Thesis (MBA)--University of Stellenbosch, 2007. / ENGLISH ABSTRACT: This paper explores a number of statistical models for predicting the daily stock
return volatility of an aggregate of all stocks traded on the Johannesburg Stock
Exchange (JSE). The study is largely inspired by the work of Chris Brooks
(1998). The volume of shares traded might be as important as the change in a
market index since substantial price increases and decreases are often
accompanied by heavy trading activity. An application of linear and non-linear
Granger causality tests highlights evidence of bidirectional causality, although the
relationship is stronger from volatility to volume than from volume to volatility.
The out-of-sample forecasting performance of various linear and non-linear
models of volatility are evaluated and compared. The models are also
augmented by the addition of a measure of lagged volume to form more general
ex-ante forecasting models. The results indicate that augmenting models of
volatility with measures of lagged volume leads only to fairly small improvements
in forecasting performance. The report also shows that the Johannesburg Stock
Exchange is vulnerable to financial turmoil in other major markets. / AFRIKAANSE OPSOMMING: Hierdie navorsingsverslag verken 'n aantal statistiese modelle vir die
vooruitskatting van die daaglikse onbestendigheid in aandeleopbrengste van die
totaal van alle aandele wat op die Johannesburgse Aandelebeurs (JSE)
verhandel word. Hierdie studie is grotendeels geinspireer deur die werk van
Chris Brooks (1998). Die volume aandele wat verhandel word, kan net so
belangrik wees soos die verandering in 'n markindeks omdat beduidende
prysverhogings en -verlagings dikwels met swaar verhandelingsaktiwiteite
gepaard gaan. 'n Toepassing van liniere en nie-liniere Grangeroorsaaklikheidstoetse
lewer bewys van tweerigting-oorsaaklikheid, hoewel daar
'n sterker verband van onbestendigheid na volume is, as van volume na
onbestendigheid. Die buite-steekproef vooruitskattingsprestasie van verskeie
liniere en nie-liniere modelle van onbestendigheid word geevalueer en vergelyk.
Die modelle word aangevul deur die byvoeging van gesloerde volumes om meer
algemene vooruitskattingsmodelle te vorm. Die resultate dui daarop dat
aangevulde modelle van onbestendigheid met sloerings in volume slegs tot
betreklik klein verbeteringe in vooruitskattingsprestasie lei. Die resultate dui
daarop dat die Johannesburgse Aandelebeurs kwesbaar is vir finansiele
turbulensie in ander belangrike markte.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/15043 |
| Date | 12 1900 |
| Creators | Hagba, Dorbor M. |
| Contributors | Smit, Eon Van der Merwe, University of Stellenbosch. Faculty of Economic and Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : University of Stellenbosch |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Rights | University of Stellenbosch |
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