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The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term
Mini Dissertation (MBA)--University of Pretoria, 2017.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2018
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| _version_ | 1867613506296086528 |
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| access_status_str | Open Access |
| author2 | de Carcenac, Daniel |
| author_browse | de Carcenac, Daniel |
| author_facet | de Carcenac, Daniel |
| collection | Thesis |
| dc_rights_str_mv | © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Mini Dissertation (MBA)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/64835 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:13.890Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/64835 The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term de Carcenac, Daniel ichelp@gibs.co.za Croeser, Gawie UCTD Mini Dissertation (MBA)--University of Pretoria, 2017. This report examines the effect on share prices listed on the JSE due to a sovereign downgrade announcement to non-investment status in the short term. More specifically, it tests the Index response to such an announcement; the presence of information leakage prior to the announcement date; the extent to which each industry was affected; and how each sector within the financial industry responded to the announcement. Actual returns were statistically tested for validity and reliability where after an event study methodology approach was followed. The event window was defined as from 30 days prior to 30 days after the announcement date. Abnormal cumulative average abnormal returns were then tested for significance at various confidence intervals. The confidence intervals were constructed by means of a Monte Carlo bootstrap simulation. The findings show that the JSE was indeed affected by the non-investment grade credit rating announcement during the event window. No concrete evidence could be found for the presence of information leakage prior to the event and is as due to the occurrence of various related and unrelated news events preceding the announcement. The study furthermore indicates that in comparison to other industries the financial industry was affected the most severely. The analysis concludes by investigating each sector within the financial industry and found that the banking sector was affected to the greatest extend. pa2018 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2018-05-11T09:02:34Z 2018-05-11T09:02:34Z 30-03-18 2017 Mini Dissertation Croeser, G 2017, The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/64835> http://hdl.handle.net/2263/64835 en © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term |
| title | The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term |
| title_full | The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term |
| title_fullStr | The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term |
| title_full_unstemmed | The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term |
| title_short | The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term |
| title_sort | effect on share prices listed on the jse due to a non investment grade announcement in the short term |
| topic | UCTD |
| url | http://hdl.handle.net/2263/64835 |