The covariation of South African and foreign equity returns during bull and bear runs : implications for portfolio diversification
- Authors: Mhlanga, Godfrey
- Date: 2009
- Subjects: Stock exchanges -- South Africa , Portfolio management -- South Africa , Investments -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:944 , http://hdl.handle.net/10962/d1002678
- Description: This study examines the pattern of covariation of the industrial index returns of South Africa and foreign industrial sectors. This follows recent increase in national equity correlations and increases in the influence of industry effects in portfolio diversification. The covariation pattern in returns across industries and countries during both bull and bear runs is examined using correlation analysis to determine if there is a difference between the two epochs. The study presents preliminary evidence of the covariation between sectors during a bear and a bull run. Return covariation among sectors is impelled to a greater extent by country-specific factors than by industry-specific factors, implying the segmentation of industrial sectors. Thus, South African investors can in general gain more if a portfolio comprising shares across industries and countries is held, even if these investors buy shares from similar industries.
- Full Text:
- Date Issued: 2009
- Authors: Mhlanga, Godfrey
- Date: 2009
- Subjects: Stock exchanges -- South Africa , Portfolio management -- South Africa , Investments -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:944 , http://hdl.handle.net/10962/d1002678
- Description: This study examines the pattern of covariation of the industrial index returns of South Africa and foreign industrial sectors. This follows recent increase in national equity correlations and increases in the influence of industry effects in portfolio diversification. The covariation pattern in returns across industries and countries during both bull and bear runs is examined using correlation analysis to determine if there is a difference between the two epochs. The study presents preliminary evidence of the covariation between sectors during a bear and a bull run. Return covariation among sectors is impelled to a greater extent by country-specific factors than by industry-specific factors, implying the segmentation of industrial sectors. Thus, South African investors can in general gain more if a portfolio comprising shares across industries and countries is held, even if these investors buy shares from similar industries.
- Full Text:
- Date Issued: 2009
The current role of modern portfolio theory in asset management practice in South Africa
- Authors: Garaba, Masimba
- Date: 2005
- Subjects: Portfolio management -- South Africa , Investments -- South Africa , Bank investments -- Mathematical models , Capital assets pricing model , Asset -- Liability management , Money market -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:965 , http://hdl.handle.net/10962/d1002699 , Portfolio management -- South Africa , Investments -- South Africa , Bank investments -- Mathematical models , Capital assets pricing model , Asset -- Liability management , Money market -- South Africa
- Description: This research examines the role that modern portfolio theory (MPT) plays in current South Africa asset management practice in comparison to other portfolio management techniques and security evaluation methods. The purpose of asset management is to pool complementary financial market expertise, in order to generate returns in excess of the market return on the investments of the owners of financial resources that are entrusted to the firm, since the owners of financial resources might not be able to make superior investment decisions on their own. The research presents and discusses the literature pertaining to modern portfolio theory, traditional portfolio theory (fundamental and technical analyses), and behavioural finance theory. The implication of the efficient market hypothesis in relation to all the portfolio management theories is also presented and discussed. In line with a positivist paradigm, the survey research methodology, which combines both qualitative and quantitative aspects, was adopted. The instrument used for data collection was a questionnaire, which was found to be reliable and valid for this research. The questionnaire encompassed the Lickert scale to measure the data. The results of the analysis were interpreted using descriptive statistics. The results of this research suggest that modern portfolio theory does not play a significant role in the management of portfolios and security evaluation in South Africa. South African asset managers regard fundamental analysis as the most significant method of security evaluation in the management of portfolios. Technical analysis and econometric models are regarded as playing a moderate role and complement fundamental analysis whilst behavioural finance models play the least role. This research recommends an integrated portfolio management strategy that incorporates MPT, traditional portfolio theory and behavioural finance models to enhance investor value and protection.
- Full Text:
- Date Issued: 2005
- Authors: Garaba, Masimba
- Date: 2005
- Subjects: Portfolio management -- South Africa , Investments -- South Africa , Bank investments -- Mathematical models , Capital assets pricing model , Asset -- Liability management , Money market -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:965 , http://hdl.handle.net/10962/d1002699 , Portfolio management -- South Africa , Investments -- South Africa , Bank investments -- Mathematical models , Capital assets pricing model , Asset -- Liability management , Money market -- South Africa
- Description: This research examines the role that modern portfolio theory (MPT) plays in current South Africa asset management practice in comparison to other portfolio management techniques and security evaluation methods. The purpose of asset management is to pool complementary financial market expertise, in order to generate returns in excess of the market return on the investments of the owners of financial resources that are entrusted to the firm, since the owners of financial resources might not be able to make superior investment decisions on their own. The research presents and discusses the literature pertaining to modern portfolio theory, traditional portfolio theory (fundamental and technical analyses), and behavioural finance theory. The implication of the efficient market hypothesis in relation to all the portfolio management theories is also presented and discussed. In line with a positivist paradigm, the survey research methodology, which combines both qualitative and quantitative aspects, was adopted. The instrument used for data collection was a questionnaire, which was found to be reliable and valid for this research. The questionnaire encompassed the Lickert scale to measure the data. The results of the analysis were interpreted using descriptive statistics. The results of this research suggest that modern portfolio theory does not play a significant role in the management of portfolios and security evaluation in South Africa. South African asset managers regard fundamental analysis as the most significant method of security evaluation in the management of portfolios. Technical analysis and econometric models are regarded as playing a moderate role and complement fundamental analysis whilst behavioural finance models play the least role. This research recommends an integrated portfolio management strategy that incorporates MPT, traditional portfolio theory and behavioural finance models to enhance investor value and protection.
- Full Text:
- Date Issued: 2005
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