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Political and economic events 1988 to 1998 : their impact on the specification of the nonlinear multifactor asset pricing model described by the arbitrage pricing theory for the financial and industrial sector of the Johannesburg Stock Exchange

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dc.contributor.advisor Maritz, Marius Johannes, 1960-
dc.contributor.advisor Du Toit, G. S. (Gawie S.)
dc.contributor.author Stephanou, Costas Michael
dc.date.accessioned 2015-01-23T04:24:17Z
dc.date.available 2015-01-23T04:24:17Z
dc.date.issued 1999-05
dc.identifier.citation Stephanou, Costas Michael (1999) Political and economic events 1988 to 1998 : their impact on the specification of the nonlinear multifactor asset pricing model described by the arbitrage pricing theory for the financial and industrial sector of the Johannesburg Stock Exchange, University of South Africa, Pretoria, <http://hdl.handle.net/10500/16107> en
dc.identifier.uri http://hdl.handle.net/10500/16107
dc.description.abstract The impact of political and economic events on the asset pricing model described by the arbitrage pricing theory (APTM) was examined in order to establish if they had caused any changes in its specification. It was concluded that the APTM is not stationary and that it must be continuously tested before it can be used as political and economic events can change its specification. It was also found that political events had a more direct effect on the specification of the APTM, in that their effect is more immediate, than did economic events, which influenced the APTM by first influencing the economic environment in which it operated. The conventional approach that would have evaluated important political and economic events, case by case, to determine whether they affected the linear factor model (LFM), and subsequently the APTM, could not be used since no correlation was found between the pricing of a risk factor in the LFM and its subsequent pricing in the APTM. A new approach was then followed in which a correlation with a political or economic event was sought whenever a change was detected in the specification of the APTM. This was achieved by first finding the best subset LFM, chosen for producing the highest adjusted R2 , month by month, over 87 periods from 20 October1991 to 21 June 1998, using a combination of nine prespecified risk factors (five of which were proxies for economic events and one for political events). Multivariate analysis techniques were then used to establish which risk factors were priced most often during the three equal subperiods into which the 87 periods were broken up. Using the above methodology, the researcher was able to conclude that political events changed the specification of the APTM in late 1991. After the national elections in April 1994 it was found that the acceptance of South Africa into the world economic community had again changed the specification of the APTM and the two most important factors were proxies for economic events. en
dc.format.extent 1 online resource (xiii, 138 leaves)
dc.language.iso en en
dc.subject Arbitrage pricing theory en
dc.subject Arbitrage pricing model en
dc.subject Arbitrage pricing theory model en
dc.subject Non-linear asset pricing model en
dc.subject Linear multifactor model en
dc.subject Iterated nonlinear seemingly unrelated regression en
dc.subject Nonlinear three stage least squares en
dc.subject Macroeconomic and financial factors en
dc.subject Financial and industrial sector of the JSE en
dc.subject.ddc 332.632220968
dc.subject.lcsh Johannesburg Stock Exchange en
dc.subject.lcsh Capital assets pricing model -- Effect of political and economic events on -- South Africa en
dc.subject.lcsh Arbitrage -- Mathematical models en
dc.title Political and economic events 1988 to 1998 : their impact on the specification of the nonlinear multifactor asset pricing model described by the arbitrage pricing theory for the financial and industrial sector of the Johannesburg Stock Exchange en
dc.description.department Business Leadership
dc.description.degree DBL


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  • Unisa ETD [9536]
    Electronic versions of theses and dissertations submitted to Unisa since 2003

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