Anti-persistence and long-memory behaviour of SAREITs

2017 ◽  
Vol 35 (4) ◽  
pp. 356-368
Author(s):  
Kolawole Ijasan ◽  
George Tweneboah ◽  
Jones Odei Mensah
Keyword(s):  
South African ◽  
Long Memory ◽  
Stock Exchange ◽  
Fractional Integration ◽  
Content Type ◽  
Johannesburg Stock Exchange ◽  
Body Of Knowledge ◽  
Fractional Differencing ◽  
Trading Mechanism ◽  
Practical Implications

Purpose The purpose of this paper is to provide empirical evidence on the long-memory behaviour of South African real estate investment trusts (SAREITs). Design/methodology/approach The study employs a battery of advanced techniques to examine the behaviour of returns of 29 SAREIT equities listed on the Johannesburg Stock Exchange. The authors analysed daily closing prices covering different periods up to 21 May 2016. The results provide support for long memory in majority of SAREIT returns. Findings The finding of negative fractional integration parameters provides evidence of anti-persistence in SAREIT returns. Practical implications It is recommended that the regulatory authorities adopt technologies that allow a more effective, faster means to disseminate information, and improve the electronic trading mechanism that facilitates quicker price adjustment to news entering the market. Originality/value The paper determines the fractional differencing (long-memory) parameter for SAREITs and adds value to the existing body of knowledge.

scholarly journals The day-of-the-week effect: South African stock market indices

2018 ◽  
Vol 9 (2) ◽  
pp. 197-212 ◽  
Author(s):  
Elda du Toit ◽  
John Henry Hall ◽  
Rudra Prakash Pradhan
Keyword(s):  
South African ◽  
Stock Exchange ◽  
Garch Model ◽  
Statistical Technique ◽  
Data Set ◽  
Content Type ◽  
Johannesburg Stock Exchange ◽  
Time Period ◽  
Day Of The Week ◽  
Micro Level

Purpose The presence of a day-of-the-week effect has been investigated by many researchers over many years, using a variety of financial data and methods. However, differences in methodology between studies could have led to conflicting results. The purpose of this paper is to expand on an existing study to observe whether an analysis of the same data set with some added years and using a different statistical technique provide the same results. Design/methodology/approach The study examines the presence of a day-of-the-week effect on the Johannesburg Stock Exchange (JSE) indices for the period March 1995-2016, using a GARCH model. Findings The findings show that, contrary to the original study, the day-of-the week effect is present in both volatility and return equations. The highest and lowest returns are observed on Monday and Friday, respectively, while volatility is observed on all five days from Monday to Friday. Originality/value This study adds to the existing literature on day-of-the-week effect of JSE indices, where different patterns or, in some cases, no pattern have been noted. Few previous studies on the day-of-the-week effect observed the effect at micro-level for separate industries or made use of a GARCH model. The present study thus expands on the study of Mbululu and Chipeta (2012), by adding four additional observation years and using a different statistical technique, to observe differences that arise from a different time period and statistical technique. The results indicate that a day-of-the-week effect is mostly a function of the statistical technique applied.

South African corporate governance faces key reckoning

2019 ◽  
Keyword(s):  
Corporate Governance ◽  
South African ◽  
Stock Exchange ◽  
White Collar Crime ◽  
Share Price ◽  
Content Type ◽  
Johannesburg Stock Exchange ◽  
Regulatory Changes ◽  
State Capture ◽  
Criminal Charges

Subject South African corporate governance. Significance Johannesburg Stock Exchange (JSE)-listed IT company EOH, which has seen its share price decline by over half in 2019, announced on October 11 it would press criminal charges against employees implicated in corruption. As South Africa’s institutions begin to grapple with the spectre of ‘state capture’, public pressure is growing to tackle more sophisticated ‘white-collar’ crime. Impacts Large institutional investors will increasingly refine their approach to evaluating firms, including how they determine governance quality. A major UK-based report on auditing due later this year will likely result in similar regulatory changes elsewhere, including South Africa. The Financial Sector Conduct Authority enforcement head has vowed firmer action against transgressors of financial market regulations.

scholarly journals The readability of integrated reports

2017 ◽  
Vol 25 (4) ◽  
pp. 629-653 ◽  
Author(s):  
Elda du Toit
Keyword(s):  
South African ◽  
Stock Exchange ◽  
Value Added ◽  
Complex Nature ◽  
Integrated Reporting ◽  
Content Type ◽  
Johannesburg Stock Exchange ◽  
New Findings ◽  
African Context ◽  
Informed Reader

