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The effect of liquidity on stock returns on the JSEReisinger, Astrid Kim 12 1900 (has links)
Thesis (MComm)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, value and momentum effects to be significant in explaining market anomalies by adding a further explanatory factor, namely liquidity. A standard CAPM, as well as a momentum-augmented Fama-French (1993: 3) model are employed to perform regression analyses to examine the effect of the four variables on excess stock returns. Results suggested that the log of the stock‘s market value best captured the size effect, the earnings yield best captured the value effect and the previous three month‘s returns best captured the momentum effect. Five liquidity proxies are used: the bid-ask spread first proposed by Amihud (1986: 223), turnover, the price impact measure of Amihud (2002: 31) and two zero return measures proposed by Lesmond et al. (1999: 1113). Despite prior studies having found liquidity to be an influential factor, this thesis found the opposite to be true. This finding remains robust, irrespective of the type of liquidity measure used. While size, value and momentum are found to be significant to a certain extent in explaining excess stock returns over the period, liquidity is not found to be significant. This is a surprising result, given that the JSE is seen as an emerging market, which is generally regarded as illiquid. This fact is exacerbated by the fact that the JSE is a highly concentrated and therefore skewed market that is dominated by only a handful of shares. Hence liquidity is expected to be of utmost importance. The result that liquidity is however not a priced factor on this market is therefore an important finding that requires further analysis to determine why this is the case. In addition, significant non-zero intercepts remained, indicating continued missing risk factors. / AFRIKAANSE OPSOMMING: In hierdie tesis word die effek van likiditeit op oormaat aandeel-opbrengste op die Johannesburg Effektebeurs (JEB) ondersoek gedurende die periode 2003 tot 2011. Dit bou voort op die bevindinge van vorige studies wat toon dat grootte, waarde en momentum beduidend is in die verklaring van mark onreëlmatighede deur 'n addisionele verklarende faktor, likiditeit, toe te voeg. 'n Standaard kapitaalbateprysingsmodel (KBPM) sowel as 'n momentum-aangepaste Fama-French (1993: 3) model word gebruik om deur middel van regressie analise die effek van die vier veranderlikes op oormaat aandeel-opbrengste te ondersoek. Die resultate toon dat die grootte effek die beste verteenwoordig word deur die logaritme van die aandeel se mark kapitalisasie, die verdienste-opbrengs verteenwoordig die waarde effek en die vorige drie-maande opbrengskoerse verteenwoordig die momentum effek die beste. Vyf likiditeitsveranderlikes is gebruik: bod-en-aanbod spreiding voorgestel deur Amihud (1986: 223), omset, die prys-impak maatstaf van Amihud (2002: 31) en twee nul-opbrengskoers maatstawwe voorgestel deur Lesmond et al. (1999: 1113). Afgesien van die feit dat vorige studies die effek van likiditeit beduidend vind, word die teenoorgestelde in hierdie tesis gevind. Hierdie bevinding bly robuus, ongeag van die likiditeitsveranderlike wat gebruik word. Terwyl bevind is dat grootte, waarde en momentum beduidend is tot 'n sekere mate in die verklaring van oormaat aandeel-opbrengste tydens die periode, is geen aanduiding dat likiditeit 'n addisionele beduidende verklarende faktor is gevind nie. Hierdie bevinding is onverwags, aangesien die JEB beskou word as 'n ontluikende mark, wat normaalweg illikied is. Hierdie feit word vererger deur dat die JEB hoogs gekonsentreerd is en dus 'n skewe mark is wat oorheers word deur slegs 'n hand vol aandele. Dus word verwag dat likiditeit 'n baie belangrike faktor behoort te wees. Die bevinding dat likiditeit nie 'n prysingsfaktor op hierdie mark is nie, is dus 'n belangrike bevinding en vereis verdere analise om vas te stel waarom dit die geval is. Addisioneel word beduidende nie-nul afsnitte verkry, wat aandui dat daar steeds risiko faktore is wat nog nie geïdentifiseer is nie.
