Browsing by Subject "JSE"

Now showing 1 - 8 of 8
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    Open Access
    An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange
    (2019) Harrisberg, Richard; Huang, Chun-Sung
    The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks.
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    Open Access
    An evaluation of the gold share market on the JSE
    (1983) Bradfield, David John; Barr, Graham
    Gold has traditionally been a highly· prized metal, .stored for value and used in the manufacture of ornaments and jewellery; its use dates as far back as the Ancient Egyptians. Since August 1971, however when the dollar/gold convertibility was officially terminated, the price of gold bullion has become very volatile, but has also increased so rapidly that the attractive profits that were attainable in the gold bullion and gold share markets attracted many speculators. The volatile gold price over this period, however, has also been the cause of many lost fortunes. The following quotation extracted from the Supplement to the Financial Mail (May 30, 1980) emphasizes this point with--some cynicism.
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    Open Access
    Evaluation of Asset Pricing Models in the South African Equities Market
    (2020) Moyo, Nigel A P; Rajaratnam, Kanshukan
    Asset pricing models have been of interest since their origin in modern finance. The Capital Asset Pricing Model is a widely used tool and is one of the early developed asset pricing models in modern finance. There are continual improvements of this model with the evident multifactor models of Fama and French (2015), Carhart (1997) and the South African two – factor arbitrage pricing models of Van Rensburg (2002) and Laird-Smith et al. (2016). This research empirically investigates the performance of eight-different multi-factor asset pricing models in describing average portfolio returns in the South African Johannesburg Stock Exchange. We find that the Carhart (1997) four factor model comprising of the market factor, size factor, value factor and the momentum factor is the most parsimonious model and thus better explains the average portfolio returns in the South African JSE. This model is an improvement of the Fama and French (1992) three factor model. Additionally, we investigate the performance of the two factor Asset Pricing Theory (APT) model of Laird-Smith et al. (2016) and Van Rensburg (2002) that consists of the South African Financial Index (SAFI) and the South African Resources Index (SARI). We observe that the model performs better than the traditional CAPM that is widely used in industry. Adding the SAFI and the SARI to the six-factor model results in an eight-factor model that has a significant improvement in explaining average returns. The results indicate that the market factor, the South African Financial Index and the South African Resources Index (SARI) poorly explain each other but their linear combination improves the eight-factor asset pricing model in explaining average portfolio returns in the South African market. The eight – factor model comprises of the market, size, value, investment, profitability, momentum factors and the two South African indices namely, the South African Financials Index (SAFI) and the South African Resources Index (SARI).
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    Evolution of Corporate Leverage on the JSE from 1994 to 2016
    (2022) Mokoko, Tseko; Holman, Glen
    In this paper, an attempt has been made to examine the evolution of corporate leverage of companies listed on the Johannesburg Stock Exchange (JSE) from 1994 to 2016. Analysis of the data set is organized around a sample of 126 listed companies across twelve sub-sector industries, namely, Banks, Financial Services, Life Insurance, Fixed Line Telecommunications, Nonlife Insurance, Health Care Equipment and Services, Pharmaceuticals and Biotechnology, Media, Technology Hardware and Equipment, Software and Computer Services, Electronic and Electrical Equipment and Support Services. 621 delisted companies were also briefly analysed to eliminate survivorship bias. Results of multiple regressions using two primary leverage measures and six commonly used determinants of capital structure were varied. Tangibility and growth were negatively related to debt while cost of debt was positively related to debt. Firm size, profitability and corporate tax rate yielded a varied relationship with corporate leverage. Only the growth capital structure determinant showed statistical significance. The overall findings indicate a rise in corporate leverage that coincides in tandem with major local and international economic events.
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    Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)
    (2021) Patel, Zubair; Ndlovu, Godfrey
    Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.
