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Dividend stability, dividend yield and stock returns on the Johannesburg Stock ExchangeKruger, Theunis Lodewicus 12 1900 (has links)
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.
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The application of neural networks to the prediction of share price indices on the JSEVan Niekerk, J. P. de T 12 1900 (has links)
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.
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When is bad news for the market really bad news?Mukwevho, Tshifhiwa 12 1900 (has links)
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.
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Volatility and the asset allocation decisionSchwalbach, Joao Bruno January 2017 (has links)
Thesis (M.Com. (Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2017 / This dissertation investigates the inclusion of volatility into the asset allocation decision, first as an asset class, and second as a tool for dynamic equity allocation. An examination on whether volatility exposure as an asset class has the necessary characteristics to form part of the broader investment universe is conducted. This is accomplished by comparing the risk-return characteristics of three naked option-selling strategies, a bull put spread strategy and a VIX futures strategy with the S&P 500 Index. Each volatility strategy is also included as part of a 30/30/40 volatility/equity/bond portfolio and compared to a traditional 60/40 equity/bond portfolio. Historically, the results indicate that all individual volatility strategies generated superior Sharpe ratios and exhibited less severe drawdowns than the S&P 500 Index, particularly during the 2008 Global Financial Crisis. Additionally, all volatility blended portfolios experienced better tail-risk profiles than the 60/40 equity/bond portfolio, with the naked option-selling strategies also generating similar returns as the 60/40 portfolio both over the full sample period as well during the period of recovery following the 2008 Global Financial Crisis. The results suggest that the returns associated with option-selling strategies are consistent, and have resulted in strong long-run risk-adjusted performance, qualifying short volatility exposure attained through option-selling strategies as an asset class. It however remains unclear whether the VIX futures strategy qualifies as an asset class given that it aims to exploit a market anomaly in the form of potentially non-priced volatility clustering in the S&P 500 Index. While the strategy generated considerable outperformance from 2004 to 2009, it underperformed from 2009 to 2016 suggesting that much of the non-priced volatility clustering has since been traded away. Drawing on the evidence of volatility clustering in equity markets, a managed volatility trading rule that regulates portfolio exposure between cash and equity based on how high the prevailing volatility level was relative to historical volatility levels is developed. Although transaction costs were not accounted for, the results indicated that the managed volatility trading rule has historically generated considerably superior Sharpe ratios than equity in developed and developing markets. In conclusion, volatility exposure attained through option-selling strategies has proven to be an attractive asset class, and historical evidence suggests that its inclusion into a traditional 60/40 equity/bond portfolio is likely to reduce the risk of future risk-adjusted underperformance relative to what had been achieved in the past. Additionally, the managed volatility trading rule remains an attractive alternative to investors who are precluded from investing in volatility as an asset class. / GR2018
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Price asymmetry in South African futures markets for agricultural commoditiesMashamaite, Makwena Phistos January 2005 (has links)
Thesis (M.Sc. ( Agricultural Economics )) --University of Limpopo, 2005 / The deregulation of agricultural markets in South Africa led to the establishment of a futures market for agricultural products, which was opened in January 1995. The marketing of Agricultural products act No. 47 of 1996 was passed at the end of 1996. The new Marketing of Agricultural Products Act (Act No. 47 of 1996) in South Africa has created an environment in which farmers, traders and processors are able to react positively to transparent prices that are market related. Agricultural futures markets serve several important functions, such as price risk management, price discovery and forward pricing.
Economists around the world have studied vertical and spatial price relationships, and the behaviour of price changes in futures markets using asymmetry tests. Price asymmetry results in futures markets have a number of important implications. Firstly, traditional models in time series may be slightly biased when forecasting future prices, because they assume price symmetry. Secondly, asymmetry results may imply that the weak-form efficient markets hypothesis appears to be contradicted, thus indicating that past prices do affect current prices and do contain information. Lastly, if persistent asymmetry is found in futures markets, market regulators and policy makers may wish to use asymmetric information to improve the functioning and stability of futures markets through improved price limit and margin policies. Implementing policies
iv
accounting for asymmetric behaviour may help avoid market crashes and sudden unexpected price adjustments adversely affecting market participants.
This study tests the existence of price asymmetry in South African futures markets for white and yellow maize, wheat and sunflower seeds using a dynamic price asymmetry model. The sum of coefficients test and the speed of adjustment test are used to determine whether or not prices move up in the same fashion as they move down, over daily and weekly data frequencies. Out of the four commodity futures markets studied over varying data frequencies, only daily wheat is price asymmetric. Wheat daily prices respond faster to price decreases than to price increases.