Purpose This is an exploratory study to investigate the readability of integrated reports. The aim of this paper is to assess whether integrated reports are accessible to their readership and add value to stakeholders. Design/methodology/approach Readability analyses are performed on the integrated reports of all companies listed on the Johannesburg Stock Exchange for 2015 and 2016. Readability results are compared by means of a correlation analysis to the results of the Ernst & Young Excellence in Integrated Reporting Awards for 2015. Findings The results show that the complex nature of the language used in integrated reports of listed companies impairs readability and, as an implication, affects the value stakeholders can derive from the information. The results from the correlation with the Ernst & Young Excellence in Integrated Reporting Awards indicate that an integrated report is considered of higher quality if it is written using complex language. Research limitations/implications The main limitation of the study lies in its exclusively South African setting, which is the only country where integrated reports are recommended as part of stock exchange listings requirements. Another limitation is the fact that integrated reports are mainly aimed at informed users and is thus compiled with the informed reader in mind, which impacts on general readability. Practical implications The results present new findings regarding integrated reporting practice, which is of interest to firms, investors, regulators, amongst others. The findings show how the value-added by integrated reports could be improved. Originality/value This study is the first to investigate the readability of integrated reports in a South African context. The results indicate that integrated reports are difficult to read and are only useful to a portion of the total intended population.

South African mining rules will mar investment climate

2017 ◽  
Keyword(s):  
South African ◽  
Stock Exchange ◽  
Economic Transformation ◽  
Investment Climate ◽  
Mining Company ◽  
Content Type ◽  
The Third ◽  
Johannesburg Stock Exchange

Significance Zwane released the third review of the 2004 Mining Charter on June 15. After the release, mining company shares on the Johannesburg Stock Exchange lost 50.69 billion rand (3.93 billion dollars) in value. The Chamber of Mines, the industry's representative body, has signalled that it will seek a court interdict, citing insufficient consultation on the revised Charter's contents. Impacts Zwane’s handling of the Charter will further worsen poor relations between business and government. New Minister of Finance Malusi Gigaba will struggle to reassure investors and ratings agencies of policy continuity. The Charter could exacerbate divisions between ANC factions over proposals to pursue ‘radical economic transformation’.

Sun International: can a blue ocean strategy change the future fortunes of this South African leisure group?

2013 ◽  
Vol 3 (4) ◽  
pp. 1-23
Author(s):  
Shaun Vorster ◽  
Marius Ungerer
Keyword(s):  
Learning Outcomes ◽  
South African ◽  
Mission Statement ◽  
Stock Exchange ◽  
Subject Area ◽  
Practical Application ◽  
Content Type ◽  
Johannesburg Stock Exchange ◽  
Strategy Change ◽  
Strategic Options

Subject area Tourism & Hospitality Study level/applicability Post graduate Case overview The South African-based Sun International Group (SI) develops, operates and manages hotels, resorts and casinos. In its mission statement, SI describes itself as a “leisure group offering superior gaming, hotel and entertainment experiences”. In 1984, SI was listed in the travel and leisure sector on the Johannesburg Stock Exchange. SI is looking for growth opportunities. Expected learning outcomes Strategic options analysis to create new market spaces. Practical application of blue ocean thinking frameworks. Supplementary materials Teaching notes are available for educators only. Please contact your library to gain login details or email [email protected] to request teaching notes.

Post-recession share repurchase behaviour by JSE-listed companies: transparent or not?

2020 ◽  
Vol 10 (3) ◽  
pp. 465-486
Author(s):  
Gretha Steenkamp ◽  
Nicolene Wesson
Keyword(s):  
South Africa ◽  
Real Time ◽  
South African ◽  
Stock Exchange ◽  
Listed Companies ◽  
Annual Reports ◽  
Share Repurchases ◽  
Share Repurchase ◽  
Content Type ◽  
Johannesburg Stock Exchange

PurposeShare repurchases are increasingly employed in South Africa. Disclosure on share repurchases in annual reports is poor, and a high percentage of share repurchases are not announced in real time on the Johannesburg Stock Exchange (JSE). A comprehensive database of share repurchases by JSE-listed companies has been created up to 2009, but post-recession repurchase behaviour is not known. This study aims to examine South African share repurchase behaviour (activity, repurchase entity, repurchase type and transparency) in the post-recession period and compare this to the 2000–2009 period.Design/methodology/approachComprehensive share repurchase data for all JSE-listed companies (excluding those in the basic materials and financial industries) were obtained by scrutinising annual reports and JSE announcements.FindingsThe repurchasing of shares reached a peak during the financial recession of 2008/2009, with share repurchases stabilising at a lower level post-recession. Repurchases executed by subsidiaries have decreased post-recession, probably owing to the introduction of dividends tax. However, 45% of the share repurchase value was not announced via the JSE (compared to 22% in 2000–2009).Practical implicationsReal-time JSE announcements of all share repurchases are required to improve transparency.Originality/valueOwing to low announcement rates, a lack of transparency relating to share repurchases was observed in South Africa post-recession. Enhanced corporate governance requirements could improve transparency.

