Evaluation of traditional and residual momentum strategies during the Covid period on the Johannesburg Stock Exchange
- Authors: Yengwa, Mphathi Lubabalo
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462834 , vital:76339
- Description: Traditional momentum is a concept which was first discovered by Jegadeesh and Titman (1993), defined as a tendency of stocks to experience a continuation in their relative performance. A stock that performed relatively well will continue to perform relatively well, and vice versa. It has been observed by other researchers that during market crises, traditional momentum tends to produce large negative returns for investors, defined as a momentum crash. To mitigate momentum crashes, many researchers have developed new momentum strategies which have better performance than traditional momentum during market crises; such strategies include residual momentum. While both residual and traditional momentum have been studied in international markets and locally, the performance of both the residual and traditional momentum strategies have not been examined in the most recent Covid-fuelled financial crisis on the Johannesburg Stock Exchange. The study compares the performance of hypothetical long-only winner traditional and residual momentum portfolios (from 2018–2022) using various risk metrics, which include the tracking error, Sharpe ratio, Jensen’s alpha and information ratio. To compare the statistical significance of the difference in mean returns of residual and traditional momentum strategies to the benchmark (FTSE/Johannesburg Stock Exchange (JSE) Top 40) the study uses Welch’s t-test. The study uses an Auto regressive distributed lag (ARDL) regression to examine the effect that various market conditions (bull market, bear market and extreme volatility) have on the returns of residual and traditional momentum strategies. Given the limited period examined in this study, the Monte Carlo simulation was used to extrapolate potential outcomes of how the momentum strategies might perform under different market conditions (as mentioned) in 1 000 iterations of each condition. The simple return analysis undertaken in this research revealed that traditional momentum outperformed residual momentum both before and throughout the COVID period. In the risk-adjusted performance measures, traditional momentum outperformed at all four risk indicators during the 2020 COVID year. The statistical significance tests, which compared the strategies' mean returns to the benchmark, demonstrated no statistically significant difference in returns over the COVID year. Furthermore, when evaluating the strategies over a five-year period (2018-2022), the difference in mean returns was shown to be statistically insignificant. However, statistical significance in returns was shown in some individual years. The ARDL regression findings show that bull, bear, and volatility factors explain relatively little of the returns for both momentum strategies, which is consistent with previous research. The Monte Carlo simulation, using the bear variable, forecasted that traditional momentum would result in negative returns during market declines, but residual momentum would provide positive returns and surpass traditional momentum with a probability of 26%. When using the bull variable, the simulation discovered that both traditional and residual momentum strategies resulted in positive returns. However, the residual momentum strategy outperformed in terms of returns and had an 84% likelihood of outperforming the traditional momentum strategy across 1,000 iterations. Nevertheless, when the simulation included the volatility variable, it projected negative returns for residual momentum and positive returns for traditional momentum. Additionally, it estimated a 14% probability of residual momentum surpassing traditional momentum under volatile market circumstances. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
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- Date Issued: 2024-10-11
The development of mobile money services and financial inclusion in Zimbabwe
- Authors: Chingono, Kudzaishe Emily
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462691 , vital:76326
- Description: Purpose- The use of mobile phones in Zimbabwe fostered the development of various financial innovations, such as mobile money services. It is important to note that the use of mobile money services in Zimbabwe has gradually increased. This study was carried out to determine the relationship between the development of mobile money services and financial inclusion in Zimbabwe. The main goal was to determine if there is a correlation between financial inclusion and the development of mobile money services. Design and Methodological approach: This study used a quantitative research design in which time series data was used to generate the analysis. The data used in the study covered a period of 20 years, starting from 2000 to 2020 on a yearly basis. Auto Regressive Distributed Lag (ARDL) Model was used to analyze the relationship. Findings: The ARDL study results showed that in the long run, there is no statistically significant correlation between the development of mobile money services and financial inclusion, and this is suggested by the long-term relationship between the two variables over a period of 20 years. In the short run, the study findings showed that the development of mobile money services have a positive significant influence on financial inclusion with. Therefore, increase in mobile money usage was associated with increase in financial inclusion. Between the period 2000 and 2020, the major determinants of mobile moneys services are age, number of ATMs, financial literacy, income level and mobile phone penetration. The tests also showed that these variables significantly and positively influenced use of mobile money as a financial inclusion tool in Zimbabwe (p<.05). Research Limitations: The study did not find a lot of current relevant literature that would explain the relationship between mobile money services and financial inclusion. Majority of the work was carried out in other countries, and little was covered in Zimbabwe. Practical Implications: The study results implies that government should put in place measure to ensure the expansion of mobile money services in the rural areas. The mobile telecommunication firms should ensure increased mobile phone penetration. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
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- Date Issued: 2024-10-11
The impact of corruption on stock market performance : evidence from BRICS
- Authors: Kapase, Siphe
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462724 , vital:76329
- Description: This thesis examines the impact of corruption perception on stock market performance across BRICS nations from 2010 to 2022 using a primarily quantitative approach. Grounded in theoretical frameworks such as Corruption as Grease, Corruption as Sand, and New Institutional Economics, the study employs the Panel Autoregressive Distributed Lag (ARDL) model. It explores how corruption perceptions influence stock market capitalization (MCAP) over various time horizons. It utilizes empirical data and advanced techniques like unit root testing and cointegration tests to provide insights into short-term fluctuations and long-term trends in financial markets. The findings reveal significant long-term negative effects of the corruption perception index (CPI) on MCAP. Higher levels of perceived corruption correlate with lower stock market capitalization over extended periods, underscoring the persistent impact of institutional weaknesses on market stability. Short-term analyses show varying adjustment speeds towards equilibrium among BRICS nations, reflecting different economic contexts and policy responses to corruption. The findings suggest that investors should focus on markets with lower corruption perceptions for better stock market performance and advise policymakers to enhance transparency to build more resilient financial markets. Future research should continue to explore the impact of corruption on BRICS nations. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