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Creation of a fault bank for RSA value added statementsFourie, G. J. (Gerrie) 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The aim of the study is to establish a fault bank that highlights the differences
between the published Value Added Statement of various companies and a
standardised Value Added Statement. This standardised Value Added
Statement is obtained from an already existing database. In the attached
Appendices, full details of the analysis done between the standardised Value
Added Statement and the published Value Added Statement are presented.
This report highlights the differences of the Value Added Statement between
various sectors of the Johannesburg Stock Exchange, the various years of
reporting, and the various companies.
No Standard Accounting Practice exists for the preparation of Value Added
Statements resulting in variations on the theme. Material differences exist
between the various sectors, companies in a sector compared with other
companies in the same sector, and there are even differences in companies
reporting from one year to the next. In addition, it is also clear that in the
reporting of the Value Added Statement, companies do not show any sign of
improvement over the years.
From this it is clear that there are significant shortcomings in the preparation
of the Value Added Statement. There is a serious need for an Accounting
Standard to be set in the reporting of the Value Added Statement, and
companies should be obligated to comply herewith if the Value Added
Statement is to be used as a meaningful criterion. It is important to ensure
meaningful comparisons between various sectors, various years of analysis,
and even various companies in different sectors of the Johannesburg Stock
Exchange. / AFRIKAANSE OPSOMMING: Die doel van die verslag is die opstel van 'n foutbank wat verskille uitwys van
verskeie maatskappye se gepubliseerde Toegevoegedewaardestaat en 'n
gestandardiseerde Toegevoegdewaardestaat. Hierdie gestandardiseerde
Toegevoegdewaardestaat is verkry uit 'n alreeds bestaande databasis. Die
vergelykings is opgesom in die aangehegte bylaes.
Die verslag wys verskille uit tussen verskillende sektore op die
Johannesburgse Effektebeurs, jare van rapportering en verskillende
maatskappye.
Daar is geen Standaard Rekeningkundige voorskrifte nie - gevolglik is daar
heelwat variasie op die tema. Verskillende sektore verskil wesenlik van
mekaar, maatskappye in 'n sektor verskil wesenlik van ander maatskappye in
dieselfde sektor en daar is selfs verskille in hoe maatskappye van jaar tot
jaar gerapporteer het. Dit is ook duidelik soos die jare verloop dat
maatskappye se verslagdoening geen verbetering toon nie.
Die afleiding is dat daar tekortkominge is in die voorbereiding van die
Toegevoegdewaardestaat. 'n Rekeningkundige Standaard sal daargestel
moet word en maatskappye sal verplig moet word om hieraan te voldoen as
die Toegevoegdewaardestaat gebruik wil word as 'n betekenisvolle maatstaf.
Dit is uiters belangrik om te verseker dat betekenisvolle vergelyking getref sal
kan word oor verskeie jare, tussen verskeie sektore en selfs tussen verskeie
maatskappye in verskeie sektore op die Johannesburgse Effektebeurs.
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An evaluation of the Financial Mail's company results recommendations from 2 May 1997 to 31 October 1997Maul, Holger 03 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Every investor that invests in JSE Securities Exchange listed shares wants to
achieve optimum profits. Numerous tools are used to help investors and analysts to
analyse buy signals, standard deviations, risk-adjusted returns and every possible
piece of information that may lead to perfect recommendations. Despite all the
problems and issues involved to make perfect recommendations, it seems as if
some individuals achieve well above average results. There are no obvious reasons
for the success they achieve. Often it may be ascribed to a combination of detailed
technical analysis, market intelligence as well as gut-feel. This study evaluates the
recommendations made by the analysts and quantifies the accuracy. Different
scoring systems are used to evaluate the accuracy of the recommendations and a
ranking of the analysts is compiled. Risk-adjusted returns are investigated in detail
and are used in the calculations. The results of this study show that some analysts
outperformed the rest by substantial margins. / AFRIKAANSE OPSOMMING: Elke belegger wat in aandele op die JSE Sekuriteitebeurs belê, wil die maksimum
moontlike wins maak. Verskeie modelle word gebruik om beleggers te help om
koopseine, standaardafwykings, risiko-aangepaste winste en enige andere moontlike
inligting te ontleed om sodoende betroubare aanbevelings te maak. Ten spyte van
al die probleme wat dit moeilik maak om akkurate vooruitskatlings te maak, wil dit
voorkom asof sekere individue heelwat beter vaar as die gemiddeld. Die sukses kan
nie aan ooglopende aspekte toegeskryf word nie en dit berus meestal by 'n
kombinasie van gedetaileerde tegniese analise, markintelligensie en "gut-feel".
