Applications and extentions of financial models to small markets : the South African case

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dc.contributor.advisorAffleck-Graves , J Fen_ZA
dc.contributor.advisorBarr, Graham Douglas Irvingen_ZA
dc.contributor.authorBradfield, David Johnen_ZA
dc.date.accessioned2016-02-18T12:16:02Z
dc.date.available2016-02-18T12:16:02Z
dc.date.issued1989en_ZA
dc.descriptionIncludes bibliography.en_ZA
dc.description.abstractORGANIZATION OF THESIS: In Chapter 2, the important contributions to the development of Capital Market Theory will be discussed. Greater emphasis will be given to the more classical contributions and only a brief outline of the mathematical development will be presented where it is deemed necessary for the ensuing development of the thesis. In Chapter 3, a modified approach for portfolio selection in thinly-traded environments is proposed. This proposal concentrates on improving estimation of the inputs for practical implementation of the usual Markowitz portfolio selection routine. The estimation procedure adopted makes corrections for thin-trading and also makes use of the CAPM to improve the vector of return inputs. Chapter 4, basically consists of four sections. The first, gives a brief outline on historical estimation problems associated with the market model. In the second section the extent of thin-trading is investigated on the JSE. Furthermore a suitable beta estimation procedure which corrects for the effects of thin-trading is investigated empirically. In the third section an extended market model is proposed. This model leads to a more detailed, yet tractable structure of the risk components of stocks on smaller markets. An empirical investigation is subsequently conducted to investigate the risk structure of JSE stocks. In the last section of Chapter 4, an example of an empirical study using risk-adjusted returns is presented. The example considers the choice between bullion and South African gold shares from the international diversification perspective. In Chapter 5, empirical tests of the CAPM are conducted. This chapter consists of 2 main sections, namely, univariate tests and multivariate tests of the CAPM. Both of the tests also consider possible extensions of the CAPM by encorporating additional factors in the tests. Chapter 6 represents the main focus of this thesis, here the power of the univariate and multivariate tests of the CAPM are investigated using a simulation approach. The power investigation is conducted on simulated data that charaterizes the NYSE, however the JSE parameters are also considered. In the final section of this chapter the power of these tests are compared using various structured residual variance-covariance matrices. Lastly, some final thoughts and directions for future research are offered.en_ZA
dc.identifier.apacitationBradfield, D. J. (1989). <i>Applications and extentions of financial models to small markets : the South African case</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/17118en_ZA
dc.identifier.chicagocitationBradfield, David John. <i>"Applications and extentions of financial models to small markets : the South African case."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 1989. http://hdl.handle.net/11427/17118en_ZA
dc.identifier.citationBradfield, D. 1989. Applications and extentions of financial models to small markets : the South African case. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Bradfield, David John AB - ORGANIZATION OF THESIS: In Chapter 2, the important contributions to the development of Capital Market Theory will be discussed. Greater emphasis will be given to the more classical contributions and only a brief outline of the mathematical development will be presented where it is deemed necessary for the ensuing development of the thesis. In Chapter 3, a modified approach for portfolio selection in thinly-traded environments is proposed. This proposal concentrates on improving estimation of the inputs for practical implementation of the usual Markowitz portfolio selection routine. The estimation procedure adopted makes corrections for thin-trading and also makes use of the CAPM to improve the vector of return inputs. Chapter 4, basically consists of four sections. The first, gives a brief outline on historical estimation problems associated with the market model. In the second section the extent of thin-trading is investigated on the JSE. Furthermore a suitable beta estimation procedure which corrects for the effects of thin-trading is investigated empirically. In the third section an extended market model is proposed. This model leads to a more detailed, yet tractable structure of the risk components of stocks on smaller markets. An empirical investigation is subsequently conducted to investigate the risk structure of JSE stocks. In the last section of Chapter 4, an example of an empirical study using risk-adjusted returns is presented. The example considers the choice between bullion and South African gold shares from the international diversification perspective. In Chapter 5, empirical tests of the CAPM are conducted. This chapter consists of 2 main sections, namely, univariate tests and multivariate tests of the CAPM. Both of the tests also consider possible extensions of the CAPM by encorporating additional factors in the tests. Chapter 6 represents the main focus of this thesis, here the power of the univariate and multivariate tests of the CAPM are investigated using a simulation approach. The power investigation is conducted on simulated data that charaterizes the NYSE, however the JSE parameters are also considered. In the final section of this chapter the power of these tests are compared using various structured residual variance-covariance matrices. Lastly, some final thoughts and directions for future research are offered. DA - 1989 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 1989 T1 - Applications and extentions of financial models to small markets : the South African case TI - Applications and extentions of financial models to small markets : the South African case UR - http://hdl.handle.net/11427/17118 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/17118
dc.identifier.vancouvercitationBradfield DJ. Applications and extentions of financial models to small markets : the South African case. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 1989 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/17118en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherCapital markets - South Africaen_ZA
dc.titleApplications and extentions of financial models to small markets : the South African caseen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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