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- Date Issued: 2024-10-11
The impact of Fintech firms on bank performance: analysing the South African case (2009-2021)
- Authors: Runyowa, Simon Simbarashe
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462812 , vital:76337
- Description: The growth of the Fintech Firm sector globally was inevitable, given the changes in consumer behaviour, expectations, and the ever-changing and evolving nature of technology. The sector saw a sharp increase during the 2008 Global Financial Crisis and was driven by digital payments, government policy, less stringent regulation, and technological innovation. Unsurprisingly, South Africa was home to a mature and developing Fintech sector primarily driven by money transfers and mobile payments putting Fintech firms in the same market segment as traditional banks but with a more extensive potential customer base through offering easily accessible and lower-cost services. The relationship between the growth of the Fintech firm sector and Bank performance was widely researched within the literature with varying results. The study aimed to add to the body of literature and determine the nature of this relationship in the South African context. The study primarily aimed to determine the relationship and impact of the growth of the Fintech firm payments segment on the performance of the South African Banking sector. Additionally, the study aimed to measure the sector's growth by creating a Fintech Growth Index. Using the Ordinary Least Squares, Fixed Effect and the Generalized Method of Moments estimation techniques, estimations between Bank performance variables and the Fintech growth Index were analysed between 2009 and 2021. Firstly, the study found the growth of the Fintech payments segment to be positive. Secondly, the study found that the growth of the payment segment had a negative relationship and impact on the financial performance of South African banks. The findings of this study have implications for the development and regulatory framework of the South African Fintech sector as well as its interaction with the South African banking sector. Furthermore, policymakers may find that the growth of the Fintech Firm sector has overall positive benefits for financial inclusion for South African consumers. The study recommended that future research be taken to address the gap in the literature regarding the growth of the South African Fintech sector. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
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- Date Issued: 2024-10-11
The relationship between financial sector deepening and income inequality in South Africa
- Authors: Mandleni, Siyanda
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462790 , vital:76335
- Description: This research analyzes the relationship between financial sector deepening and income inequality in South Africa from 1980 to 2019, using data from the World Bank Database and the Standardized World Income Inequality Database. An autoregressive distributed lag (ARDL) model is used to explore both the long- and short-run relationships that exist between these variables. Additionally, control variables like GDP, inflation, and structural changes that occurred, which include 1994 and 2005 are considered. According to the findings, the financial sector exacerbates income inequality in the long run. These findings highlight the need for policymakers to prioritize inclusive financial sector reforms. One recommendation is to enhance the access of Small, Medium, and Micro Enterprises (SMMEs) to formal financial services. For example, promoting more black industrialists and SMMEs in the supply of financial products and services. Possible reforms may include adjusting credit requirements for different income groups or offering lower interest rates on loans for businesses. Ensuring that more financial sector gains are retained within black communities can foster inclusive growth by generating jobs and ensuring a more equitable distribution of income. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
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- Date Issued: 2024-10-11
The stock market and the business cycle in South Africa
- Authors: Pokoo, Patience
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462801 , vital:76336
- Description: The relationship between the stock market and economic activity has long been a topic for research. Several studies done in both advanced and emerging economies including South Africa before COVID-19 found stock market prices predict the cycle of real economic activity and some found it to be the reversal. Therefore, this Study seeks to examine this topic and will extend beyond the post-covid period exploring the relationship between the stock market (proxied by the JSE All-Share Index) and the business cycle (represented by the Coincident Business Cycle Indicator of the SARB) in South Africa. The study also investigates if the relationship between the stock market and the business cycle is homogenous across the three selected sectors of the JSE using a combination of the “financial accelerator theory”, the “wealth effect theory”, the “traditional valuation model of stock prices”, the “stock prices as aggregators of expectations”, and the “cost of raising equity capital”. The Econometrics models employed include time-series and panel cointegration techniques, relying on the ARDL estimation model and a Granger-Causality Test. The findings of this study indicate that a long-run relationship exists between the stock market and the business cycle in South Africa. The findings support the notion that the stock market predicts economic activity, and this relationship is assumed to be homogenous across the selected Sectors of the JSE (namely, Resources, Financials, and Industrials). Again, the Granger-Causality Test confirms the relationship between the stock market and the business cycle in South Africa to be unidirectional. It is recommended that since the stock market affects South African economic activity positively in the long run which is consistent with findings of similar studies done on the JSE, the South African Reserve Bank (SARB) must strengthen existing policy to ensure financial system stability and sustainable economic growth in South Africa. Again, the stock market being a leading indicator of the business cycle is something different. As a recommendation, we need to look at ways to use the prediction ability in a business setting. Investors and Portfolio Managers can follow trends of the stock market to forecast the direction of the future economy to make educated decisions to hedge their investments and diversify their portfolios against huge losses in crises such as the Financial Crises and the Global Health Crisis (COVID-19), however, with the caveat that the stock market does not always accurately predict the business cycle. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
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- Date Issued: 2024-10-11
The relationship between Environmental, Social, Governance (ESG) and Corporate Financial Performance (CFP)
- Authors: Bendeman, Justin John
- Date: 2024-04-03
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/434701 , vital:73097
- Description: Restricted access. Expected release date 2025. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
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- Date Issued: 2024-04-03