Hierdie studie is daarop toegespits om vooruitskattings van analiste te evalueer en
die akkuraatheid van die aanbevelings te kwantifiseer. Verskeie punte stelsels word
gebruik om die akkuraatheid van die aanbevelings te evalueer en 'n ranglys word
opgestel na aanleiding van die resullate. Risiko aangepaste resultate word in detail
ondersoek en word gebruik in die berekeninge. Die resultate van die navorsing dui
daarop dat sekere ontleders aansienlik beter vaar as ander.
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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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A study between the actual dividend as stated in the financial statements and the calculated dividend using the shares outstanding multiplied by the dividend per share of listed industrial companies on the Johannesburg Stock ExchangeFrank, Leon Charles 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The objective of this mini study project is to examine whether data that has been
entered into the databank of the Graduate School of Business of the University of
Stellenbosch is correctly recorded. This mini study project forms part of a larger
research project undertaken by the USB to keep a databank of listed South
African industrial companies. / AFRIKAANSE OPSOMMING: Die doel van die mini studieprojek is om data wat in die databank van die
Universiteit van Stellenbosch se Besigheidsskool ingevoer is, vir korrektheid na
te gaan. Die mini studieprojek is deel van 'n groter navorsingsprojek van die
Besigheidsskool om 'n databank van genoteerde Suid- Afrikaanse industriële
maatskappye daar te stel.
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Implied volatility and warrant issuing strategies : evidence from the Johannesburg Stock ExchangeKoorts, Thorpe Thomas 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Increased uncertainty in global markets has compelled modern investment
and portfolio management to tailor specific financial outcomes. Investors
can incorporate derivative instruments into their portfolios to hedge their
positions against uncertainty, obtain exposure to virtually any risk or obtain
current exposure for future income. Warrants are such instruments; it
tracks its underlying asset as options and are tailored for smaller and
private investors. It could, however, also be dangerous to one's financial
health if the finer intricacies are not understood.
Warrants take the investment industry to a new level, because it is
essentially a retail product. Warrant issuers hedge a position in assets or
on derivative exchanges at a 'wholesale' price and then short the position
in small contracts on the stock exchange at a 'retail' price. The price
difference presents itself in the volatility parameter used to calculate the
issuing price of the warrant. Once issued, the issuer maintains influence
on the price by exerting either supply or demand through maintaining a bid
and offer in the market. Often, issuers use this 'market-making' to steer
the instrument price towards a lower volatility parameter at the expiry of
the warrant when it is neutralised, thus securing profit to the issuer.
Traditionally financial institutions would market their services in managing
assets. They now flex muscles in marketing a retail product through
issuing warrants as well. Fierce competition exists among issuers with low
cost and differentiated strategies identifiable. These strategies could
persuade an investor towards a particular warrant, which might not
necessarily be the best investment from the investor's viewpoint. This
erodes the efficiency of the market. / AFRIKAANSE OPSOMMING: Toenemende onsekerheid op wêreldmarkte noodsaak hedendaagse
beleggingsbestuur om spesifieke finansiele resultate te verseker.
Beleggers kan afgeleide instrumente in portefeuljes gebruik om teen
onsekerheid te verskans of blootstelling te verkry. Sekuriteitsregte is 'n
populêre instrument vir private beleggers. Dit word uitgereik deur
finansiele instellings en volg die pad van 'n onderliggende bate, soos 'n
opsie. Vanweë die intrede van 'n middelman, hou hierdie instrumente
egter addisionele risiko in.
Sekuriteitsregte kan beskryf word as 'n kleinhandelsproduk.