The implication of the results is that past prices do affect current prices and contain information. Hence, the weak-form efficient market hypothesis appears to be contradicted for wheat futures market. Another important implication of the results is that implementing policies accounting for asymmetric behavior through price limit and margin policies will improve the functioning and stability of wheat futures market in South Africa. / National Research Foundation, and the University of Limpopo
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`n Prysbepalingsmodel vir mieliemeulensLiversage, Johann Henry 01 1900 (has links)
Die doel van hierdie studie is om `n omvattende prysbepalingsmodel te ontwikkel vir vinnige bewegende voedselsoorte, met spesifieke verwysing na die mieliemeelbedryf. Deur navorsing wat gedoen is het dit aan die lig gekom dat daar nie `n enkele model bestaan wat prysbepaling in totaal aanspreek nie. Die model wat in hierdie verhandeling ontwikkel is, sal kan dien as `n omvattende prysbepalingsmodel en ook diegene wat nie bekend is met die prysbepalingsproses nie, tot voordeel strek.
Hoofstuk 2 bied `n literatuurstudie van die faktore of komponente wat tydens prysbepaling verantwoord moet word.
Hoofstuk 3 bied `n empiriese oorsig van die prysbepalingsmetodes wat TWK meulens aangewend het om die pryse van hulle klaarprodukte te bepaal, en hoe `n prysbepalingsmodel aangewend is om die winsgewendheid van die meulens te verhoog.
Hoofstuk 4 word gewy aan die ontwikkeling van `n omvattende prysbepalingsmodel wat deur die mieliemeulebedryf en ander vervaardigers van vinnig bewegende voedselsoorte aangewend kan word.
Hoofstuk 5 verskaf `n samevatting en riglyne vir verdere navorsing. / Business Management / M.Com. (Business Management)
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Macroeconomic determinants of stock market behaviour in South AfricaJunkin, Kyle January 2012 (has links)
This study investigates whether stock prices in South Africa are influenced by macroeconomic variables, and furthermore, the effects of financial crises on stock prices. The relationship between stock prices and the macroeconomy is a particularly important issue for investors, since a thorough understanding of such a relationship is likely to yield profitable or risk mitigating opportunities. Using monthly data for the period 1995 to 2010 the study focused at a macro level using the FTSE/JSE All Share Index, and at a micro level using sector indices. These included the construction and materials, financial, food producers’, general retailers, industrial, mining and pharmaceuticals indices. The Johansen and Juselius (1990) multivariate cointegration approach was employed, along with impulse response and variance decomposition tests to address the issue. The results showed that macroeconomic variables do have a significant influence on stock prices in South Africa. Also, the influences of these variables were found to have an inconsistent effect across the sectors under investigation. For example, inflation was found to negatively influence the All Share Index, but impacted the industrial index positively. These inconsistent influences on the various sectors were seen to have important diversification implications for investors. The impact of past financial crises proved to be significant on certain indices, however, indices such as that of the pharmaceuticals sector was found to be largely unaffected by such crises. The findings of the study were discussed through an investor’s perspective, and recommendations on investment decisions were given. The limitations of the study were such that certain results may have been influenced by a mis-specification of variables, particularly the Treasury bill rate.
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Identifying the interdependence between South Africa's monetary policy and the stock marketMuroyiwa, Brian January 2011 (has links)
This study estimates the interdependence between South Africa‟s monetary policy and stock market performance, utilising structural vector autoregression (SVAR) methodology. The study finds that a stock price shock which decrease stock prices by 100 basis points leads to 5 basis points decrease in interbank rate. A monetary policy shock that increases the interbank rate by l percent leads to decrease in real stock prices by 1 percent. This result for South Africa is similar to the result by Bjornland and Leteimo (2009) which earlier concluded that there was a high interdependence between interest rate setting and stock prices. However the magnitude of the relationship is relatively lower for South Africa compared to that of the United States of America (USA). The result of the current study is also very much consistent with the argument that the South African stock market is resource-based and so is influenced by external shocks, meaning monetary policy shock does not have as much impact on stock market in South Africa as in the USA. However the SARB may have to consider watching movements in stock prices so that booms in stock markets do not defeat central bank monetary policy thrusts. The stock price market is an essential source of information for monetary policy in South Africa.