The Nexus Between Johannesburg Stock Exchange and the United States Unemployment Rate Announcement: An Impulse Response Analysis

2018 ◽  
Vol 10 (3(J)) ◽  
pp. 160-168
Author(s):  
Misheck Mutize ◽  
Victor Virimai Mugobo
Keyword(s):  
United States ◽  
South African ◽  
Impulse Response ◽  
Unemployment Rate ◽  
Stock Prices ◽  
Stock Exchange ◽  
The United States ◽  
Response Analysis ◽  
Johannesburg Stock Exchange ◽  
The Us

The study explores the relationship between the unemployment rate in the United States and South Africa’s stock prices from the beginning of 2013 to the last day 2017. The objective of this paper is to examine the impact of the US unemployment rate announcement on the South African financial market. Results of Impulse Response analysis show that there is a very minimal impact from the US unemployment announcement to South Africa’s stock prices which disappears within two days of the announcement. In addition, the Johannesburg stock exchange index marginally responds to own shocks, which marginally fades away within two days. These findings imply that the changes in the US employment policies have a direct ripple effect on the South African macroeconomic environment, its investing public sentiments and corporate confidence on the future prospects of businesses.

An overview of the current state of interlibrary loans in South Africa

2015 ◽  
Vol 43 (2) ◽  
pp. 76-83
Author(s):  
Jenny Raubenheimer ◽  
John Stephen van Niekerk
Keyword(s):  
South Africa ◽  
South African ◽  
Information Provision ◽  
Literature Study ◽  
Content Type ◽  
Current Trends ◽  
Current State ◽  
Computer Library ◽  
Practical Implications ◽  
Essential Service

Purpose – The purpose of this paper is to review interlending development in South Africa and current trends in interlending. Design/methodology/approach – Literature study and survey. Findings – Interlending is still an essential service in South Africa. Interlending systems must be used effectively to ensure rapid delivery of requested interlibrary loans. There is a significant use of WorldShare ILL, but there is a scope for substantial development. Research limitations/implications – This is not a comprehensive study but focusses on current interlending activities at some of the larger South African academic and special libraries and the use of Online Computer Library Centre systems. Practical implications – The paper provides some historical information and the extent of current interlending and systems used. Social implications – The paper gives an indication of the value of interlending in South Africa and its contribution to information provision. Originality/value – The paper provides a snapshot of interlending in South Africa and areas for development.

scholarly journals Determinants of dividend pay-out policy: a case of the South African gold mining industry

2014 ◽  
Vol 11 (3) ◽  
pp. 83-94
Author(s):  
Busisiwe Carol Ringane ◽  
Patricia Lindelwa Makoni
Keyword(s):  
South African ◽  
Gold Mining ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Mining Industry ◽  
Foreign Ownership ◽  
Study Data ◽  
Managerial Ownership ◽  
Johannesburg Stock Exchange ◽  
Shed Light

This paper sought to shed light on dividend policy within the gold mining industry in South Africa. Several cause-and-effect variables of dividend policy are discussed, in order to lay down the theoretical framework for the research. These are size, managerial ownership and foreign ownership. To meet the objectives of the study, data from seven mining companies listed on the Johannesburg Stock Exchange (JSE) was analysed for a 5 year (2008-2012) period. As found in earlier studies, there is a positive correlation (r = 0.59) between the dividend policy and the size of the organisation. This was expected as no cashflow is available for distribution during the early stages of exploration, hence no dividends are paid. As the organisation grows and profit increases, there is free cashflow which can be distributed to shareholders. Managerial ownership negatively correlates with dividend pay-out (r = -0.53). Contrary, a weak correlation was observed between foreign ownership and dividend pay-out.

scholarly journals The impact of operating leverage on the capital structure of Johannesburg Stock Exchange-listed firms before and after the 2008 global financial crisis

2018 ◽  
Vol 11 (1) ◽  
Author(s):  
Matabane T. Mohohlo ◽  
Johan H. Hall
Keyword(s):  
Financial Crisis ◽  
Capital Structure ◽  
South African ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Johannesburg Stock Exchange ◽  
The Global Financial Crisis ◽  
Operating Leverage ◽  
The Impact ◽  
The Capital Structure

The financial leverage-operating leverage trade-off hypothesis states that as financial leverage increases, management of firms will seek to reduce the exposure to operating leverage in an attempt to balance the overall risk profile of a firm. It is the objective of this study to test this hypothesis and ascertain whether operating leverage can indeed be added to the list of factors that determine the capital structure of South African firms. Forty-six firms listed on the Johannesburg Stock Exchange between 1994 and 2015 are analysed and the impact of operating leverage is determined. The results are split into two periods, that is, the period before the global financial crisis (1994–2007) and after the global financial crisis (2008–2015). The impact of operating leverage during these two periods is then compared to determine whether a change in the impact of operating leverage on the capital structure can be observed especially following the crisis. The results show that the conservative nature of South African firms leading up to 2008 persisted even after the global financial crisis. At an industry level, the results reveal that operating leverage does not have a noticeable impact on capital structure with the exception of firms in the industrials sector of the South African economy.

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