JavaScript is disabled for your browser. Some features of this site may not work without it.
- OpenUCT Home
- →
- Theses / Dissertations
- →
- Masters
- →
- View Item
| dc.contributor.advisor | Hendricks, Dieter | en_ZA |
| dc.contributor.author |
Nairac, Jean-Michel
|
en_ZA |
| dc.date.accessioned | 2014-12-31T19:48:14Z | |
| dc.date.available | 2014-12-31T19:48:14Z | |
| dc.date.issued | 2013 | en_ZA |
| dc.identifier.citation | Nairac, J. 2013. Stock price fragility in an emerging market. University of Cape Town. | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/10728 | |
| dc.description | Includes bibliographical references. | en_ZA |
| dc.description.abstract | This research project examines stock price fragility, a measure developed by Greenwood and Thesmar (2011), which serves as a proxy for non-fundamental risk i.e. it aims to isolate the drivers of stock price volatility beyond traditional fundamental drivers, in particular examining the impact of concentrated stock ownership and correlated liquidity shocks on price volatility. Here, the measure is applied to the South African financial market. Subject to data complications, it is nevertheless shown that stock price fragility is a significant predictor of total return volatility owing to the ownership structure of South African funds, even when controlling for endogeneity, autocorrelation and heteroskedasticity in the model. | en_ZA |
| dc.language.iso | eng | en_ZA |
| dc.subject.other | Mathematical Finance | en_ZA |
| dc.title | Stock price fragility in an emerging market | en_ZA |
| dc.type | Master Thesis | |
| uct.type.publication | Research | en_ZA |
| uct.type.resource | Thesis | en_ZA |
| dc.publisher.institution | University of Cape Town | |
| dc.publisher.faculty | Faculty of Commerce | en_ZA |
| dc.publisher.department | Division of Actuarial Science | en_ZA |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil | en_ZA |
| uct.type.filetype | Text | |
| uct.type.filetype | Image | |
| dc.identifier.apacitation | Nairac, J. (2013). <i>Stock price fragility in an emerging market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/10728 | en_ZA |
| dc.identifier.chicagocitation | Nairac, Jean-Michel. <i>"Stock price fragility in an emerging market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013. http://hdl.handle.net/11427/10728 | en_ZA |
| dc.identifier.vancouvercitation | Nairac J. Stock price fragility in an emerging market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10728 | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Nairac, Jean-Michel AB - This research project examines stock price fragility, a measure developed by Greenwood and Thesmar (2011), which serves as a proxy for non-fundamental risk i.e. it aims to isolate the drivers of stock price volatility beyond traditional fundamental drivers, in particular examining the impact of concentrated stock ownership and correlated liquidity shocks on price volatility. Here, the measure is applied to the South African financial market. Subject to data complications, it is nevertheless shown that stock price fragility is a significant predictor of total return volatility owing to the ownership structure of South African funds, even when controlling for endogeneity, autocorrelation and heteroskedasticity in the model. DA - 2013 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2013 T1 - Stock price fragility in an emerging market TI - Stock price fragility in an emerging market UR - http://hdl.handle.net/11427/10728 ER - | en_ZA |