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A comparison of the Philips price earnings multiple model and the actual future price earnings multiple of selected companies listed on the Johannesburg stock exchangeCoetzee, G. J 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The price earnings multiple is a ratio of valuation and is published widely in the media as a
comparative instrument of investment decisions. It is used to compare company valuation
levels and their future growth/franchise opportunities. There have been numerous research
studies done on the price earnings multiple, but no study has been able to design or derive a
model to successfully predict the future price earnings multiple where the current stock price
and following year-end earnings per share is used.
The most widely accepted method of share valuation is to discount the future cash flows by an
appropriate discount rate. Popular and widely used stock valuation models are the Dividend
Discount Model and the Gordon Model. Both these models assume that future dividends are
cash flows to the shareholder.
Thomas K. Philips, the chief investment officer at Paradigm Asset Management in New York,
constructed a valuation model at the end of 1999, which he published in The Journal of
Portfolio Management. The model (Philips price earnings multiple model) was derived from
the Dividend Discount Model and calculates an implied future price earnings multiple. The
Philips price earnings multiple model includes the following independent variables: the cost
of equity, the return on equity and the dividend payout ratio. Each variable in the Philips
price earnings multiple model is a calculated present year-end point value, which was used to
calculate the implied future price earnings multiple (present year stock price divided by
following year-end earnings per share). This study used a historical five year (1995-2000)
year-end data to calculate the implied and actual future price earnings multiple.
Out of 225, Johannesburg Stock Exchange listed companies studied, only 36 were able to
meet the criteria of the Philips price earnings multiple model. Correlation and population mean tests were conducted on the implied and constructed data sets. It proved that the Philips
price earnings multiple model was unsuccesful in predicting the future price earnings
multiple, at a statistical 0,20 level of significance.
The Philips price earnings multiple model is substantially more complex than the Discount
Dividend Model and includes greater restrictions and more assumptions. The Philips price
earnings multiple model is a theoretical instrument which can be used to analyse hypothetical
(with all model assumptions and restrictions having been met) companies. The Philips price
earnings multiple model thus has little to no applicability in the practical valuation of stock
price on Johannesburg Stock Exchange listed companies. / AFRIKAANSE OPSOMMING: Die prysverdienste verhouding is 'n waarde bepalingsverhouding en word geredelik
gepubliseer in die media. Hierdie verhouding is 'n maatstaf om maatskappye se waarde
vlakke te vergelyk en om toekomstige groei geleenthede te evalueer. Daar was al verskeie
navorsingstudies gewy aan die prysverdiensteverhouding, maar nog geen model is ontwikkel
wat die toekomstige prysverdiensteverhouding (die teenswoordige aandeelprys en
toekomstige jaareind verdienste per aandeel) suksesvol kon modelleer nie.
Die mees aanvaarbare metode vir waardebepaling van aandele is om toekomstige
kontantvloeie te verdiskonteer teen 'n toepaslike verdiskonteringskoers. Van die vernaamste
en mees gebruikte waardeberamings modelle is die Dividend Groei Model en die Gordon
Model. Beide modelle gebruik die toekomstige dividendstroom as die toekomstige
kontantvloeie wat uitbetaal word aan die aandeelhouers.
Thomas K. Philips, die hoof beleggingsbeampte by Paradigm Asset Management in New
York, het 'n waardeberamingsmodel ontwerp in 1999. Die model (Philips prysverdienste
verhoudingsmodei) was afgelei vanaf die Dividend Groei Model en word gebruik om 'n
geïmpliseerde toekomstige prysverdiensteverhouding te bereken. Die Philips prysverdienste
verhoudingsmodel sluit die volgende onafhanklike veranderlikes in: die koste van kapitaal,
die opbrengs op aandeelhouding en die uitbetalingsverhouding. Elke veranderlike in hierdie
model is 'n berekende teenswoordige jaareinde puntwaarde, wat gebruik was om die
toekomstige geïmpliseerde prysverdiensteverhouding (teenswoordige jaar aandeelprys gedeel
deur die toekomstige verdienste per aandeel) te bereken. In hierdie studie word vyf jaar
historiese jaareind besonderhede gebruik om die geïmpliseerde en werklike toekomstige
prysverdiensteverhouding te bereken. Van die 225 Johannesburg Effektebeurs genoteerde maatskappye, is slegs 36 gebruik wat aan
die vereistes voldoen om die Philips prysverdienste verhoudingsmodel te toets. Korrelasie en
populasie gemiddelde statistiese toetse is op die berekende en geïmpliseerde data stelle
uitgevoer en gevind dat die Philips prysverdienste verhoudingsmodel, teen 'n statistiese 0,20
vlak van beduidenheid, onsuksesvol was om die toekomstige prysverdiensteverhouding
vooruit te skat.
