Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / This paper replicates Jegadeesh`s (1990) paper entitled “Evidence of Predictable Behavior of Security Returns”. Jegadeesh (1990) states that by using the observed systematic behaviour of stock returns it is possible to make “one-step-ahead return forecasts”. That is forecast the return one month in the future. The aim of this research is to assess the predictability of monthly returns on the Johannesburg Stock Exchange (JSE) by analysing the monthly returns of stocks and portfolios of stocks from the JSE. This thesis will show that it is not possible to accurately or reliably forecast future returns for individual stocks or portfolios of stocks from the JSE. In addition the findings in this paper also indicate that stocks and portfolios of stocks from the JSE follow the random walk theory.

Numerous studies have documented the existence of nonlinearity within various financial time series. But how important of a finding is this? This dissertation examines this issue from a number of perspectives. First, is the nonlinearity that has been found a statistical anomaly that is isolated to a few of the more widely known financial time series or is nonlinearity a statistical regularity inherent in such series? Second, even if nonlinearity is pervasive, does this finding have any practical relevance for finance practitioners or academics? Using the relatively financially isolated but nonetheless well-traded Taiwan Stock Exchange as a case study, it is found that virtually all of the stocks trading on this exchange exhibit nonlinearity. The pervasiveness of nonlinearity within this market, combined with earlier results from other markets, suggests that nonlinearity is an inherent aspect of financial time series. Furthermore, closer examination of the time-paths of various measures of this nonlinearity via both windowed testing and recursive testing and parameter estimation reveals an additional complication, the possibility of nonstationarity. The serial dependency structures, especially for the nonlinear dependencies, do not appear to be constant, but instead appear to exhibit a number of brief episodes of extremely strong dependencies, followed by longer stretches of relatively quiet behavior. On average, though, these nonlinearities appear with sufficient strength to be significant for the full sample. Continuing on to examine the relevance of such nonlinearities for empirical work in finance, a variety of conditionally heteroskedastic models were fit to the returns for a subsample Taiwanese stocks, the Taiwanese stock index, and stock indices for other stock markets, including New York, London, Tokyo, Hong Kong, and Singapore. In a majority of cases, such models appear to be successful at filtering out the extant nonlinearity from these series of returns; however, a variety of indicators suggest that these models are not statistically well-specified for these returns, calling into question the inferences obtained from these models. Furthermore, a comparison of the various conditionally heteroskedastic models with each other and with a dynamic linear regression model reveals that, for many of the data series, the inferences obtained from these models regarding the day-of-the-week effect and the extant autocorrelation within the data varied from model to model. This finding suggests the importance of adequately accounting for nonlinear serial dependencies (and of ensuring data stationarity) when studying financial time series, even when other empirical aspects of the data are the focus of attention. / Ph. D.

This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average stock returns. The adjustment of estimated beta for the effect of thin trading does not change the implications of the results. Of the three anomalies investigated, the size effect has the most prominent and consistent role in explaining average returns. For the earnings-price ratio, the results indicate that the significance of the E/P ratio variable persists only if the nonfinancial firms are considered. In contrast to the previous empirical results for the U.S. and Japanese stock markets, the book-to-market ratio fails to explain the SET equity returns. The second essay employs a generalized autoregressive conditionally heteroskedastic (GARCH) model with conditional t-distributed errors to investigate the spillover effects. No evidence of price spillover effects is found for the full sample period. However, the spillover effects are significant during the period in which the Federal Reserve Board raised interest rates. Further examinations reveal that information inferred from price changes in the U.S. market influences only the opening price in the SET, not the open-to-close Thai stock market returns. This implies that price in the SET is informationally efficient with respect to the price determined in the U.S. stock market. The evidence is generally supportive of international financial integration and informational efficiency in the Thai stock market.

This diploma thesis deals with stock {--} exchange business on European continent, especially on organised markets. Main goal is to underline czech stock market, its financial derivatives. In the theoretical part chosen general topics concerning stock-exchange business on organized markets are characterized. Importace of stock {--} exchange, it structure, principles of business, history of stock {--} exchange business are described. Next chapter deals with czech market (organised Prague stock exchange and an organiser of off-exchange trading RM {--} system), its comparison, the new financial derivatives market as well. As compared markets are chosen: London, Wien, Warsaw, Budapest, Italian stock Exchange, Deutsche Borse, cross border exchange organisation NYSE EURONEXT and Prague stock exchange. The application part is based upon information gathered from web sites of particular stock exchanges and international organisations. Chosen figures concerning positron of stock exchange markets on international market with securities are: organizational structure, way of trading and clearing, trading hours, distributing information, trading financial derivatives, statistical indicators: number of members, market capitalizaton, trade volume, number of transactions and evaluation of futures trades.

