An analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE)
- Authors: Van Heerden, Gillian
- Date: 2015
- Subjects: Stock exchanges -- South Africa -- Johannesburg
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1119 , http://hdl.handle.net/10962/d1017546
- Description: The underpricing of initial public offerings (IPOs) and their subsequent low long-run performance represents one of the anomalies observed in primary markets worldwide. However, the depth and breadth of it varies from country to country, and sector to sector. Literature has documented that the phenomenon surrounding the long-run post issue performance of IPOs is not unique and that quite similar patterns can be found regarding firms making seasoned equity offerings (SEOs). This study is an empirical analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE). Using data for 141 South African IPOs that were listed on the JSE Mainboard from 2001 to 2010, significant short-run underpricing is found. A sector wise analysis of three broad sectors indicated that the ‘other’ sector had the largest IPO underpricing after the first few days of trading. The year-wise analysis is also documented. In the long-run this study showed that IPOs in South Africa underperformed two out of three benchmarks in 36 full months post listing. In contrast, using data for 50 South African SEOs during 2003 to 2010, superior SEO performance is found over a 36-month period when assessed using a size and industry adjusted benchmark. Various cross-sectional and time-series patterns in the aftermarket performance of IPO and SEO firms are also documented
- Full Text:
- Date Issued: 2015
- Authors: Van Heerden, Gillian
- Date: 2015
- Subjects: Stock exchanges -- South Africa -- Johannesburg
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1119 , http://hdl.handle.net/10962/d1017546
- Description: The underpricing of initial public offerings (IPOs) and their subsequent low long-run performance represents one of the anomalies observed in primary markets worldwide. However, the depth and breadth of it varies from country to country, and sector to sector. Literature has documented that the phenomenon surrounding the long-run post issue performance of IPOs is not unique and that quite similar patterns can be found regarding firms making seasoned equity offerings (SEOs). This study is an empirical analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE). Using data for 141 South African IPOs that were listed on the JSE Mainboard from 2001 to 2010, significant short-run underpricing is found. A sector wise analysis of three broad sectors indicated that the ‘other’ sector had the largest IPO underpricing after the first few days of trading. The year-wise analysis is also documented. In the long-run this study showed that IPOs in South Africa underperformed two out of three benchmarks in 36 full months post listing. In contrast, using data for 50 South African SEOs during 2003 to 2010, superior SEO performance is found over a 36-month period when assessed using a size and industry adjusted benchmark. Various cross-sectional and time-series patterns in the aftermarket performance of IPO and SEO firms are also documented
- Full Text:
- Date Issued: 2015
Analysis of calendar effects and market anomalies on the Johannesburg Stock Exchange
- Atsin, Achiapo Jessica Lisette
- Authors: Atsin, Achiapo Jessica Lisette
- Date: 2015
- Subjects: Stock exchanges -- South Africa -- Johannesburg , Stocks -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9028 , http://hdl.handle.net/10948/d1020372
- Description: This study sought to empirically investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus index during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of MSAR with a different number of regimes and lag orders. The results from the investigation of the January effect show the non-existence of the January effect and the value effect on the JSE during the periods 2002 – 2013 and 2004 – 2013, respectively. However, the weekend effect was found significant in the Mid Cap and the Small Cap index, and the size effect was also found significant during the same period 2002 - 2013. Finally the results from a Granger causality test concluded that there is a relationship between the returns on the Dividend Plus index and the ALSI, effectively proving the existence of the dividend yield effect on the JSE between 2006 and 2013. Additionally, the anomalies found imply the opportunity for investors to make returns above buy-and-hold.
- Full Text:
- Date Issued: 2015
- Authors: Atsin, Achiapo Jessica Lisette
- Date: 2015
- Subjects: Stock exchanges -- South Africa -- Johannesburg , Stocks -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9028 , http://hdl.handle.net/10948/d1020372
- Description: This study sought to empirically investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus index during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of MSAR with a different number of regimes and lag orders. The results from the investigation of the January effect show the non-existence of the January effect and the value effect on the JSE during the periods 2002 – 2013 and 2004 – 2013, respectively. However, the weekend effect was found significant in the Mid Cap and the Small Cap index, and the size effect was also found significant during the same period 2002 - 2013. Finally the results from a Granger causality test concluded that there is a relationship between the returns on the Dividend Plus index and the ALSI, effectively proving the existence of the dividend yield effect on the JSE between 2006 and 2013. Additionally, the anomalies found imply the opportunity for investors to make returns above buy-and-hold.
