The effect on share prices listed on the JSE due to a non-investment grade announcement in the short term

dc.contributor.advisorde Carcenac, Daniel
dc.contributor.emailichelp@gibs.co.za
dc.contributor.postgraduateCroeser, Gawie
dc.date.accessioned2018-05-11T09:02:34Z
dc.date.available2018-05-11T09:02:34Z
dc.date.created30-03-18
dc.date.issued2017
dc.descriptionMini Dissertation (MBA)--University of Pretoria, 2017.
dc.description.abstractThis 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.
dc.description.availabilityUnrestricted
dc.description.degreeMBA
dc.description.departmentGordon Institute of Business Science (GIBS)
dc.description.librarianpa2018
dc.identifier.citationCroeser, 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>
dc.identifier.urihttp://hdl.handle.net/2263/64835
dc.language.isoen
dc.publisherUniversity of Pretoria
dc.rights© 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.
dc.subjectUCTD
dc.titleThe effect on share prices listed on the JSE due to a non-investment grade announcement in the short term
dc.typeMini Dissertation

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