Stock price fragility in an emerging market

 

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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


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