Cointegration in equity markets: a comparison between South African and major developed and emerging markets
- Authors: Petrov, Pavel
- Date: 2011
- Subjects: Cointegration Stock exchanges -- South Africa Stock exchanges -- Developing countries Stock exchanges -- Developed countries South Africa -- Economic conditions Portfolio management -- South Africa Econometrics Autoregression (Statistics)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:5575 , http://hdl.handle.net/10962/d1005539
- Description: Cointegration has important implications for portfolio diversification. One of these is that in order to spread risk it is advisable to invest in markets that are not cointegrated. Over the last several decades communication technology has made the world a smaller place and hence cointegration in equity markets has become more prevalent. The bulk of research into cointegration focuses on developed and Asian markets, with little research been done on African markets. This study compares the Engle-Granger and Johansen tests for cointegration and uses them to calculate the level of cointegration between South African and other global equity markets. Each market is compared pair-wise with South Africa and the results have been that in general South Africa is cointegrated with other emerging markets but not really with African nor developed markets. Short-run analysis with the error correction was carried out and showed that in general markets respond slowly to any disequilibrium. Innovation accounting methods showed that the country placed first in Cholesky ordering dominates the other one. Multivariate cointegration was carried out using three selections of 4, 6 and 8 market portfolios. One of the markets was SA and the others were all chosen based on the criteria that they are not pair-wise cointegrated with SA. The level of cointegration varied depending on the portfolios, as did the error correction rates, impulse responses and variance decomposition. The one constant was that the USA dominated any portfolio where it was introduced. Recommendations were finally made about which market portfolio an investor should consider as most favourable.
- Full Text:
- Date Issued: 2011
- Authors: Petrov, Pavel
- Date: 2011
- Subjects: Cointegration Stock exchanges -- South Africa Stock exchanges -- Developing countries Stock exchanges -- Developed countries South Africa -- Economic conditions Portfolio management -- South Africa Econometrics Autoregression (Statistics)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:5575 , http://hdl.handle.net/10962/d1005539
- Description: Cointegration has important implications for portfolio diversification. One of these is that in order to spread risk it is advisable to invest in markets that are not cointegrated. Over the last several decades communication technology has made the world a smaller place and hence cointegration in equity markets has become more prevalent. The bulk of research into cointegration focuses on developed and Asian markets, with little research been done on African markets. This study compares the Engle-Granger and Johansen tests for cointegration and uses them to calculate the level of cointegration between South African and other global equity markets. Each market is compared pair-wise with South Africa and the results have been that in general South Africa is cointegrated with other emerging markets but not really with African nor developed markets. Short-run analysis with the error correction was carried out and showed that in general markets respond slowly to any disequilibrium. Innovation accounting methods showed that the country placed first in Cholesky ordering dominates the other one. Multivariate cointegration was carried out using three selections of 4, 6 and 8 market portfolios. One of the markets was SA and the others were all chosen based on the criteria that they are not pair-wise cointegrated with SA. The level of cointegration varied depending on the portfolios, as did the error correction rates, impulse responses and variance decomposition. The one constant was that the USA dominated any portfolio where it was introduced. Recommendations were finally made about which market portfolio an investor should consider as most favourable.
- Full Text:
- Date Issued: 2011
Statistical analyses of artificial waterpoints: their effect on the herbaceous and woody structure composition within the Kruger National Park
- Authors: Goodall, Victoria Lucy
- Date: 2007
- Subjects: South African National Parks , Ecology -- Statistical methods , Regression analysis , Log-linear models , Game reserves -- South Africa , Kruger National Park (South Africa)
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5570 , http://hdl.handle.net/10962/d1002810 , South African National Parks , Ecology -- Statistical methods , Regression analysis , Log-linear models , Game reserves -- South Africa , Kruger National Park (South Africa)
- Description: The objective of this project is to link the statistical theory used in the ecological sciences with an actual project that was developed for the South African National Parks Scientific Services. It investigates the changes that have occurred in the herbaceous and woody structure due to the closure of artificial waterpoints; including the impacts that elephants and other herbivores have on the vegetation of the Kruger National Park. This project was designed in conjunction with South African National Parks (SANP) Scientific Services and it is a registered project with this department. The results of this project will be submitted to Scientific Services in accordance with the terms and conditions of a SANP research project. A major concern within the KNP is the declining numbers of rare antelope and numerous projects have been developed to investigate possible ways of halting this decline and thus protecting the heterogeneity of the Kruger National Park. Three different datasets were investigated, covering three aspects of vegetation structure and composition within the KNP. The first investigated the changes that have occurred since the N'washitsumbe enclosure in the Far Northern KNP was fenced off from the rest of the park. The results show that over the 40 years since the enclosure was built, changes have occurred which have resulted in a significant difference in the abundance of Increaser 2 and Decreaser grass species between the inside and the outside of the enclosure. Increaser 2 and Decreaser categories are the result of a grass species classification depending on whether the species thrives or is depressed by heavy grazing. The difference in grass species composition and structure between the inside and the outside of the enclosure indicates that the grazing animals within the KNP have influenced the grass composition in a way that favours the dominant animals. This has resulted in a declining roan antelope population - one of the species that is considered as a 'rare antelope'. Many artificial waterpoints (boreholes and dams) have also been closed throughout the KNP in the hope of resulting in a change in vegetation structure and composition in favour of the roan. Veld condition assessment data for 87 boreholes throughout the Park was analyzed to determine whether the veld in the vicinity is beginning to change towards a more Decreaser dominated sward which would favour the roan. The results were analyzed for the different regions of the Park; and they indicate that changes are becoming evident; however, the results are not particularly conclusive, yet. The majority of the boreholes were closed between 1994 and 1998 which means that not a lot of data were available to be analyzed. A similar study conducted in another 10 years time might reveal more meaningful results. However the results are moving in the direction hoped for by the management of the KNP. The results show that the grass composition has a higher proportion of Decreaser grasses since the closure of the waterpoints, and the grass biomass around these areas has also improved. The results were analyzed on an individual basis; and then on a regional basis as the minimal data meant that the individual analyses did not provide any significant results. A third study was then done on the impact that the rapidly increasing elephant population on the vegetation within the Riparian zone along three rivers in the Far Northern region of the KNP. The riparian zone is an important part of the landscape, in terms of providing food for many animals as well as shade. The elephant population has increased substantially since the termination of the culling program and this means that the feeding requirements of the population has increased which could result in severe damage upon the vegetation, as elephants can be very destructive feeders. The results show surprising differences between the three years of data that were analyzed; however the results indicate that the elephants are targeting specific height ranges of trees when feeding; however they do not seem to consistently target specific tree species. This is positive for the diversity of the Riparian zone as this region is very important both ecologically and aesthetically for the tourists who visit the Park.
