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Relationship between share index volatility, basis and open interest in futures contracts : the South African experienceMotladiile, Bopelokgale 04 1900 (has links)
Study project (MBA)--University of Stellenbosch, 2003. / ENGLISH ABSTRACT: In a rational efficiently functioning market, the price of the share index and share
index futures contracts should be perfectly contemporaneously correlated. According
to the cost of carry model, the futures price should equal its fair value at maturity.
The basis should be equal to the cost of carry throughout the duration of the futures
contract.
However, in practice the cost of carry model is obscured and the basis varies and is
normally not equal to the cost of carry. Reasons for this variability in basis include
the mark-to-market requirement of the futures contract, the differential tax treatment
of spot and futures contracts, as well as the transaction cost of entering into a
contract. Transaction costs are lower for futures contracts than for spot contracts.
This study uses the Chen, Cuny and Haugen (1995) model to examine the
relationship between the basis and volatility of the underlying index and between the
open interest of the futures contract and the volatility of the underlying index. Chen
et al. (1995) predicted that the basis is negatively related to the volatility of the
underlying index and that the open interest is positively related to the volatility of the
underlying index. The study will also test the statement by Helmer and Longstaff
(1991) that the basis has a negative concave relationship with the level of interest
rate. The tests were performed on data from ALSI, FINI and INDI futures contracts.
The sample period was from January 1998 to December 2001.
The results correspond to those obtained by Chen et al. (1995) in that the basis is
negatively related to the volatility of the underlying index. This is true for all the three
indices. The other main prediction of the Chen, Cuny and Haugen (CCH) model
(1995), which is also supported by the study, is that open interest is significantly
related to the volatility of the underlying index. The study also supports the
statement by Helmer and Longstaff (1991) that the there is a highly significant
negative concave relationship between the basis and interest rate. / AFRIKAANSE OPSOMMING: In "n mark wat rasioneel funksioneer, behoort die prys van die aandele-indeks en
aandele-indekstermynkontrakte perfek gekorreleer te wees in tyd. Volgens die
drakostemodel behoort die termynkontrakprys op die vervaldatum gelyk te wees aan
die billike waarde daarvan. Die basis behoort vir die looptyd van die termynkontrak
gelyk te wees aan die drakoste.
In die praktyk word die drakostemodel egter vertroebel en wissel die basis en is dit
gewoonlik nie gelyk aan die drakoste nie. Redes vir hierdie veranderlikheid van die
basis sluit in die waardasie teenoor markprys van die termynkontrak, die belasting
van toepassing op loko- en termynkontrakte, asook die transaksiekoste by die
aangaan van "n kontrak. transaksiekoste vir termynkontrakte is laer as vir
lokokontrakte.
Hierdie studie gebruik die model van Chen, Cuny en Haugen (1995) om die
verwantskap tussen die basis en die volatiliteit van die onderliggende indeks en
tussen die oop kontrakte van die termynkontrak en die volatiliteit van die
onderliggende indeks te ondersoek. Chen et al. (1995) voer aan dat daar 'n
negatiewe verwantskap is tussen die basis en die volatiliteit van die onderliggende
indeks en dat daar "n positiewe verwantskap is tussen die oop rente en die volatiliteit
van die onderliggende indeks. Die studie toets ook Helmer en Longstaff (1991) se
hipotese dat daar 'n negatiewe, konkawe verhouding tussen die basis en die
rentekoersvlak bestaan. Die toetse is uitgevoer op data van ALSI-, FINI- EN INDItermynkontrakte.
Die steekproef was van Januarie 1998 tot Desember 2001.
Die resultate stem ooreen met dié van Chen, Cuny en Haugen (1995) se model
(CCH-model) in dié opsig dat daar "n negatiewe verband is tussen die basis en die
volatiliteit van die onderliggende indeks. Dit geld vir al drie die indekse. Die ander
hoofresultate van Chen et al. (1995), wat ook deur die studie ondersteun word, is dat
daar "n beduidende verband tussen die oop kontrakte en die volatiliteit van die
onderliggende indeks bestaan. Die studie ondersteun ook Helmer en Longstaff(1991) se siening dat daar 'n beduidende, negatiewe, konkawe verhouding tussen
die basis en die rentekoers bestaan.
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The construction of African regional and all-Africa stock market indicesFish, Therese 12 1900 (has links)
Thesis (MBA) --Stellenbosch University, 2001. / ENGLISH ABSTRACT: Africa's stock markets are considered by many emerging market specialists to have
great potential for investors. Developing models which track share/financial indices
provide a means of disseminating information about market performance. With the
active move towards regional stock markets, regional indices will provide an
important tool for performance of the region.
