Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Modelling the long-and-short run dynamics of share price movements in the resource sector
[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 relationship...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2024
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613780852080640 |
|---|---|
| access_status_str | Open Access |
| author | Davids, Megan |
| author2 | van Rensburg, Paul |
| author_browse | Davids, Megan van Rensburg, Paul |
| author_facet | van Rensburg, Paul Davids, Megan |
| author_sort | Davids, Megan |
| collection | Thesis |
| description | [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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/40149 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:41:35.765Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/40149 Modelling the long-and-short run dynamics of share price movements in the resource sector Davids, Megan van Rensburg, Paul Economics [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. 2024-07-02T10:03:23Z 2024-07-02T10:03:23Z 2005 2024-06-25T13:16:50Z Thesis / Dissertation Masters MSc http://hdl.handle.net/11427/40149 eng application/pdf School of Economics Faculty of Commerce |
| spellingShingle | Economics Davids, Megan Modelling the long-and-short run dynamics of share price movements in the resource sector |
| thesis_degree_str | Master's |
| title | Modelling the long-and-short run dynamics of share price movements in the resource sector |
| title_full | Modelling the long-and-short run dynamics of share price movements in the resource sector |
| title_fullStr | Modelling the long-and-short run dynamics of share price movements in the resource sector |
| title_full_unstemmed | Modelling the long-and-short run dynamics of share price movements in the resource sector |
| title_short | Modelling the long-and-short run dynamics of share price movements in the resource sector |
| title_sort | modelling the long and short run dynamics of share price movements in the resource sector |
| topic | Economics |
| url | http://hdl.handle.net/11427/40149 |
| work_keys_str_mv | AT davidsmegan modellingthelongandshortrundynamicsofsharepricemovementsintheresourcesector |