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    Open Access
    Online Non-linear Prediction of Financial Time Series Patterns
    (2020) da Costa, Joel; Gebbie, Timothy
    We consider a mechanistic non-linear machine learning approach to learning signals in financial time series data. A modularised and decoupled algorithm framework is established and is proven on daily sampled closing time-series data for JSE equity markets. The input patterns are based on input data vectors of data windows preprocessed into a sequence of daily, weekly and monthly or quarterly sampled feature measurement changes (log feature fluctuations). The data processing is split into a batch processed step where features are learnt using a Stacked AutoEncoder (SAE) via unsupervised learning, and then both batch and online supervised learning are carried out on Feedforward Neural Networks (FNNs) using these features. The FNN output is a point prediction of measured time-series feature fluctuations (log differenced data) in the future (ex-post). Weight initializations for these networks are implemented with restricted Boltzmann machine pretraining, and variance based initializations. The validity of the FNN backtest results are shown under a rigorous assessment of backtest overfitting using both Combinatorially Symmetrical Cross Validation and Probabilistic and Deflated Sharpe Ratios. Results are further used to develop a view on the phenomenology of financial markets and the value of complex historical data under unstable dynamics.
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    Performance and JSE listing of selected South African hospital operators
    (2021) Mokgatlhe, Kagiso Davis; Alhassan, Abdul Latif
    The study investigates the relationship between the Johannesburg Stock Exchange Listing Status and performance of selected South African private Hospital Operators covering a 10- year period from 2008-2017. The selected proxies for the hospital performance measured were: Total Annual Revenue, Revenue per Bed per Day, Total Number of Hospital Beds, and EBITDA margin while controlling for Healthcare Inflation and Medically Insured Population, respectively. The specified regression equation was expanded to include simultaneous equations for the proxies of hospital performance. From this system of simultaneous equations, the study estimated the panel regression model using Seemingly Unrelated Regression (SUR). The findings showed that (1) JSE-listed Hospital Operators command higher Total Annual Revenues generated, superior Hospital Bed Numbers, and higher Revenue per Bed per Day compared to their unlisted peers, but their operating efficiency is not superior to that of their unlisted peers. In addition, the study found (2) a positive and statistically significant relationship between JSE Listing Status and Private Hospital Operator Performance for the performance proxies of Total Annual Revenue, Revenue per Bed per Day and Total Number of Hospital Beds, but a positive statistically insignificant relationship in respect of EBIDTA margin, the operating efficiency measure of performance; (3) a positive statistically significant relationship between Medically Insured Population and Private Hospital Operator Performance for the performance proxies of Total Annual Revenue, Revenue per Bed per Day, Total Number of Hospital Beds, but a positive statistically insignificant relationship in respect of the operating efficiency measure of performance; (4) a negative statistically insignificant relationship between Healthcare Inflation and Private Hospital Operator Performance for the performance proxies of Total Annual Revenue, Revenue per Bed per Day, Total Number of Hospital Beds, but a positive also statistically insignificant relationship in respect of the operating efficiency measure of performance. These results corroborate the theoretical predictions and are supported by previous studies. The study has important implications for public bourse listing as a strategic organisational consideration in terms of funding mobilisation for corporate performance and growth strategy. The sizeable macroeconomic contribution of the private hospital sector, and the importance of the medical insurance-private hospital performance nexus, behoves policy makers to ensure that the proposed universal health fund in South Africa must not totally crowd out the development of private health insurance.
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    The price of risk in the South African equity market
    (2007) Samouilhan, N L
    This paper investigates domestic risk–return behaviour by focussing on the intertemporal relationship between the conditional domestic equity market premium, its conditional variance and its conditional covariance with the international equity market. The paper finds that the domestic equity market prices in both domestic and international diversification risk. The estimated daily price of domestic variance risk is 0.0279% (EAR: 7.28%) for every one unit of expected domestic variance. The estimated daily price of covariance risk is 0.0111% (EAR: 2.83%) for every unit of expected covariance risk. The representative domestic investor values domestic variance more than covariance risk. The variances of domestic and international equity returns are found to be time-varying, as is the covariance between the two. Evidence is found that the Johannesburg Securities Exchange is not perfectly integrated with the world economy, in an absolute sense. The volatility spillover effect is observed to be both significant and positive. The standard Capital Asset Pricing Model misspecifies the return to domestic risk, biasing the risk–return coefficient upwards. Domestic investors are rewarded for holding internationally diversified portfolios, with an internationally diversified portfolio expected to have an additional daily return of 0.0238% (EAR: 6.29%) for the same level of risk as an entirely domestic equity portfolio.