This paper examined the performance of corporate South Africa in the 2012 Carbon Disclosure Project CDP. It is motivated by the growing shift to climate performance amongst the JSE listed companies ...in South Africa; hence the paper showcases the commitment of corporations in South Africa towards carbon disclosure. It thus shows exemplary commitment by corporations in an emerging economy to curb GHG emission through disclosure. The paper compared corporate South Africa carbon disclosure performance in 2012 with the 2011 disclosure performance. First, the performance of the Johannesburg Stock Exchange (JSE) 100 carbon performance leaders were examined; and using a statistical t-test of difference in means, the paper finds that the 2012 carbon performance improved remarkably over the 2011 performance; hence the T-test indicates a significant difference in means between the 2012 and 2011 carbon performance. Secondly, the paper also examined the climate performance of the JSE 100 companies and also found a significant difference between the 2011 and 2012 performance which also depicts an improvement over the 2011 climate performance. It is perceptible that the 2011 UN Climate Conference in South Africa, coupled with the SA’s outstanding role in global climate change negotiations and the Carbon Disclosure Project is driving corporate SA to ‘walk the talk’ on climate change. In conclusion the paper highlights the need for further corporate climate initiatives, and calls on governments of developing countries to take a bold stance on climate negotiations as this is a key to encouraging the corporate toward climate friendly and carbon reduction initiatives
Using weekly data collected from 20.09.2008 to 09.12.2016, this paper uses dynamic threshold adjustment models to demonstrate how the introduction of high-frequency and algorithmic trading on the ...Johannesburg Stock Exchange (JSE) has altered convergence relations between the federal fund rate and equity returns for aggregate and disaggregate South African market indices. We particularly find that for the post-crisis period, the JSE appears to operate more efficiently, in the weak-form sense, under high frequency trading platforms.
This study investigates the effectiveness of semivariance versus mean-variance optimisation on a risk-adjusted basis on the JSE. We compare semivariance and mean-variance optimisation prior to, ...during and after the recent financial crisis period. Additionally, we investigate the inclusion of a fixed-income asset in the optimal portfolio. The results suggest that semivariance optimisation on the JSE in a pure equity case produces lower absolute returns, yet superior risk-adjusted returns. Further investigation suggests that semivariance metrics are effective within a certain range of portfolio sizes and diminishes in benefit once portfolios become larger. A fixed income asset scenario tested under the hypothesis of semivariance optimisation favoured greater bond weightings in optimal portfolios.
Can a significant technological improvement make an economically justifiable contribution to a financial market's development? The Johannesburg Stock Exchange (JSE) incorporated the SETS system from ...the London Stock Exchange in 2002. It is certain that SETS is a technologically efficient trading system, and it would undoubtedly improve trading in the JSE. We test whether SETS represents a structural break by examining whether there was an increase in the JSE's liquidity, market efficiency and international integration after the introduction of SETS. While SETS is certainly a technological improvement with increased liquidity, it is not a sufficient factor to render it efficient. After the incorporation of SETS, the JSE has become more independent and it now offers better diversification opportunities for international investors.
This article examines the quantum and persistence of abnormal returns (positive and negative) for shares that entered or left the JSE Top 40 Index during quarterly index rebalancing between 2002 and ...2013. Using an event study methodology based on the market model, we find evidence of anticipatory trading for both deletions and additions, which is, however, significant only for the former. These abnormal returns are reversed over our window period, which supports international studies indicating downward sloping share demand curves. Our findings imply informational inefficiencies that investors could use to trade profitably in anticipation of index additions or deletions.
This paper builds on Prayag and van Rensburgs (2006) study that recognised the returns that can be generated by acting on changes in consensus recommendations on the Johannesburg Stock Exchange ...(JSE). It identifies factors that influence analysts to revise their recommendations based on style anomalies, momentum strategies, and market sentiment. Findings indicate that analysts recommendations on the JSE are driven by similar factors to those in other major markets with a propensity for favouring high-growth stocks with low value multiples. The results for tests in which variables are lagged for longer periods suggest that historical price changes have a more significant impact on analyst revisions than recent changes.
It has been well documented that the empirical distribution of daily logarithmic returns from financial market variables is characterized by excess kurtosis and skewness. In order to capture such ...properties in financial data, heavy-tailed and asymmetric distributions are required to overcome shortfalls of the widely exhausted classical normality assumption. In the context of financial forecasting and risk management, the accuracy in modeling the underlying returns distribution plays a vital role. For example, risk management tools such as value-at-risk (VaR) are highly dependent on the underlying distributional assumption, with particular focus being placed at the extreme tails. Hence, identifying a distribution that best captures all aspects of the given financial data may provide vast advantages to both investors and risk managers. In this paper, we investigate major financial indices on the Johannesburg Stock Exchange (JSE) and fit their associated returns to classes of heavy tailed distributions. The relative adequacy and goodness-of-fit of these distributions are then assessed through the robustness of their respective VaR estimates. Our results indicate that the best model selection is not only variant across the indices, but also across different VaR levels and the dissimilar tails of return series.
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