner proposed by the models, and that lot price increases are determined by house price increases. However, the validity of the model and wider application of the empirical findings are judged to be limited by the characteristics of the data used in the study. The concluding chapter offers several suggestions for future research on land prices and some implications for planning and public policy. The need for an improved economic understanding in urban planning is identified. A potential role is identified for planners in the provision of information in a market where imperfect information is a major source of observed market failure. / Applied Science, Faculty of / Community and Regional Planning (SCARP), School of / Graduate

This research tested whether wavelet based algorithms can improve the performance of intraday share trading algorithms. The trading algorithms investigated, each consisted of two parts: the first part performed share price prediction and the second part traded based on the prediction. All the trades in the shares BTI, MTN, NPN and SBK through 2013 on the JSE with the associated time stamps, transaction share prices and volumes, served as the basic sample. The sample was further reduced by using end-of-interval transaction share prices at intervals of one, two, five and ten minutes throughout the trade days. Three types of prediction algorithms were employed: auto regressive moving average (ARMA), wavelet-ARMA and wavelet regressive algorithms. The wavelet based algorithms were further broken down by using up to six different levels of scales in each of the algorithms. These algorithms were fitted using the first half year of data while the tests were conducted on the second half year of data. Two trade algorithms were created by the researcher: One algorithm for buyand- sell and another for short-and-close. Both algorithms used the predicted share price one and two intervals ahead as input and took transaction cost into account. The trade algorithms entered the market daily after opening time and exited the market before closing time. The wavelet based algorithms were not found to improve the accuracy of share price prediction. However, in agreement with previous research, wavelet based algorithms were found to improve the accuracy of predicting the direction of the share prices. The wavelet based algorithms were also found to improve trading performance. Short-and-close algorithms outperformed buy-and-sell. None of the intraday trade algorithms were found to outperform buy-and-hold over the test period. This study contributes to academic research regarding the manner in which wavelet based and ARMA algorithms were combined, the application of a wavelet-regressive prediction method to financial time series and the application of wavelet based trading algorithms on an intraday time scale. / Dissertation (MBA)--University of Pretoria, 2014. / lmgibs2015 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

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From the time of Don Hernando Cortez, livestock has been one of America's greatest industries. The cattle in Cortez ' s time were Moorish stock which had been bred for centuries in the Andalusian Plains of Spain.