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The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)
The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for e...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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| Summary: | The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level. |
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