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You searched for +publisher:"University of South Africa" +contributor:("Kruger, Jan"). Showing records 1 – 3 of 3 total matches.

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University of South Africa

1. Maasdorp, Denys Baillie. Evidence that weak-form capital market efficiency does not hold.

Degree: 2015, University of South Africa

It is generally accepted in academic circles that the developed country capital markets with their advanced infra-structure, depth and liquidity are at a minimum Weak-Form efficient. Since the Weak-Form EMH proposes that current security prices immediately assimilate all historical information, it therefore also implies that technical analysis (which relies on charts and analysis of past price patterns to extrapolate future price movements) would be a futile exercise. Yet technical analysis has endured over time and is still an intensively and widely used investment analysis technique. This indicates a clear disconnect between technical analysis as employed by practitioners in the market and the technical analysis methodologies utilized by academics in prior Weak-Form EMH studies. The problem is prior technical analysis Weak-Form EMH studies were burdened with methodological weaknesses which severely handicapped the profit generating potential of technical analysis and suggest that previous Weak-Form EMH research findings were erroneous in being unable to reject the null Weak- Form market efficiency hypothesis. This study addresses the problem by eliminating prior methodological weaknesses and utilizing high frequency intra-day data, the combination of qualitative and quantitative techniques and volume signals to develop a portfolio of Intermarket Momentum technical analysis strategies that generate significant excess profits. The objective of this study is therefore to provide evidence that contrary to prior research findings, the developed country capital markets are not Weak-Form efficient. The results show that the portfolio of Intermarket Momentum trading strategies generated returns in excess of the market with a significantly positive Alpha of 8.52% that allowed the rejection of the Null Hypothesis and the acceptance of the Alternative Hypothesis that the developed country capital markets are not Weak-Form efficient, thereby refuting the widely accepted EMH. Advisors/Committee Members: Kruger, Jan (advisor).

Subjects/Keywords: Efficient market hypothesis; Weak-form market efficiency; Technical analysis; Charting; Qualitative technical analysis; Quantitative mechanical rules; Intermarket analysis

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APA (6th Edition):

Maasdorp, D. B. (2015). Evidence that weak-form capital market efficiency does not hold. (Doctoral Dissertation). University of South Africa. Retrieved from http://hdl.handle.net/10500/23175

Chicago Manual of Style (16th Edition):

Maasdorp, Denys Baillie. “Evidence that weak-form capital market efficiency does not hold.” 2015. Doctoral Dissertation, University of South Africa. Accessed February 18, 2019. http://hdl.handle.net/10500/23175.

MLA Handbook (7th Edition):

Maasdorp, Denys Baillie. “Evidence that weak-form capital market efficiency does not hold.” 2015. Web. 18 Feb 2019.

Vancouver:

Maasdorp DB. Evidence that weak-form capital market efficiency does not hold. [Internet] [Doctoral dissertation]. University of South Africa; 2015. [cited 2019 Feb 18]. Available from: http://hdl.handle.net/10500/23175.

Council of Science Editors:

Maasdorp DB. Evidence that weak-form capital market efficiency does not hold. [Doctoral Dissertation]. University of South Africa; 2015. Available from: http://hdl.handle.net/10500/23175


University of South Africa

2. Tshehla, Makgopa Freddy. An empirical study of the exchange rate volatility regime for carry trade investors .

Degree: 2014, University of South Africa

The main objective of the study was to determine the exchange rate volatility regime for carry trade profitability when using the South African Rand as the target currency. The study used the Logistic Smooth Transition Regression (LSTR) model to test the uncovered interest rate parity (UIP). The Sharpe ratio and the risk adjusted forward premium were used as the transition variables. The transition variable is a function of the transition function, which is used to determine the regime for the UIP. The LSTR model is characterised by three regimes, i.e. the lower regime, the middle regime and the upper regime. The LSTR model was tested for the short-term forward rate maturity of less than one year. The results show that the UIP hypothesis holds in the middle regime for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable. Meanwhile, the UIP hypothesis does not hold for the Rand/Yen when using the Sharpe ratio as the transition variable for the forward rate maturity of one month, and it does hold for other short-term forward rate maturity of less than one year. The results for the risk adjusted forward premium as the transition variable show that the UIP hypothesis does not hold for all three currencies at various short-term forward rate maturities of less than one year. The research provides the following contributions to new knowledge: (1) Uncovered interest parity hypothesis holds in the middle regime for all periods for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable with a short-term forward rate maturity of less than one year. (2) Currency carry trade profit taking for the Rand/USD and the Rand/GBP can be achieved in the upper regime. (3) The results for the Rand/Yen are mixed, in that the UIP hypothesis does not hold for other crisis periods as a result of negative Sharpe ratios. However, for the calm periods, UIP hypothesis holds in the middle regime for the Rand/Yen for short-term forward rate maturity of more than one month but less than one year when using the Sharpe ratio as the transition variable. The overall contribution of this study is that for the South African Rand as the target currency, the UIP hypothesis holds for the short-term horizon when using the Sharpe ratio as the transition variable and that this mostly depends more on currency than on horizon. Contrary to other researchers who found that the UIP holds in the long-term maturity with higher Sharpe ratios in the upper regime, this study proved that the UIP holds in the short-term maturity horizon. Advisors/Committee Members: Kruger, Jan (advisor), Makina, Daniel (advisor).

