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Original Articles

The influence of the NYSE of the risk of JSE stocks

 

Abstract

In this article the influence of the NYSE on the risk of securities on the JSE is investigated. A technique for obtainine. Risk coefficients which capture the sensitivity of securities on the JSE to movements on the NYSE is demonstrated. It is argued that on the basis of these coefficients, investors are able to select securities on the JSE which to some extent offer the rewards/perils attainable on the NYSE. Finally an empirical study demonstrates how the total risk of individual securities on the JSE can be decomposed to yield detailed risk diagnostics.

Additional information

Notes on contributors

D.J. Bradfield

D. Bradfield is a senior lecturer in the Department of Mathematical Statistics of the University of Cape Town

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