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Portfolio construction in South Africa with regard to the exchange rate

Includes bibliographical references (leaves 120-123) / In South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the model that finds the most exchange rate exposure. With this model, and a few variations, the persistence of exchange rate exposure is examined, where it is found that a few shares consistently act as the best hedges against R/$ depreciation and similarly a few shares are consistently the best at exploiting Rand strength. With this in mind two hedging techniques are compared in their ability to protect against a R/$ depreciation, and simultaneously provide market related returns, against the ITRIX exchange traded fund. It was found that the methods were successful in that they were able to hedge against R/$ depreciation while still participating in the recent rapid growth on the J.S.E.
Date January 2006
CreatorsHoldsworth, Christopher G
ContributorsBarr, Graham
PublisherUniversity of Cape Town, Faculty of Science, Department of Statistical Sciences
Source SetsSouth African National ETD Portal
Detected LanguageEnglish
TypeMaster Thesis, Masters, MSc

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