Stock market indices provide information to investors and portfolio managers about
the performance of various markets or groups of stocks. Investors can use the
movement of indices as a way of assessing market trends and opportunities for
investment. As economic integration increases in Africa, it will become increasingly
important to have markers of regional market performance.
This study project collected weekly market capitalisation data from the markets in
the various regions, which were utilised to construct regional all-share indices for
the year 2000.
Regional indices for three of the four regions within Africa were constructed. The
three indices are the EASDEX (for East Africa), the NADEX (for North Africa) and
the WADEX (for West Africa). The weekly market capitalisation data were further
utilised to construct an All-Africa index.
The Johannesburg Stock Exchange (JSE) dominates the Southern African
Development Community (SADC) regional market's total market capitalisation. Similarly the SAOG region dominates the total market capitalisation for Africa. The
JSE contributes 59% to the total market capitalisation of Africa (January 2000).
The All-Africa index moves together with the SADIX (SAOG regional index)
confirming the high weighting of South Africa in the total market capitalisation of
Africa.
Encouraging economic growth throughout Africa and not just in Southern Africa will
assist the continent as a whole to attract market capital. In the long term this should
increase market growth in the other regions of Africa and enable investors to
diversify into Africa.
There are certainly opportunities for investors in Africa. The low correlation between
Egypt and the other two North African markets allows for diversification within the
North African Region.
Nigeria has been the market that had the highest returns during 2000, one that
outperformed many international markets.
SADIX has low or negative correlation coefficients with the rest of the African
individual as well as the regional market indices.
Historically emerging markets are volatile and risky. The case for diversification
into emerging markets originates from the high economic growth potential of
emerging markets, together with low correlation with other developed markets. The
development of All-Share indices, which track market performance on the African
continent, will assist both potential institutional as well as individual investors. / AFRIKAANSE OPSOMMING: Afrika se effektemarkte word deur baie opkomende markspesialiste beskou as
potensieel gunstig vir beleggers. Deur modelle wat aandele/finansiële indekse volg
te ontwikkel, word 'n middel voorsien om informasie oor markprestasie te ontleed.
Met die aktiewe beweging na streeksaandelemarkte, sal streeksindekse 'n
belangrike maatstaf vir die prestasie van 'n area voorsien.
Aandelemarkindekse voorsien informasie aan beleggers en portefeulje bestuurders
oor die prestasie van verskeie markte of aandelegroepe. Beleggers kan die
beweging van die indekse gebruik om marktendense te ontleed asook om
geleenthede vir investering te identifiseer. Dit sal belangriker raak om maatstawwe
van streeksmarkprestasie te hê soos ekonomiese integrasie in Afrika toeneem.
Hierdie studieprojek het weeklikse markkapitalisasie data van die markte in die
verskeie areas versamel, wat gebruik is om 'n streeksindeks van alle aandele vir die
jaar 2000 saam te stel.
Streeksindekse vir drie van die vier streke binne Afrika is saamgestel. Die drie
indekse is die EASDEX (Oos Afrika), die NADEX (Noord Afrika) en die WADEX
(Wes Afrika). Die weeklikse markkapitalisasie data is verder aangewend om 'n Alle-
Afrika indeks saam te stel.
Die Johannesburgse Effektebeurs (JEB) domineer die totale markkapitalisasie van
die Suidelike Afrika Ontwikkelingsgemeenskap (SAOG) se streeksmark. Insgelyk domineer die SAOG streek die totale markkapitalisasie vir Afrika. Die JES dra 59%
by tot die totale markkapitalisasie van Afrika (Januarie 2000).
Die Alle-Afrika indeks beweeg saam met die SADIX (SAOG streeksindeks) wat die
gewigtigheid van Suid Afrika in die totale markkapitalisasie van Afrika bevestig.
Deur ekonomiese groei regdeur Afrika en nie bloot in Suider Afrika nie, aan te
spoor, sal dit die vasteland as 'n geheel steun om markkapitaal aan te trek. Op die
lange duur behoort dit groei te bevorder in die ander streke van Afrika en beleggers
in staat te stel om binne Afrika te diversifiseer.
Daar is ongetwyfeld geleenthede vir beleggers in Afrika. Die lae onderlinge
afhanklikheid tussen Egipte en die ander twee Noord Afrika markte laat
diversifikasie binne die Noord Afrika streek toe.
Nigerië is die mark met die hoogste opbrengste tydens 2000 en het selfs baie
internasionale markte oortref.
SADIX het lae of negatiewe korrelasiekoeffisiënte met die res van die Afrika
individuele-, sowel as die streeksmarkindekse.
