Stock price fragility in an emerging market

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dc.contributor.advisorHendricks, Dieteren_ZA
dc.contributor.authorNairac, Jean-Michelen_ZA
dc.date.accessioned2014-12-31T19:48:14Z
dc.date.available2014-12-31T19:48:14Z
dc.date.issued2013en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis 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.identifier.apacitationNairac, 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/11427/10728en_ZA
dc.identifier.chicagocitationNairac, 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/11427/10728en_ZA
dc.identifier.citationNairac, J. 2013. Stock price fragility in an emerging market. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/10728
dc.identifier.vancouvercitationNairac 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/11427/10728en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleStock price fragility in an emerging marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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