- Full Text:
- Date Issued: 2015
Testing random walk hypothesis in the stock market prices: evidence from South Africa's stock exchange (2000- 2011)
- Chitenderu, Tafadzwa Thelmah
- Authors: Chitenderu, Tafadzwa Thelmah
- Date: 2013
- Subjects: Johannesburg Stock Exchange , Stock exchanges -- South Africa -- Johannesburg , Random walks (Mathematics)
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11461 , http://hdl.handle.net/10353/d1006931 , Johannesburg Stock Exchange , Stock exchanges -- South Africa -- Johannesburg , Random walks (Mathematics)
- Description: The Johannesburg Stock Exchange market was tested for the existence of the random walk hypothesis using All Share Index (ALSI) and time series data for the period between 2000 and 2011. The traditionally used methods, the unit root tests and autocorrelation test were employed first and they all confirmed that during the period under consideration, the JSE price index followed the random walk process. In addition, the ARIMA model was built and it was found that the ARIMA ( 1, 1, 1) was the model that best fitted the data in question. Furthermore, residual tests to help determine whether the residuals of the estimated equation show random walk process in the series were done. It was found that the ALSI resembles series that follow random walk hypothesis with strong evidence of RWH indicated in the conducted forecasting tests which showed vast variance between forecasted values and actual indicating little or no forecasting strength in the series. To further validate the findings in this research, the variance ratio test was conducted under heteroscedasticity and it also strongly corroborated that the existence of a random walk process cannot be rejected in the JSE. It was concluded that since the returns follow the random walk hypothesis, it can be said that JSE is efficient in the weak form level of the EMH and therefore opportunities of making excess returns based on out- performing the market is ruled out and is merely a game of chance. In other words, it will be of no use to choose stocks based on information about recent trends in stock prices.
- Full Text:
- Date Issued: 2013
- Authors: Chitenderu, Tafadzwa Thelmah
- Date: 2013
- Subjects: Johannesburg Stock Exchange , Stock exchanges -- South Africa -- Johannesburg , Random walks (Mathematics)
- Language: English
- Type: Thesis , Masters , M Com
- Identifier: vital:11461 , http://hdl.handle.net/10353/d1006931 , Johannesburg Stock Exchange , Stock exchanges -- South Africa -- Johannesburg , Random walks (Mathematics)
- Description: The Johannesburg Stock Exchange market was tested for the existence of the random walk hypothesis using All Share Index (ALSI) and time series data for the period between 2000 and 2011. The traditionally used methods, the unit root tests and autocorrelation test were employed first and they all confirmed that during the period under consideration, the JSE price index followed the random walk process. In addition, the ARIMA model was built and it was found that the ARIMA ( 1, 1, 1) was the model that best fitted the data in question. Furthermore, residual tests to help determine whether the residuals of the estimated equation show random walk process in the series were done. It was found that the ALSI resembles series that follow random walk hypothesis with strong evidence of RWH indicated in the conducted forecasting tests which showed vast variance between forecasted values and actual indicating little or no forecasting strength in the series. To further validate the findings in this research, the variance ratio test was conducted under heteroscedasticity and it also strongly corroborated that the existence of a random walk process cannot be rejected in the JSE. It was concluded that since the returns follow the random walk hypothesis, it can be said that JSE is efficient in the weak form level of the EMH and therefore opportunities of making excess returns based on out- performing the market is ruled out and is merely a game of chance. In other words, it will be of no use to choose stocks based on information about recent trends in stock prices.
- Full Text:
- Date Issued: 2013
The Johannesburg Stock Exchange: What it is, How it Works: an informaiton booklet for workers
- Trade Union Research Project (TURP)
- Authors: Trade Union Research Project (TURP)
- Date: 1994-02
- Subjects: Stock exchanges -- South Africa -- Johannesburg , Stock exchanges -- South Africa
- Language: English
- Type: book , text
- Identifier: http://hdl.handle.net/10962/60120 , vital:27738
- Description: This booklet is about the Johannesburg Stock Exchange (JSE). Workers are directly or indirectly affected by what happens at the JSE. There are many workers at companies which are listed on the Johannesburg Stock Exchange. The bosses of some of these companies are encouraging workers to own shares in these companies. Some workers already own shares in the companies where they work. Workers’ pension and provident funds are being invested on the stock exchange. These issues have raised questions among workers about what shares are, how they make money and where they are traded. This pamphlet addresses some of these questions. It focuses mainly on what the stock exchange is, how it works and what role it plays in the economy. Because workers are also thinking about how the present South African economy can be restructured, the pamphlet also raises a few questions for discussion on the role of the JSE in a future economy.
- Full Text:
- Date Issued: 1994-02
- Authors: Trade Union Research Project (TURP)
- Date: 1994-02
- Subjects: Stock exchanges -- South Africa -- Johannesburg , Stock exchanges -- South Africa
- Language: English
- Type: book , text
- Identifier: http://hdl.handle.net/10962/60120 , vital:27738
- Description: This booklet is about the Johannesburg Stock Exchange (JSE). Workers are directly or indirectly affected by what happens at the JSE. There are many workers at companies which are listed on the Johannesburg Stock Exchange. The bosses of some of these companies are encouraging workers to own shares in these companies. Some workers already own shares in the companies where they work. Workers’ pension and provident funds are being invested on the stock exchange. These issues have raised questions among workers about what shares are, how they make money and where they are traded. This pamphlet addresses some of these questions. It focuses mainly on what the stock exchange is, how it works and what role it plays in the economy. Because workers are also thinking about how the present South African economy can be restructured, the pamphlet also raises a few questions for discussion on the role of the JSE in a future economy.
- Full Text:
- Date Issued: 1994-02
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