No description available.

The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new information and should reflect all available information. In contrast, behavioural finance suggests that markets are not rational and investors make irrational decisions, which may lead them to over- or under-price stocks. Researchers for years have been empirically testing these assumptions in stock markets. However, there has been no consensus on which asset-pricing models perform better in capturing the effect of market anomalies and what impact these market anomalies have on the expected returns of different stock market’s sectors. The aim of the study was to test the effect of selected market anomalies on expected return in different sectors of the Johannesburg Stock Exchange (JSE). More specifically, the study aimed to compare the performance of different asset-pricing models and their ability to account for market anomalies in different sectors of the JSE. Additionally, this study tested the applicability of the recent Fama and French five (FF5-factor) model, in estimating the expected return on the JSE. The study used a quantitative approach with secondary data over a period of 12 years starting from January 2002 to December 2014. The sample used in the study consists of monthly data obtained from McGregor BFA and the South African Reserve Bank. The study examined for the effects of size, value, January and momentum variables across six sectors of the JSE. This was accomplished by the use of various asset-pricing models such as the Capital asset pricing model (CAPM), the Fama and French three-factor model (FF3-factor), the Carhart four-factor model (C4F) and the recent five-factor model of Fama and French (FF5-factor). The study showed that whenever the asset-pricing models were not restricted, they tend to capture the market anomalies in four out of the six sectors examined. However, no market anomalies were found present in two of the six sectors analysed. In contrast, when the asset-pricing models are restricted, the asset-pricing models only seem to capture the effects of market anomalies in one of the six examined sectors. The findings in this study suggest that market anomalies are sensitive to model specifications, as restricting the models tends to capture the different market anomalies across the sectors of the JSE. The study also found that market anomalies differ across sectors and that some sectors are more efficient than others. The study also reveals that the FF5-factor model is able to account for expected returns on the JSE. In addition, the FF5-factor model tends to perform better when the model is restricted. It is also evident from the findings presented in this study, that the value anomaly loses its predictive power when profitability and investment variables are included in the model. Overall, the study illustrated that market anomalies have an effect on returns of the JSE, that the model specifications play an important role in an asset-pricing model and that the FF5-factor model is applicable on the JSE, however, it is not certain whether four or five factors apply to the South African market.

The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new information and should reflect all available information. In contrast, behavioural finance suggests that markets are not rational and investors make irrational decisions, which may lead them to over- or under-price stocks. Researchers for years have been empirically testing these assumptions in stock markets. However, there has been no consensus on which asset-pricing models perform better in capturing the effect of market anomalies and what impact these market anomalies have on the expected returns of different stock market’s sectors. The aim of the study was to test the effect of selected market anomalies on expected return in different sectors of the Johannesburg Stock Exchange (JSE). More specifically, the study aimed to compare the performance of different asset-pricing models and their ability to account for market anomalies in different sectors of the JSE. Additionally, this study tested the applicability of the recent Fama and French five (FF5-factor) model, in estimating the expected return on the JSE. The study used a quantitative approach with secondary data over a period of 12 years starting from January 2002 to December 2014. The sample used in the study consists of monthly data obtained from McGregor BFA and the South African Reserve Bank. The study examined for the effects of size, value, January and momentum variables across six sectors of the JSE. This was accomplished by the use of various asset-pricing models such as the Capital asset pricing model (CAPM), the Fama and French three-factor model (FF3-factor), the Carhart four-factor model (C4F) and the recent five-factor model of Fama and French (FF5-factor). The study showed that whenever the asset-pricing models were not restricted, they tend to capture the market anomalies in four out of the six sectors examined. However, no market anomalies were found present in two of the six sectors analysed. In contrast, when the asset-pricing models are restricted, the asset-pricing models only seem to capture the effects of market anomalies in one of the six examined sectors. The findings in this study suggest that market anomalies are sensitive to model specifications, as restricting the models tends to capture the different market anomalies across the sectors of the JSE. The study also found that market anomalies differ across sectors and that some sectors are more efficient than others. The study also reveals that the FF5-factor model is able to account for expected returns on the JSE. In addition, the FF5-factor model tends to perform better when the model is restricted. It is also evident from the findings presented in this study, that the value anomaly loses its predictive power when profitability and investment variables are included in the model. Overall, the study illustrated that market anomalies have an effect on returns of the JSE, that the model specifications play an important role in an asset-pricing model and that the FF5-factor model is applicable on the JSE, however, it is not certain whether four or five factors apply to the South African market.

