scholarly journals Risk estimation for shares on the Johannesburg Stock Exchange using transfer function modeling

1998 ◽  
Vol 29 (1) ◽  
pp. 1-13
Author(s):  
Ian K. Craig ◽  
Mike T. Bendixen
Keyword(s):  
Transfer Function ◽  
Financial Risk ◽  
Stock Exchange ◽  
Risk Estimation ◽  
Systematic Risk ◽  
Ols Regression ◽  
Regression Methods ◽  
Johannesburg Stock Exchange ◽  
University Of Cape Town ◽  
The University

This study investigates whether the estimation of the systematic risk component or the beta of shares on the Johannesburg Stock Exchange (JSE) can be improved using transfer function or MARIMA modeling. Two propositions are tested. Transfer function modeling will result in estimates of systematic risk which are different from those obtained using conventional OLS regression methods. Transfer function models will provide forecasting results which are better than those provided by betas estimated in the conventional way. Proposition I cannot be tested using conventional inferential tests as the standard errors of estimate of the betas estimated from MARIMA modeling cannot, in general, be measured. It is found however that 16.9% of the MARIMA beta estimates fall outside the 95% confidence intervals of the respective OLS regression beta estimates. Similar results are obtained when the OLS regression betas are compared to the University of Cape Town (UCT) Financial Risk Service and BFA-NET beta estimates. Proposition 2 can in general not be supported as the MARIMA and OLS regression forecasts are found not to be statistically significantly different. Cross correlations between index and share returns are in many cases found not to be statistically significant. In such cases one is probably better off using OLS regression. Resulting beta estimates should be used with caution.

Static Systematic Risk Profile of Nifty 100 Stocks: A Year on Year Analysis of Beta

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 75-83
Author(s):  
Neeraj Sangh
Keyword(s):  
Stock Exchange ◽  
Systematic Risk ◽  
Regression Function ◽  
Least Square ◽  
Market Model ◽  
Rate Of Return ◽  
Market Theory ◽  
Ols Regression ◽  
Index Model ◽  
Market Index

Beta Coefficient, as a measurement statistic of systematic risk of securities, was initially explained by Sharpe as a slope of simple linear regression function using rate of return on a market index as independent variable and a securitys rate of return as dependent variable. National Stock Exchange (NSE), the leading stock exchange of India, practice this ordinary least square (OLS) regression based single index market model for disseminating beta coefficients of prominent NIFTY 100 stocks. OLS regression based index model presumes that beta coefficients of securities should remain stable for accuracy of predicted returns. Brenner and Smidt (1977) emphasized the importance of having accurate beta forecast mainly because of (i) understanding risk-return relationships in capital market theory and (ii) extensive usage of beta in making investment decisions. The objective of this paper is to examine year on year stability of beta coefficients of NIFTY 100 index stocks.

scholarly journals The role of distribution and volatility specification in value at risk estimation: Evidence from the Johannesburg Stock Exchange

2012 ◽  
Vol 5 (2) ◽  
pp. 515-526
Author(s):  
John M. Mwamba ◽  
Kruger Pretorius
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Estimation ◽  
Value Theory ◽  
Johannesburg Stock Exchange ◽  
Volatility Models ◽  
Student’S T ◽  
T Distribution

Given the volatile nature of global financial markets, managing as well as predicting financial risk plays an increasingly important role in banking and finance. The Value at Risk (VaR) measure has emerged as the most prominent measure of downside market risk. It is measured as the alpha quantile of the profit and loss distribution. Recently a number of distributions have been proposed to model VaR: these include the extreme value theory distributions (EVT), Generalized Error Distribution (GED), Student’s t, and normal distribution. Furthermore, asymmetric as well as symmetric volatility models are combined with these distributions for out-sample VaR forecasts. This paper assesses the role of the distribution assumption and volatility specification in the accuracy of VaR estimates using daily closing prices of the Johannesburg Stock Exchange All Share Index (JSE ALSI). It is found that Student’s t distribution combined with asymmetric volatility models produces VaR estimates in out-sample periods that outperform those from models stemming from normal, EVT/symmetric volatility specification.

Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

2017 ◽  
Vol 24 (1) ◽  
pp. 54-70
Author(s):  
Hasanah Setyowati ◽  
Riyanti Ningsih
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Analysis Model ◽  
Macroeconomic Factors ◽  
Return On Equity ◽  
Equity Ratio ◽  
Regression Techniques ◽  
The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

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.

Double Thoughts

2018 ◽  
Author(s):  
Andrew Dean
Keyword(s):  
Literary Criticism ◽  
Jacques Derrida ◽  
Postcolonial Theory ◽  
Cape Town ◽  
Literary Texts ◽  
Paul De Man ◽  
Literature And Philosophy ◽  
De Man ◽  
University Of Cape Town ◽  
The University

Coetzee’s interest in destabilizing the boundaries of literature and philosophy is most evident in later fictions such as Elizabeth Costello. But as Andrew Dean argues in this chapter, this interest in moving across boundaries in fact originates much earlier, in Coetzee’s quarrel with the institutions and procedures of literary criticism. Coetzee used the occasion of his inaugural professorial lecture at the University of Cape Town (Truth and Autobiography) to criticize the assumption that literary criticism can reveal truths about literature to which literary texts are themselves blind. Influenced in part by such figures as Jacques Derrida and Paul de Man, Coetzee posed a series of challenging questions about the desires at stake in the enterprise of literary criticism. Developing these thoughts, Dean explores the way in which Coetzee’s earlier fiction, including such texts as Foe (1986), is energized by its quarrelsome relationship with literary criticism and theory, especially postcolonial theory.

scholarly journals Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis

1989 ◽  
Vol 20 (3) ◽  
pp. 119-128 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Empirical Analysis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Adjustments ◽  
Weak Evidence ◽  
News Events ◽  
One Year

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.

Decolonizing Science, Digitizing the Occult: Theory from the Virtual South

2021 ◽  
Vol 64 (1) ◽  
pp. 86-104
Author(s):  
Sasha Newell
Keyword(s):  
Social Media ◽  
Intimate Relationships ◽  
Digital Technology ◽  
World Wide ◽  
Western Science ◽  
The World ◽  
University Of Cape Town ◽  
The University ◽  
Second World ◽  
Forms Of Knowledge

AbstractIn this article Newell uses two case studies to explore one of the central threads of Mbembe’s Abiola lecture, the idea that there is a relationship between the plasticity of digital technology and African cosmologies of the deuxième monde. One case concerns the viral YouTube video #sciencemustfall, in which students at the University of Cape Town criticize “Western” science and demand that African forms of knowledge such as witchcraft be incorporated into the meaning of science. The second case considers fieldwork among the brouteurs of Côte d’Ivoire, internet scammers who build intimate relationships on false premises using social media. They acquire shocking amounts of wealth in this way which they display on their own social media accounts. However, they are said to use occult means to seduce and persuade their virtual lovers, trapping their prey in the sticky allure of the world wide web. Newell uses both examples to highlight the overlaps between the transformational efficacies embedded in both occult ontologies and digital worldings, calling for the possibility of using African cosmologies of the second world to produce a ‘theory from the south’ of virtual sociality.

Sign in / Sign up

Export Citation Format

Share Document