Separation of precious metal beta from a JSE multivariate model with macroeconomic variables

 

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dc.contributor.advisor Holman, Glen en_ZA
dc.contributor.author Mzobe, Thabani Bonginkosi en_ZA
dc.date.accessioned 2016-03-23T11:51:58Z
dc.date.available 2016-03-23T11:51:58Z
dc.date.issued 2015 en_ZA
dc.identifier.citation Mzobe, T. 2015. Separation of precious metal beta from a JSE multivariate model with macroeconomic variables. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/18205
dc.description Includes bibliographical references en_ZA
dc.description.abstract This study examines a multifactor model of the Johannesburg Stock Exchange (JSE) framed within the Arbitrage Pricing Theory (APT). The APT has been set up such that it can be able to separate the beta for the precious metal factor within the model. The process goes via the investigation of macrovariables (with precious metals used as one of the macrovariables) and their effect on market (JSE) returns. A complete analysis and modeling of this relationship is likely to yield unparalleled rewards and cost-effective risk management, monitoring and mitigation. Using monthly data for the period 31/07/2002 to 30/04/2013 the dissertation focuse d on using a market (JSE) representative index as a basis for creating a wholly functioning APT model. This included creating a more liquid representative of the JSE All Share Index (A LSI) by using the top 100 stocks by market capitalization. Principal Components Analysis (PCA) was applied to the variables to ascertain a proper model for the JSE return structure. However, in the end an appropriate econometric structure in the form of Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroscedastic (GARCH) models was used and applied to test and create the APT model to address the objective. The other purpose of this dissertation was to separate beta attributable to the precious metal macrovariable within the model. This is based on the establishment of the JSE in the late 1880s being primarily due to the discovery of precious metals in the former Transvaal (North West) and Pretoria, Witwatersrand and Vereeniging (PWV) region now Gauteng. This is to ascertain whether these metals still have as much influence on the JSE as they did for over half a century. The results show that macroeconomic variables do influence the return generating process of the JSE, explaining almost 80% of variation in returns. The results show that the ALSI is characterized by a seven factor APT with, industrial production, money supply, SA consumer price index, ZARUSD exchange rate, crude oil, MSCI ACWI and precious metals statistically significant. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial and Risk Management en_ZA
dc.title Separation of precious metal beta from a JSE multivariate model with macroeconomic variables 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 Department of Finance and Tax en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Mzobe, T. B. (2015). <i>Separation of precious metal beta from a JSE multivariate model with macroeconomic variables</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/18205 en_ZA
dc.identifier.chicagocitation Mzobe, Thabani Bonginkosi. <i>"Separation of precious metal beta from a JSE multivariate model with macroeconomic variables."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2015. http://hdl.handle.net/11427/18205 en_ZA
dc.identifier.vancouvercitation Mzobe TB. Separation of precious metal beta from a JSE multivariate model with macroeconomic variables. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/18205 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mzobe, Thabani Bonginkosi AB - This study examines a multifactor model of the Johannesburg Stock Exchange (JSE) framed within the Arbitrage Pricing Theory (APT). The APT has been set up such that it can be able to separate the beta for the precious metal factor within the model. The process goes via the investigation of macrovariables (with precious metals used as one of the macrovariables) and their effect on market (JSE) returns. A complete analysis and modeling of this relationship is likely to yield unparalleled rewards and cost-effective risk management, monitoring and mitigation. Using monthly data for the period 31/07/2002 to 30/04/2013 the dissertation focuse d on using a market (JSE) representative index as a basis for creating a wholly functioning APT model. This included creating a more liquid representative of the JSE All Share Index (A LSI) by using the top 100 stocks by market capitalization. Principal Components Analysis (PCA) was applied to the variables to ascertain a proper model for the JSE return structure. However, in the end an appropriate econometric structure in the form of Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroscedastic (GARCH) models was used and applied to test and create the APT model to address the objective. The other purpose of this dissertation was to separate beta attributable to the precious metal macrovariable within the model. This is based on the establishment of the JSE in the late 1880s being primarily due to the discovery of precious metals in the former Transvaal (North West) and Pretoria, Witwatersrand and Vereeniging (PWV) region now Gauteng. This is to ascertain whether these metals still have as much influence on the JSE as they did for over half a century. The results show that macroeconomic variables do influence the return generating process of the JSE, explaining almost 80% of variation in returns. The results show that the ALSI is characterized by a seven factor APT with, industrial production, money supply, SA consumer price index, ZARUSD exchange rate, crude oil, MSCI ACWI and precious metals statistically significant. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - Separation of precious metal beta from a JSE multivariate model with macroeconomic variables TI - Separation of precious metal beta from a JSE multivariate model with macroeconomic variables UR - http://hdl.handle.net/11427/18205 ER - en_ZA


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