M.Com. (Financial Management) / Researchers are not satisfied with models that explain share price variations based on net present value analysis. To overcome the traditional problems of net present value analysis, intrinsic bubbles and the dividend price ratio were investigated to explain share price volatility. An index derived from dividend paying shares listed on the Johannesburg Securities Exchange Limited (JSE Ltd) for the period January 2000 to December 2010 was investigated. This investigation was based on Froot and Obstfeld’s (1991) Intrinsic Bubbles model. The null hypothesis of no intrinsic bubbles was not rejected. The findings infer that share prices were not only driven by fundamentals, implying the presence of intrinsic bubbles. This is consistent with the findings of Brooks, Nneji and Ward (2011) after applying the same methodology on the US housing market. The researcher’s aim was to provide a better clarification on whether changes in fundamentals are suitable to predict share prices, but results were inconclusive in this regard. The results indicate that fundamentals account for 80.1% of share price movements.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uj/uj:12504 |
| Date | 07 October 2014 |
| Creators | Hangaika, Mathew |
| Source Sets | South African National ETD Portal |
| Detected Language | English |
| Type | Thesis |
| Rights | University of Johannesburg |
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