Empirical essays in financial economics
Doctoral Thesis
2010
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University of Cape Town
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Abstract
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.
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Includes bibliographical references (leaves 156-171).
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Endi, A. 2010. Empirical essays in financial economics. University of Cape Town.