Reporting systems can provide transparency into financial markets necessary for a sustainable, prosperous global economy. The most widely used global platform for exchanging electronic information about companies to regulatory bodies is XBRL. Standards for this platform are in the process of becoming legally harmonized, but not all countries are mandating e-business reporting. A harmonized global standard for business reporting aligns practices between countries, while recognizing the need for flexibility within each social system and government, whereas international law would establish one standard for all. The research shows that goal of creating transparent global financial information in aggregate searchable form for the public remains elusive under the harmonized approach. The research explores the standardization process at the country level using a grounded theory approach in the G20 countries. The problem of a not having a global standard is framed in the financial reporting dimensions of Law, Accounting Standards, Information Standards, and Assurance Standards, which are existing standards integral to creating high quality transparent financial information. The dimensions exist to some extent in each country, and are in process of being harmonized. The research shows that current legal mandates for the XBRL standard impact the number of firms filing in XBRL to regulators. However, problems with data quality and data assurance have not been addressed with the current legislative initiatives. There is supply of data, but no public demand due to quality issues. There are three levels in the process where data alignment is needed for interoperability: taxonomy use must be consistent, taxonomy structure must be the same, and agreed upon minimum content must be useful for analysis. Currently, data sets between countries are not interoperable or comparable for aggregation due to local adoptions of XBRL taxonomies. Legal mandates alone have not produced quality electronic financial information. Additionally, accounting and assurance standards are not completely aligned. The contributions of this paper provide an understanding of how global standards are being harmonized in the G20 countries based on the common value of financial information transparency in e-business reporting.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: The research report investigated scrip dividends declared by companies on the Johannesburg Stock Exchange (JSE). Scrip dividends started becoming popular in 1993, due to the introduction of the secondary tax on companies (STC). The purpose of the study was to calculate the total amount of money not paid out as dividends, but retained within the company as cash. No single source could be found which provided sufficient dividend information. Eventually the JSE Monthly Bulletin, Reuters, McGregor BFA and the Hamman financial dataset had to be combined to collect a single set of scrip dividends. Changes in the number of shares issued were used as a way to calculate scrip dividends that were not available, or to crosscheck with the Hamman dataset. All along the way various validations were performed to ensure data consistency. For example, the percentage of shares for which scrip dividends were paid out was checked to ensure that the calculated amount of scrip shares issued were within acceptable boundaries. Furthermore, the equivalent scrip option value on the last date to register (LOR) was compared to the cash dividend option to ensure that the values were of equivalent sizes. In total, 754 scrip dividends were included in the report. For these dividends, R33 265 million was not paid out as cash dividends, but retained within the company. The equivalent share value of those shares on the LOR is R35 337 million. Only R19 576 million was paid as cash. This means that 63% of the total dividend payout was reinvested in the companies. Analysis of the LOR dates shows that 1995 to 1997 were the most popular years for scrip, with more than 130 cases every year. From 1994 to 2000, there were more than 40 scrip dividends every year. Not much has been written in South Africa about the impact and usage of scrip dividends. The research report has for the first time created a consolidated datasheet containing scrip dividend details, allowing further research. The R33 265 million reinvested in the economy has perhaps helped fuel the successful growth of the South African economy over the last 10 years. / AFRIKAANSE OPSOMMING: Die navorsingsverslag ondersoek skripdividende wat verklaar is deur maatskappye op die Johannesburgse Effektebeurs (JSE). Skripdividende het gewild begin raak in 1993 as gevolg van die bekendstelling van sekondêre belasting op maatskappye (STC). Die doel was om die totale kontantbedrag te bereken wat behou is in die maatskappy, en dus nie uitbetaal is as dividende nie. Geen enkele bron kon gevind word wat volledige inligting oor skripdividende bevat het nie. Uiteindelik is die JSE Monthly Bulletin, Reuters, McGregor BFA en die Hamman finansiele datastel gekombineer in 'n enkele versameling van skrip dividende. Veranderinge in the totale hoeveelheid uitgereikte aandele is gebruik as 'n manier om die skrip aandele wat uitgereik is te bereken, en te korrelleer met die Hamman datastel. Gedurende die dataversamelingsproses is daar verskeie toetsdatapunte bereken, om die data integriteit te verseker. Byvoorbeeld, die persentasie aandele waarvoor skrip uitgereik is, is geverifieer om seker te maak dat die berekende hoeveelheid skrip aandele binne geldige grense was. Verder is die kontantwaarde van die skrip aandeel, soos op die laaste dag van registrasie (LOR), vergelyk met die kontant dividendopsie, om te verifieer dat die waardes van soortgelyke groottes was. In totaal is daar 754 skripdividende ingesluit in die verslag. Vir hierdie dividende is R33 265 miljoen nie uitbetaal as kontant dividende nie, maar as skrip aandele. Die ekwivalente aandeelwaardes van hierdie uitgereikte aandele op die LOR was R35 337 miljoen. Slegs R19 576 miljoen is uitbetaal as kontant. Dit beteken dat 63% van die totale dividenduitbetaling herbelê is in die maatskappye as skrip-aandele. Analise van die dividend LDR datums wys dat 1995 tot 1997 die gewildste jare was vir skrip, met meer as 130 gevalle per jaar. Van 1994 tot 2000 is daar elke jaar meer as 40 skripdividende uitgereik. Daar is nog nie veel oor die impak en gebruik van skripdividende in Suid-Afrika geskryf nie. Die navorsingsverslag het vir die eerste keer 'n gekonsolideerde skripdividend datastel geskep waarmee verdere navorsing gedoen kan word. Die R33 265 miljoen wat herbelê is in die ekonomie het moontlik bygedra tot die ongekende groei in die Suid-Afrikaanse ekonomie oor die laaste 10 jaar.

