A portfolio analysis based on the leverage effect of exchange rates on JSE stocks

Valverde, Sheila

A portfolio analysis based on the leverage effect of exchange rates on JSE stocks

Master Thesis

2008

Publisher

University of Cape Town

Department

School of Management Studies

Faculty

Faculty of Commerce

Abstract

This research paper sets out to determine whether domestic investors, constrained by capital controls, can minimise the adverse effects of a volatile ZAR by constructing stock portfolios based on three classifications. Stocks are defined as either hedge, leverage or play, according to the currency denomination of revenues earned and costs incurred by the company. Beta coefficients are estimated for the three groups and expected returns are calculated for the different investors, which are predetermined by their future exchange rate expectations vis-a.-vis purchasing power parity (PPP).

Description

Includes abstract.

Includes bibliographical references (leaves 43-44).

Keywords

Management Studies

Reference:

Collections

Masters

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