Histories is opkomende markte onstabiel en riskant. Partydigheid vir diversifikasie
in opkomende markte ontstaan vanuit die hoë ekonomiese groeipotensiaal van
hierdie markte tesame met lae onderlinge afhanklikheid met ander ontwikkelde
lande. Deur indekse van alle aandele wat markprestasie op die Afrika-vasteland
volg saam te stel, sal beide potensiële institusionele, sowel as individuele beleggers
se besluite/ontledings ondersteun word.
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Hongkong stock index future and portfolio managementChan, Kwei-sang., 陳貴生. January 1989 (has links)
published_or_final_version / Business Administration / Master / Master of Business Administration
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The impact of mergers and acquisitions announcements on the share price performance of acquiring companies: South African listed companiesNdlovu, Mthabisi January 2017 (has links)
Thesis submitted in fulfilment of the requirements for the degree of
Master of Management in Finance & Investment
in the Faculty of Commerce, Law and Management Wits Business School at the University of the Witwatersrand
2017 / This thesis empirically examines the stock market reaction to mergers and acquisitions (M&A) announcements in South Africa, and also analyses the effects of the method payment. Data was collected from 34 acquisitions, consisting of acquirer and target companies in the same industry listed on the Johannesburg Stock Exchange, (JSE). The transactions were of mergers and acquisitions for the period 2003 – 2013. The event study methodology was used to calculate cumulative average abnormal returns for the acquiring companies over the total event window. Parametric t-tests were then applied to test the significance of the cumulative average abnormal returns, and a comparison of the pre and post-announcement returns was done over the event window. A comparison is also done for cash and share acquisitions over the entire event window (-10, +10). From the findings, it is clear that there were no significant abnormal returns or significant differences between the pre and post announcement returns. Comparing the two payment methods (cash and share payments), the results also show that there were no significant differences between these methods. The study therefore concluded that merger and acquisition announcements did not create any value for shareholders of acquiring companies during and around the announcement period. / MT2017
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On the profitability of momentum strategies and relative strength indexes in the international equity markets.January 2003 (has links)
Leung Lok-yee. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 70-71). / Abstracts in English and Chinese. / Chapter 1. --- Introduction and Literature Review --- p.1 / Chapter 2. --- Methodology --- p.4 / Chapter A. --- Momentum Strategies / Chapter B. --- Relative Strength Indexes / Chapter 3. --- Data --- p.13 / Chapter 4. --- Emirical Findings --- p.15 / Chapter A. --- Momentum Strategies / Chapter B. --- Relative Strength Indexes / Chapter 5. --- Conclusion --- p.37 / Chapter 6. --- Tables --- p.39 / Chapter 7. --- Bibliograhy --- p.70
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Economic and financial indexesWhite, Alan G. 11 1900 (has links)
This thesis examines the theoretical underpinnings and practical construction of select economic
and financial indexes. Such indexes are used for a variety of purposes, including the
measurement of inflation, portfolio return performance, and firm productivity.
Chapter 1 motivates interest in economic and financial indexes and introduces the principal
ideas in the thesis.
Chapter 2 focuses on one potential source of bias in the Canadian consumer price index
(CPI) that arises from the emergence of large discount/warehouse stores—the so-called outlet
substitution bias. Such outlets have gained market share in Canada in recent years, but
current CPI procedures fail to capture the declines in average prices that consumers enjoy
when they switch to such outlets. Unrepresentative sampling, and the fact that discount
stores often deliver lower rates of price increase can further bias the CPI. Bias estimates
for some elementary indexes are computed using data from Statistics Canada's CPI production
files for the province of Ontario. It is shown that the effect on the Canadian CPI of
inappropriately accounting for such discount outlets can be substantial.
Another area in which indexes are frequently used is the stock market. Several stock
market indexes exist, including those produced by Dow Jones and Company, Standard and
Poor's Corporation, Frank Russell and Company, among others. These indexes differ in two
fundamental respects: their composition and their method of computation—with important
implications for their usage and interpretation. Chapter 3 introduces the concept of a stock
index by asking what, in fact a stock market index is—this is tantamount to considering the
purpose for which the index is intended, since stock indexes should be constructed according
to their usage. Because stock indexes are most commonly used as measures of returns on
portfolios, the main considerations in constructing such return indexes are examined.
