Browsing by Author "Endi, Ali Ahmed"

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    Empirical essays in financial economics
    (2010) Endi, Ali Ahmed; Abraham, Haim
    Paper 1 focuses on implied volatility estimation and investigates the volatility smile in a South African context with fourteen stocks listed on JSE Limited and fifty-nine options on these underlying stocks for the period April 4, 2002 to November 8, 2008. Paper 2 uses an empirical approach, based on the CAPM model, to study the risk and return relationships of A shares (available for domestic investors) and B shares (available for foreign investors) in the Shanghai Stock Exchange. Paper 3 takes an empirical approach to examine and compare three different methods for measuring the trade-off between the risk and the return of trading stocks in both South Africa and China. Paper 4 suggests an empirical framework as a possible mechanism to describe asset-price bubbles.
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    An investigation into the technology stock bubble
    (2005) Endi, Ali Ahmed; Abraham, Haim
    This dissertation investigates whether technology stock prices in the NASDAQ stock market over the past 10 years contain evidence of the existence bubbles. In recent years, a sharp divergence of NASDAQ stock exchange equity prices from dividends has been noted. Our investigation focuses on whether this divergence can be explained by reference to the presence of bubbles.