Stock price fragility in an emerging market

This research project examines stock price fragility, a measure developed by Greenwood and Thesmar (2011), which serves as a proxy for non-fundamental risk i.e. it aims to isolate the drivers of stock price volatility beyond traditional fundamental drivers, in particular examining the impact of concentrated stock ownership and correlated liquidity shocks on price volatility. Here, the measure is applied to the South African financial market. Subject to data complications, it is nevertheless shown that stock price fragility is a significant predictor of total return volatility owing to the ownership structure of South African funds, even when controlling for endogeneity, autocorrelation and heteroskedasticity in the model.

Grantor dc:publisher.institution

Division of Actuarial Science

Year dc:date.issued

2013

Author dc:creator

• Nairac, Jean-Michel

Advisor dc:contributor.advisor

• Hendricks, Dieter

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10728

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10728