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Stock price fragility in an emerging market
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
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| _version_ | 1867613341706354688 |
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| access_status_str | Open Access |
| author | Nairac, Jean-Michel |
| author2 | Hendricks, Dieter |
| author_browse | Hendricks, Dieter Nairac, Jean-Michel |
| author_facet | Hendricks, Dieter Nairac, Jean-Michel |
| author_sort | Nairac, Jean-Michel |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10728 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:36.552Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10728 Stock price fragility in an emerging market Nairac, Jean-Michel Hendricks, Dieter Mathematical Finance Includes bibliographical references. 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. 2014-12-31T19:48:14Z 2014-12-31T19:48:14Z 2013 Master Thesis Masters MPhil http://hdl.handle.net/11427/10728 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Nairac, Jean-Michel Stock price fragility in an emerging market |
| thesis_degree_str | Master's |
| title | Stock price fragility in an emerging market |
| title_full | Stock price fragility in an emerging market |
| title_fullStr | Stock price fragility in an emerging market |
| title_full_unstemmed | Stock price fragility in an emerging market |
| title_short | Stock price fragility in an emerging market |
| title_sort | stock price fragility in an emerging market |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/10728 |
| work_keys_str_mv | AT nairacjeanmichel stockpricefragilityinanemergingmarket |