Study project (MBA) -- University of Stellenbosch, 2001. / University of Stellenbosch Business School / ENGLISH ABSTRACT: This study considers share tips published in a respected publication, and determines whether an investment strategy based on the recommendations of its journalists could allow investors to exceed the stock market average. Six journalists were selected, and the recommendations that they made over a 30-month period grouped into “buy” and “do not buy” recommendations. The change in price of the recommended shares was measured after periods of one week, one month, three months and six months after the date of publication and after inclusion of dividends paid during those periods, returns were calculated. The returns attained for each share was compared to the return on the JSE-Overall Index during that period, the difference between the two being the excess return of the share. The excess returns of the shares recommended by each journalist were used to calculate portfolio excess returns, on which tests of statistical significance carried out. The portfolio of one journalist showed statistically significant excess returns in all four periods under review. One other achieved a statistically significant excess return over 1 week. No other portfolios achieved significant excess returns over the market. / AFRIKAANSE OPSOMMING: In hierdie werkstuk word die aandeelwenke wat in ‘n gerespekteerde tydskrif gepubliseer is, ondersoek om vas te stel of ‘n beleggingsstrategie wat op die wenke van die joernaliste gebaseer is, die mark gemiddlede opbrengs kan klop. Ses joernaliste is gekies, en hul wenke oor ‘n periode van 30-maande is geklassifiseer in “koop” en “nie koop” wenke. Vir die “koop” wenke is die prys-verandering oor tydperke van een week, een maand, drie maande en ses maande gemeet. Opbrengste met insluiting van dividende is bereken. Die opbrengste is met die JE-algehele indeks se opbrengs vir elk van die periodes vergelyk, en die verskil is as bo-opbrengste gedefinieer. Die bo-opbrengste vir elke aandeel is gebruik om portfolio bo-opbrengste te bereken, weereens vir elk van die periodes. Hierdie bo-opbrengste is vir statistiese betekenisvolheid getoets. Die portfolio van een joernalis het statisties beteksnisvolle bo-opbrengste vir al vier periodes getoon. Die portfolio van een ander joernalis het statisties betekenisvolle bo-opbrengste vir ‘n hou-periode van een week getoon. Geen ander portfolios het bo-opbrengste getoon nie.