Subjects/Keywords: Carry trade; Uncovered interest parity; Exchange rate volatility regime; Logistic smooth transition variable; Risk-adjustment forward premium; Sharpe ratio; Short-term forward rate maturity; Long-term forward rate maturity; Target currency; Funding currency

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Tshehla, M. F. (2014). An empirical study of the exchange rate volatility regime for carry trade investors . (Doctoral Dissertation). University of South Africa. Retrieved from http://hdl.handle.net/10500/14153

Chicago Manual of Style (16th Edition):

Tshehla, Makgopa Freddy. “An empirical study of the exchange rate volatility regime for carry trade investors .” 2014. Doctoral Dissertation, University of South Africa. Accessed February 18, 2019. http://hdl.handle.net/10500/14153.

MLA Handbook (7th Edition):

Tshehla, Makgopa Freddy. “An empirical study of the exchange rate volatility regime for carry trade investors .” 2014. Web. 18 Feb 2019.

Vancouver:

Tshehla MF. An empirical study of the exchange rate volatility regime for carry trade investors . [Internet] [Doctoral dissertation]. University of South Africa; 2014. [cited 2019 Feb 18]. Available from: http://hdl.handle.net/10500/14153.

Council of Science Editors:

Tshehla MF. An empirical study of the exchange rate volatility regime for carry trade investors . [Doctoral Dissertation]. University of South Africa; 2014. Available from: http://hdl.handle.net/10500/14153


University of South Africa

3. Chinoda, Muriel. A behavioural multi-criteria decision making framework for corporate climate change response .

Degree: 2013, University of South Africa

The understanding that humans are bounded in their rationality has been proven to manifest in complex decision making as a result of a limit in the amount of information available, the cognitive limitations of the mind and the amount of time available in which to make a decision. Because of this, humans have been known to appeal to heuristics and the rules of thumb (termed 'satisficing‘) when making decisions, resulting in biased probability judgments and not maximizing expected utility. Corporate application of bounded rationality is still very limited. This study builds on and advances the study and application of bounded rationality in corporate environments, using climate change response as a real-life situation, and in a circular fashion help explain some of the debates and paradoxes that agitate researchers from the climate change community. Using a mixed methods comparative case study of two organisations‘ responses to climate change, the study theorises that competitive market forces and the ability of organisations to learn from other organisations limits the levels of 'satisficing‘ in strategic decision making. Instead, the limited amount of information and the fear of the unknown cause organizations to approach the subject cautiously. A tactical interpretive climate change response framework emerges. Advisors/Committee Members: Kruger, Jan (advisor), Nhamo, Godwell (advisor).

Subjects/Keywords: Behavioural finance; Behavioural economics; Behavioural strategy; Decision making

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Chinoda, M. (2013). A behavioural multi-criteria decision making framework for corporate climate change response . (Doctoral Dissertation). University of South Africa. Retrieved from http://hdl.handle.net/10500/10457

Chicago Manual of Style (16th Edition):

Chinoda, Muriel. “A behavioural multi-criteria decision making framework for corporate climate change response .” 2013. Doctoral Dissertation, University of South Africa. Accessed February 18, 2019. http://hdl.handle.net/10500/10457.

MLA Handbook (7th Edition):

Chinoda, Muriel. “A behavioural multi-criteria decision making framework for corporate climate change response .” 2013. Web. 18 Feb 2019.

Vancouver:

Chinoda M. A behavioural multi-criteria decision making framework for corporate climate change response . [Internet] [Doctoral dissertation]. University of South Africa; 2013. [cited 2019 Feb 18]. Available from: http://hdl.handle.net/10500/10457.

Council of Science Editors:

Chinoda M. A behavioural multi-criteria decision making framework for corporate climate change response . [Doctoral Dissertation]. University of South Africa; 2013. Available from: http://hdl.handle.net/10500/10457

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