Kontrakskrywers neem lang posisies in bates of op die afgeleide beurs in,
teen groothandel pryse en verkans kort posisies in klein kontrakte op die
sekuriteitsbeurs om sodoende 'n neutrale posisie te handhaaf. Die
prysverskil manifisteer as 'n volatiliteits maatstaf van die onderliggende
bate. Na uitreiking beïnvloed die onderskrywers die prys deur die vraag en
aanbod op die mark te manipileer. Hierdie invloed kan gebruik word om
die kontrakprys na 'n laer volatiliteitsvlak te stuur voor die kontrak verstryk,
sodat addisionele wins gewin kan word.
Finansiële instellings bemark hul dienste tradisioneel as batebestuurders.
Hul besigheid word egter nou uitgebrei deur handelsprodukte ook te
bemark. Sterk kompetisie bestaan tussen onderskrywers met lae koste of
gedifferensieerde strategieë identifiseerbaar. Beleggers se keuses word
dikwels deur hierdie strategiese bemarking beïnvloed, eerder as om op
finansiele toepaslikheid te fokus. Dit lei tot die gevolgtrekking dat die mark
nie volkome voltreffend is nie.
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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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The Swedish Code of Corporate Governance : An analysis of the Changes of Information Provided in Companies' Annual ReportsBengtsson, Åsa, Hendeby, Elvira January 2007 (has links)
<p>In society today large corporations are striving to regain the trust, which has been lost dur-ing the many accounting scandals that occurred lately. As a response to minimize the con-flicts countries have introduced codes of corporate governance. It is common knowledge that a company’s stakeholders and shareholders have different knowledge and interest in the company and the annual report is the agent’s main communication channel towards the principals. The Swedish code of corporate governance was implemented in July 2005 in an attempt to reduce the information gap between the managers of the company and the own-ers.</p><p>The purpose of this thesis is to examine if and how the Swedish code of corporate govern-ance has affected the content in annual reports in Sweden. We will evaluate and explain why listed companies have changed the information provided in their annual reports from the year 2001 prior to the codes existence, during the code’s implementation in year 2005, and after the implementation in 2006.</p><p>A deductive method created our research model, which was used as a tool to gather the empirical findings. Agency Theory, Institutional Theory and the Swedish code constitute the foundation for our evaluation of 65 companies’ annual reports from three individual years. Once our research model was created, an explorative and inductive method was used analyse and interpret the empirical findings.</p><p>Our conclusion is that corporate governance information in annual reports has increased, and the implementation of the Swedish code of corporate governance has affected the in-formation provided to the shareholders. Between 2001 and 2005 a rapid growth in infor-mation can be view, while only minor improvement can be found between 2005 and 2006. The Swedish code has been successful in its implementation as stakeholders and share-holders have received more information from the annual reports. However, we are ques-tioning the Swedish code for its extensive dimensions. Some areas of the Swedish code are provided with sufficient guidelines, while others would bring with it improved information to the shareholders by more detailed instructions. Many of the investigated companies have had their corporate governance information reviewed by an external auditor in 2005 and it is unexpected to see that this has been excluded in 2006. The examined companies provide information regarding many of the Swedish code’s rules, but we found the information re-lated to internal control, managing director and attendance at the general meeting insuffi-cient.</p>
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Le rôle de la confiance de l’investisseur individuel sur la relation informations/intention d’achat : le cas de l’acquisition d'actions en bourse sur internet / The role of individual investor confidence on the information / purchase intention relationship : the case of internet stock exchange share acquisitionsRzem, Marouane 01 February 2013 (has links)
Cette étude a pour objectif d’analyser l’influence de l’information multidimensionnelle diffusée à travers les sites boursiers sur la confiance de l’investisseur individuel, ainsi que tester l’effet médiateur de la confiance sur la relation informations/intention d’achat des actions.À partir d’une étude qualitative exploratoire et une étude quantitative auprès de 180 investisseurs individuels, nous montrons que la forme et la qualité de l’information influencent la confiance de l’investisseur. La qualité du site boursier exerce aussi un effet sur la confiance. De même, la confiance joue un rôle de médiateur partiel sur la relation informations/intention d’achat des actions. / This study aims to analyze the influence of multidimensional information disseminated through the stock-exchange websites on the confidence of individual investors, as well as test mediating effect of trust on the relationship information/ purchase intent actions.From a qualitative exploratory study and a quantitative study of 180 individual investors, we show that the shape and quality of the information affect investor confidence. Stock-exchange website quality also has an effect on trust. Similarly, trust plays a partial mediator of the relationship information/ intention to purchase shares.