Chapter 4 uses the Dow Jones Industrial Average (DJIA) as a case study to examine
its properties as a return index. It is shown that the DJIA is not the return on a market
portfolio consisting of its thirty component stocks: in fact the DJIA measures the return
performance on a very particular (and unusual) investment strategy, a fact that is not well
understood by institutional investors. An examination of some other popular stock indexes
shows that they all differ in their computational formula and that each is consistent with a
particular investment strategy. Numerical calculations reveal that the return performance of
the DJIA can vary considerably with the choice of basic index number formula, particularly
over shorter time horizons.
Given the numerous ways of constructing stock market return indexes, the user is left to
determine which is 'best' in some sense. The choice of an appropriate (or 'best') formula for
a stock market index is formally addressed in chapter 5. The test or axiomatic approach to
standard bilateral index number theory as in Eichhorn & Voeller (1983), Diewert (1993a),
and Balk (1995) is adapted here. A number of a priori desirable properties (or axioms) are
proposed for a stock index whose purpose is to measure the gross return on a portfolio of
stocks. It is shown that satisfaction of a certain subset of axioms implies a definite functional
form for a stock market return index.
Chapter 6 evaluates the various stock indexes is use today in terms of their usefulness
as measures of gross returns on portfolios. To this end the axioms developed in chapter 5
are used to provide a common evaluative framework, in the sense that some of the indexes
satisfy certain axioms while others do not. It is shown that the shortcomings of the DJIA as
a measure of return arise from its failure to satisfy a number of the basic axioms proposed.
Notwithstanding this, each index corresponds to a different investment strategy. Thus, when
choosing an index for benchmarking purposes an investor should select one which closely
matches his/her investment strategy—a choice that cannot be made by appealing to axioms
alone.
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Exchange rate shocks and the stock market index : evidence from the Johannesburg Stock Exchange.Muzindutsi, Paul-Francois. January 2011 (has links)
The foreign exchange market plays an important role in global finance, as it is considered to be among the largest financial markets in the world because of the significant amount of money involved in the foreign exchange market's transactions. Economic theories show that the exchange rate market may interact with the stock market index, but empirical studies on the interaction between the exchange rate market and the stock market index produced mixed results. Thus there is no empirical agreement regarding the interactions between the stock prices and exchange rate. This study examined the interaction between the real exchange rate and the stock market index in South Africa, with the aim of identifying the effect of exchange rate shocks on the Johannesburg Stock Exchange (JSE). It establishes the direction of causality between the stock market index and the real exchange rate; identifies the long-run and short-run relationships between the South African stock market and the exchange rate and determines the response of the South African stock market to different exchange rate regimes from 1978 to 2008. This study used different econometrics models, including descriptive statistics analysis, Engle-Granger cointegration approach, Error Correction Model and a Granger-Causality test. Variables used in this study include the real values of the JSE all share index and the real exchange rate series (the Rand/U.S. dollar exchange rate) from January 1978 to December 2008.
The stock market index responded to changes in exchange rate regimes. Although the response tended to be slightly stronger during the period of the free floating exchange rate, correlation coefficients were insignificant in both fixed and flexible exchange rate regimes. A negative long-run relationship between the real exchange rate and the stock market index was found. The short-run results established that changes in the real exchange rate have no impact on the real stock market index. Granger-Causality tests indicated that there is a bidirectional causal relationship between the South African stock market index and the Rand/U.S. dollar exchange rate. / Thesis (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2011.
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Adopting price-earnings and enterprise multiples to beat the Johannesburg Stock Exchange All Share Index.Allison, Dylan Mayne. January 2009 (has links)
The theory behind the efficient market hypothesis exerts that it is not possible to consistently outperform
the overall stock market by using stock picking and market timing strategies. The argument holds
that, in an efficient market, all stock prices are appropriately priced and there is no over- or undervalued
stocks to be found. Nevertheless, deviations from true stock prices can occur according to the hypothesis,
although these deviations are mostly random occurrences. Thus, the only way an investor can
outperform the overall stock market is by luck alone. However, the efficient market hypothesis is a
controversial topic where it is often discussed within modern financial circles where academic theory
has strong arguments both for and against the theory.
Purpose:
The purpose of this study is to investigate whether it is feasible to outperform the overall stock market
through investing in stocks that appear undervalued according to enterprise multiple (EV/EBITDA)
and the price-earnings ratio. / Thesis (MBA)-University of KwaZulu-Natal, Westville, 2009.
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Time series analysis of financial index /Yiu, Fu-keung. January 1996 (has links)
Thesis (M.B.A.)--University of Hong Kong, 1996. / Includes bibliographical references (leaf 67-68).
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Three essays in neural networks and financial prediction /Gottschling, Andreas Peter, January 1997 (has links)
Thesis (Ph. D.)--University of California, San Diego, 1997. / Vita. Includes bibliographical references.
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