Empirical essays in financial economics

Paper 1 focuses on implied volatility estimation and investigates the volatility smile in a South African context with fourteen stocks listed on JSE Limited and fifty-nine options on these underlying stocks for the period April 4, 2002 to November 8, 2008. Paper 2 uses an empirical approach, based on the CAPM model, to study the risk and return relationships of A shares (available for domestic investors) and B shares (available for foreign investors) in the Shanghai Stock Exchange. Paper 3 takes an empirical approach to examine and compare three different methods for measuring the trade-off between the risk and the return of trading stocks in both South Africa and China. Paper 4 suggests an empirical framework as a possible mechanism to describe asset-price bubbles.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2010

Author dc:creator

• Endi, Ali Ahmed

Advisor dc:contributor.advisor

• Abraham, Haim

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10455

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10455