Die Philips prysverdienste verhoudingsmodel is meer kompleks as die Dividend Groei Model
met meer aannames en beperkings. Die Philips prysverdienste verhoudingsmodel is 'n
teoretiese instrument wat gebruik kan word om hipotetiese (alle model aannames en
voorwaardes is nagekom) maatskappye te ontleed. Dus het die Philips prysverdienste
verhoudingsmodel min tot geen praktiese toepassingsvermoë in die werkilke waardasie van
aandele nie.
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Forecasting economic growth from the capital and share markets : the South African case revisitedCrawford, Robert Cameron 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The relationship between asset markets and economic growth is well documented in
economic literature.
Harvey (1989), conducted a study of the relationship between interest rate spreads,
share market prices and real economic growth in the USA. He developed a model
to forecast real economic growth using interest rate spreads and share market
prices and concluded that interest rate spreads produced superior forecasts to those
based on share market information. He further established that the forecasts
obtained from his simple model, which made no provision for serial correlation,
compared favourably with those of leading economic forecasters in the USA.
Van der Mescht (1991) undertook a similar study based on interest rate spreads and
share market prices in South Africa. He concluded that there were no significant
differences between the capital market and share market as predictors of economic
growth in South Africa when provision was made in Harvey's model for the effects of
serial correlation. His results indicated that both the capital and share markets were
able to explain more than 65 percent of the variation in economic growth over the
period of his study and that the forecasts were able to accurately predict the turning
points in the economy and compared favourably with other leading economic
forecasters.
A similar study to Van der Mescht's using updated South African data found that in
general the conclusions reached by Van der Mescht remain valid. A difference
which is evident, however, is that, whereas previously, there was little difference
between the results of the interest rate spread and share market index model, the
interest rate spread model produced better results over the period of this study
(1981 - 1998). / AFRIKAANSE OPSOMMING: Die verwantskap tussen die kapitaal- en aandelemark en ekonomiese groei is
deeglik in die ekonomiese literatuur ge-dokumenteer.
Harvey (1989) het navorsing gedoen oor die verwantskap tussen die
termynstruktuur van rentekoerse, aandelepryse en reële ekonomiese groei in die
VSA. Hy het 'n vooruitskattingsmodel ontwikkel vir ekonomiese groei, gebaseer op
die termynstruktuur van rentekoerse en aandelepryse en het tot die gevolgtrekking
gekom dat die termynstruktuur van rentekoerse 'n beter vooruitskatter van
ekonomiese groei is as die aandelemark, en dat sy model, wat geen voorsiening vir
outokorrelasie maak nie, goed vergelyk met ander ekonometriese modelle wat
ekonomiese groei in die VSA vooruitskat.
Van der Mescht (1991) het 'n soortgelyke studie, gebaseer op die termynstruktuur
van rentekoerse en aandelepyse in Suid Afrika, onderneem. Hy het tot die
gevolgtrekking gekom dat daar geen betekenisvolle verskil is tussen die kapitaal en
aandelemark as vooruitskatters van ekonomiese groei indien daar vir
outokorrelasie in die modelle voorsiening gemaak word nie. Sy resultate dui aan dat
die kapitaal- en aandelemark meer as 65 persent van die persentasieverandering in
die ekonomiese groei kon verklaar oor die termyn van sy studie, dat dit akkurate
vooruitskattings van die draaipunte in die Suid Afrikaanse ekonomie gelewer het, en
dat dit gunstig vergelyk met ander ekonomiese vooruitskatters.
'n Soortgelyke studie as die van Van der Mescht is onderneem, met die jongste
inligting omtrent termynstruktuur van rentekoerse en aandelepryse in Suid Afrika. In
die algemeen is die gevolgtrekkings van Van der Mescht steeds van toepassing.
Daar is egter aangetoon dat, waar daar voorheen geen betekenisvolle verskil tussen
die kapitaal- en aandelemark as vooruitskatters van ekonomiese groei was nie, die
termynstruktuur van rentekoerse beter resultate oor die termyn van hierdie studie
gelewer het. (1981 -1998).
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