Modelling the long-and-short run dynamics of share price movements in the resource sector
| dc.contributor.advisor | van Rensburg, Paul | |
| dc.contributor.author | Davids, Megan | |
| dc.date.accessioned | 2024-07-02T10:03:23Z | |
| dc.date.available | 2024-07-02T10:03:23Z | |
| dc.date.issued | 2005 | |
| dc.date.updated | 2024-06-25T13:16:50Z | |
| dc.description.abstract | [page 49 missing] This paper involves the development and estimation of various statistical models that possess significant explanatory power in predicting future returns of resource shares. Models were constructed for IMPLATS, HARMONY, GOLDFIELDS, SASOL and SAPP!. Significant long-term relationships were found between company share price, earnings per share, dividends per share, commodity price and interest rates. The technique of co-integration permits these non-stationary economic variables to be linked by a stable long-term equilibrium relationship. For each co-integrating relationship an error correction model is developed to correct for short-term disequilibrium. The relationship between co-integration and error correction models is further extended to forecast future returns of share prices. A one-month rolling window forecasting method was implemented to forecast future returns of shares over one, two and three months respectively. Findings suggest that these results could be of considerable significance when making bets on a diversified portfolio of investments. | |
| dc.identifier.apacitation | Davids, M. (2005). <i>Modelling the long-and-short run dynamics of share price movements in the resource sector</i>. (). ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/40149 | en_ZA |
| dc.identifier.chicagocitation | Davids, Megan. <i>"Modelling the long-and-short run dynamics of share price movements in the resource sector."</i> ., ,Faculty of Commerce ,School of Economics, 2005. http://hdl.handle.net/11427/40149 | en_ZA |
| dc.identifier.citation | Davids, M. 2005. Modelling the long-and-short run dynamics of share price movements in the resource sector. . ,Faculty of Commerce ,School of Economics. http://hdl.handle.net/11427/40149 | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Davids, Megan AB - [page 49 missing] This paper involves the development and estimation of various statistical models that possess significant explanatory power in predicting future returns of resource shares. Models were constructed for IMPLATS, HARMONY, GOLDFIELDS, SASOL and SAPP!. Significant long-term relationships were found between company share price, earnings per share, dividends per share, commodity price and interest rates. The technique of co-integration permits these non-stationary economic variables to be linked by a stable long-term equilibrium relationship. For each co-integrating relationship an error correction model is developed to correct for short-term disequilibrium. The relationship between co-integration and error correction models is further extended to forecast future returns of share prices. A one-month rolling window forecasting method was implemented to forecast future returns of shares over one, two and three months respectively. Findings suggest that these results could be of considerable significance when making bets on a diversified portfolio of investments. DA - 2005 DB - OpenUCT DP - University of Cape Town KW - Economics LK - https://open.uct.ac.za PY - 2005 T1 - Modelling the long-and-short run dynamics of share price movements in the resource sector TI - Modelling the long-and-short run dynamics of share price movements in the resource sector UR - http://hdl.handle.net/11427/40149 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/40149 | |
| dc.identifier.vancouvercitation | Davids M. Modelling the long-and-short run dynamics of share price movements in the resource sector. []. ,Faculty of Commerce ,School of Economics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/40149 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | School of Economics | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | Economics | |
| dc.title | Modelling the long-and-short run dynamics of share price movements in the resource sector | |
| dc.type | Thesis / Dissertation | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationlevel | MSc |