A portfolio analysis based on the leverage effect of exchange rates on JSE stocks

This research paper sets out to determine whether domestic investors, constrained by capital controls, can minimise the adverse effects of a volatile ZAR by constructing stock portfolios based on three classifications. Stocks are defined as either hedge, leverage or play, according to the currency denomination of revenues earned and costs incurred by the company. Beta coefficients are estimated for the three groups and expected returns are calculated for the different investors, which are predetermined by their future exchange rate expectations vis-a.-vis purchasing power parity (PPP).

Grantor dc:publisher.institution

School of Management Studies

Year dc:date.issued

2008

Author dc:creator

• Valverde, Sheila

Advisor dc:contributor.advisor

• Barr, DGI

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/5870

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/5870