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Separation of precious metal beta from a JSE multivariate model with macroeconomic variables
Includes bibliographical references
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2016
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| _version_ | 1867614047480840192 |
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| access_status_str | Open Access |
| author | Mzobe, Thabani Bonginkosi |
| author2 | Holman, Glen |
| author_browse | Holman, Glen Mzobe, Thabani Bonginkosi |
| author_facet | Holman, Glen Mzobe, Thabani Bonginkosi |
| author_sort | Mzobe, Thabani Bonginkosi |
| collection | Thesis |
| description | Includes bibliographical references |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/18205 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:45:50.042Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/18205 Separation of precious metal beta from a JSE multivariate model with macroeconomic variables Mzobe, Thabani Bonginkosi Holman, Glen Financial and Risk Management Includes bibliographical references This study examines a multifactor model of the Johannesburg Stock Exchange (JSE) framed within the Arbitrage Pricing Theory (APT). The APT has been set up such that it can be able to separate the beta for the precious metal factor within the model. The process goes via the investigation of macrovariables (with precious metals used as one of the macrovariables) and their effect on market (JSE) returns. A complete analysis and modeling of this relationship is likely to yield unparalleled rewards and cost-effective risk management, monitoring and mitigation. Using monthly data for the period 31/07/2002 to 30/04/2013 the dissertation focuse d on using a market (JSE) representative index as a basis for creating a wholly functioning APT model. This included creating a more liquid representative of the JSE All Share Index (A LSI) by using the top 100 stocks by market capitalization. Principal Components Analysis (PCA) was applied to the variables to ascertain a proper model for the JSE return structure. However, in the end an appropriate econometric structure in the form of Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroscedastic (GARCH) models was used and applied to test and create the APT model to address the objective. The other purpose of this dissertation was to separate beta attributable to the precious metal macrovariable within the model. This is based on the establishment of the JSE in the late 1880s being primarily due to the discovery of precious metals in the former Transvaal (North West) and Pretoria, Witwatersrand and Vereeniging (PWV) region now Gauteng. This is to ascertain whether these metals still have as much influence on the JSE as they did for over half a century. The results show that macroeconomic variables do influence the return generating process of the JSE, explaining almost 80% of variation in returns. The results show that the ALSI is characterized by a seven factor APT with, industrial production, money supply, SA consumer price index, ZARUSD exchange rate, crude oil, MSCI ACWI and precious metals statistically significant. 2016-03-23T11:51:58Z 2016-03-23T11:51:58Z 2015 Master Thesis Masters MCom http://hdl.handle.net/11427/18205 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Financial and Risk Management Mzobe, Thabani Bonginkosi Separation of precious metal beta from a JSE multivariate model with macroeconomic variables |
| thesis_degree_str | Master's |
| title | Separation of precious metal beta from a JSE multivariate model with macroeconomic variables |
| title_full | Separation of precious metal beta from a JSE multivariate model with macroeconomic variables |
| title_fullStr | Separation of precious metal beta from a JSE multivariate model with macroeconomic variables |
| title_full_unstemmed | Separation of precious metal beta from a JSE multivariate model with macroeconomic variables |
| title_short | Separation of precious metal beta from a JSE multivariate model with macroeconomic variables |
| title_sort | separation of precious metal beta from a jse multivariate model with macroeconomic variables |
| topic | Financial and Risk Management |
| url | http://hdl.handle.net/11427/18205 |
| work_keys_str_mv | AT mzobethabanibonginkosi separationofpreciousmetalbetafromajsemultivariatemodelwithmacroeconomicvariables |