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The day-of-the-week effect as a risk for hedge fund managers / André HeymansHeymans, André January 2005 (has links)
The day-of-the-week effect is a market anomaly that manifests as the cyclical
behaviour of traders in the market. This market anomaly was first observed by M.F.M.
Osborne (1959). The literature distinguishes between two types of cyclical effects in
the market: the cyclical pattern of mean returns and the cyclical pattern of volatility in
returns.
This dissertation studies and reports on cyclical patterns in the South African market,
seeking evidence of the existence of the day-of-the-week effect. In addition, the
dissertation aims to investigate the implications of such an effect on hedge fund
managers in South Africa.
The phenomenon of cyclical volatility and mean returns patterns (day-of-the-week
effect) in the South African All-share index returns are investigated by making use of
four generalised heteroskedastic conditional autoregressive (GARCH) models. These
were based on Nelson's (1991) Exponential GARCH (EGARCH) models. In order to
account for the risk taken by investors in the market Engle et al's, (1987) 'in-Mean'
(risk factor) effects were also incorporated into the model. To avoid the dummy
variable trap, two different approaches were tested for viability in testing for the day-of-
the-week effect. In the first approach, one day is omitted from the equation so as to
avoid multi-colinearity in the model. The second approach allows for the restriction of
the daily dummy variables where all the parameters of the daily dummy variables adds
up to zero.
This dissertation found evidence of a mean returns effect and a volatility effect (day-of-the-
week effect) in South Africa's All-share index returns data (where Wednesdays
have been omitted from the GARCH equations). This holds significant implications for
hedge fund managers. as hedge funds are very sensitive to volatility patterns in the
market, because of their leveraged trading activities. As a result of adverse price
movements, hedge fund managers employ strict risk management processes and
constantly rebalance their portfolios according to a mandate, to avoid incurring losses.
This rebalancing typically involves the simultaneous opening of new positions and
closing out of existing positions. Hedge fund managers run the risk of incurring losses
should they rebalance their portfolios on days on which the volatility in market returns
is high. This study proves the existence of the day-of-the-week effect in the South
African market.
These results are further confirmed by the evidence of the trading volumes of the JSE's
All-share index data for the period of the study. The mean returns effect (high mean
returns) and low volatility found on Thursdays, coincide with the evidence that trading
volumes on the JSE on Thursdays are the highest of all the days of the week. The
volatility effect on Fridays, (high volatility in returns) is similarly correlated with the
evidence of the trading volumes found in the JSE's All-share index data for the period
of the study. Accordingly. hedge fund managers would be advised to avoid rebalancing
their portfolios on Fridays, which show evidence of high volatility patterns. Hedge fund
managers are advised to rather rebalance their portfolios on Thursdays, which show
evidence of high mean returns patterns, low volatility patterns and high liquidity. / Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2006.
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Knock modelling in spark-ignition engines and a study of the effect of combustion instability on knockGanti, Gopal January 1987 (has links)
One of the limiting factors for improved performance of the spark ignited internal combustion engine is the phenomenon of knock. The present investigation makes a survey of the available models for auto-ignition for introduction into an existing phenomenological combustion model. A mathematical model of knock, based on a degenerate branched chain mechanism for the prediction of autoignition delay time, was considered and introduced into the combustion model. Experiments were carried out on a single cylinder variable compression ratio engine to validate the model. The interaction of acoustic waves with unsteady combustion leading to unstable combustion and thus triggering knock is considered. This work examines the relationship between the variation in the power of the frequency component corresponding to the natural frequency of the combustion chamber, and the occurrence of knock. A model based on the relaxation oscillation phenomenon is developed to calculate the oscillating frequency of the flame front. This model was developed on the basis that the gas contents of the combustion chamber in an internal combustion engine can be considered as a 'lumped parameter' spring mass damper system. Analysis of the frequency spectrum of flame ionization data show a favourable comparison with the predictions from the model, thus, opening the possibility of future work on correlating the acoustic instability in the combustion chamber to knock in spark ignition engines.
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The effect of caffeine on endurance performance in trained female cyclistsMacLeod, Janet Mary Meghan. 10 April 2008 (has links)
No description available.
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The Quantitative Assessment of Halo EffectGilchrist, Walter William 01 1900 (has links)
It is the purpose of this investigation to quantitatively assess the effect of halo in peer ratings of individuals in the areas of friendship, mental ability, and level of anxiety, by identifying the discrepancy between these ratings and the measurement of these characteristics by standardized tests.
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Shubnikov-de Haas Effect in ArsenicMiller, Ronald Eugene 08 1900 (has links)
This thesis studies the Shubnikov-de Haas effect in arsenic.
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A Study of the Effects of Modern Music on Operant Aggression in Delinquent and Non-Delinquent AdolescentsStephenson, Gerald H. 08 1900 (has links)
This study seeks to answer the question of if there is a relationship between the types of music listened to and the level of aggressiveness, particularly in young people detained in the County Juvenile Home of Dallas, Texas.
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Nuclear Magnetic Resonance in a Crystalline Stable Free Radical--Wurster's Blue PerchlorateMcCann, Thomas E. 08 1900 (has links)
This thesis investigates the nuclear magnetic resonance in a crystalline stable free radical.
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Theoretical studies of the Mössbauer effectClark, Michael George January 1969 (has links)
No description available.
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A study of the combined effect of soil moisture and seasonal rainfall upon wheat yields on western Kansas farmsCompton, Laurence Larue January 1940 (has links)
No description available.
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Bound water and high temperature tolerance studies of several varieties of alfalfaKreizinger, Everette January 1938 (has links)
No description available.
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