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An assessment of the environmental sustainability guidelines and requirements set by international stock exchangesUrdang, Brandon Craig January 2017 (has links)
A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of the requirements for the degree of Master of Science. Johannesburg, 5 June 2017. / Environmental reporting is largely voluntary for companies, unlike financial reporting which has well set standards for measurement, reporting, auditing and governing laws based on IFRS and GAAP. A driver such as a stock exchange is able to act as a “regulating body” that requires a minimum reporting standard for companies listed on the stock exchange. Stock exchanges have an ethical responsibility to encourage companies listed with them to be environmental stewards to provide investors with responsible investment opportunities. This study provides an understanding of the quality of environmental guidelines presented by international stock exchanges compared to key global environmental concerns. The aim of this dissertation was to assess and compare sustainability guidelines provided by selected stock exchanges, with specific focus on key global environmental concerns. The objectives were (1) to assess the existing environmental reporting requirements of 19 stock exchanges across all continents, (2) to determine how the JSE environmental reporting guidelines compared to those of other stock exchanges, (3) to compare 20 JSE listed companies’ environmental reports based on the presence and quality of data, (4) to compare what companies reported to what the JSE required and (5) to identify possible differences in reporting between the impact levels and industries of companies. A Sustainability Balanced Scorecard (SBSC) was developed by identifying seven key global environmental concerns (resources; biodiversity; water; energy; emissions, pollution and waste; products and services; and supply chain management) that were common themes from the MEA (2005) and UNEP Ecosystem Management policy (2010). A five tier scoring system specific to assessing reporting guidelines and another five tier scoring system specific to assessing company environmental reports were used. Nineteen stock exchange guidelines were assessed to represent both developing and developed countries and all regions (Africa, America, Australasia and Europe). Overall, the stock exchange guidelines addressed the key global environmental concerns rather poorly. There were no differences in the quality of guidelines for stock exchanges that recommended guidelines in developing or developed countries. There were no differences found in the guidelines of stock exchanges operating in different regions. There were differences in the focus on key global environmental concerns by the guidelines.
The environmental information reported by twenty companies spanning three impact levels and seven industries was also assessed. The companies in the high and medium impact levels
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reported similarly and better than the companies in the low impact levels. There were differences found in the way companies reported according to the different industries as well as differences in the way companies addressed the key global environmental concerns. Even though the JSE’s developed guidelines did not account for resources and biodiversity, the Global Reporting Initiative (GRI) reporting guidelines that the JSE recommended to their listed companies covered these categories. Companies reported voluntarily on the categories because they may understand the importance of managing resources and biodiversity for the sustainability of their business.
Stock exchanges are faced with a variety of companies at different impact levels representing different industries, making it difficult to provide a minimum set of environmental reporting guidelines. Stock exchanges should require companies to report on all key global environmental concerns identified in this study, but should not dictate how the companies report on them. Global environmental reporting standards may be better suited with a global sustainability body like the Global Sustainability Standards Board (GSSB) that is able to provide global standards for all companies. Companies need to change the way that they do business, the benefits of reporting on environmental performance outweigh the risks of not reporting and managing these impacts. Sustainability reporting and best practise today may be the compliance of the future. Stakeholders are increasingly expecting companies to contribute more to environmental sustainability. Companies are essential in building a resilient planet that will be able to feed a growing population that will increase from seven to nine billion people by 2050.
Key words: Environmental Sustainability; Johannesburg Stock Exchange; Millennium Ecosystem Assessment; Sustainability Balanced Score Card Approach; United Nations Environment Programme Ecosystem Management Policy / GR2018
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