- Full Text:
- Date Issued: 2007
- Authors: Goodall, Victoria Lucy
- Date: 2007
- Subjects: South African National Parks , Ecology -- Statistical methods , Regression analysis , Log-linear models , Game reserves -- South Africa , Kruger National Park (South Africa)
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5570 , http://hdl.handle.net/10962/d1002810 , South African National Parks , Ecology -- Statistical methods , Regression analysis , Log-linear models , Game reserves -- South Africa , Kruger National Park (South Africa)
- Description: The objective of this project is to link the statistical theory used in the ecological sciences with an actual project that was developed for the South African National Parks Scientific Services. It investigates the changes that have occurred in the herbaceous and woody structure due to the closure of artificial waterpoints; including the impacts that elephants and other herbivores have on the vegetation of the Kruger National Park. This project was designed in conjunction with South African National Parks (SANP) Scientific Services and it is a registered project with this department. The results of this project will be submitted to Scientific Services in accordance with the terms and conditions of a SANP research project. A major concern within the KNP is the declining numbers of rare antelope and numerous projects have been developed to investigate possible ways of halting this decline and thus protecting the heterogeneity of the Kruger National Park. Three different datasets were investigated, covering three aspects of vegetation structure and composition within the KNP. The first investigated the changes that have occurred since the N'washitsumbe enclosure in the Far Northern KNP was fenced off from the rest of the park. The results show that over the 40 years since the enclosure was built, changes have occurred which have resulted in a significant difference in the abundance of Increaser 2 and Decreaser grass species between the inside and the outside of the enclosure. Increaser 2 and Decreaser categories are the result of a grass species classification depending on whether the species thrives or is depressed by heavy grazing. The difference in grass species composition and structure between the inside and the outside of the enclosure indicates that the grazing animals within the KNP have influenced the grass composition in a way that favours the dominant animals. This has resulted in a declining roan antelope population - one of the species that is considered as a 'rare antelope'. Many artificial waterpoints (boreholes and dams) have also been closed throughout the KNP in the hope of resulting in a change in vegetation structure and composition in favour of the roan. Veld condition assessment data for 87 boreholes throughout the Park was analyzed to determine whether the veld in the vicinity is beginning to change towards a more Decreaser dominated sward which would favour the roan. The results were analyzed for the different regions of the Park; and they indicate that changes are becoming evident; however, the results are not particularly conclusive, yet. The majority of the boreholes were closed between 1994 and 1998 which means that not a lot of data were available to be analyzed. A similar study conducted in another 10 years time might reveal more meaningful results. However the results are moving in the direction hoped for by the management of the KNP. The results show that the grass composition has a higher proportion of Decreaser grasses since the closure of the waterpoints, and the grass biomass around these areas has also improved. The results were analyzed on an individual basis; and then on a regional basis as the minimal data meant that the individual analyses did not provide any significant results. A third study was then done on the impact that the rapidly increasing elephant population on the vegetation within the Riparian zone along three rivers in the Far Northern region of the KNP. The riparian zone is an important part of the landscape, in terms of providing food for many animals as well as shade. The elephant population has increased substantially since the termination of the culling program and this means that the feeding requirements of the population has increased which could result in severe damage upon the vegetation, as elephants can be very destructive feeders. The results show surprising differences between the three years of data that were analyzed; however the results indicate that the elephants are targeting specific height ranges of trees when feeding; however they do not seem to consistently target specific tree species. This is positive for the diversity of the Riparian zone as this region is very important both ecologically and aesthetically for the tourists who visit the Park.
- Full Text:
- Date Issued: 2007
The development of a cultural family business model of good governance for Greek family businesses in South Africa
- Adendorff, Christian Michael
- Authors: Adendorff, Christian Michael
- Date: 2005
- Subjects: Family-owned business enterprises -- South Africa Greeks -- South Africa Greeks -- South Africa -- Social life and customs Corporate governance -- South Africa South Africa -- Economic conditions
- Language: English
- Type: Thesis , Doctoral , PhD
- Identifier: vital:1163 , http://hdl.handle.net/10962/d1002779
- Description: Never in the history of the South African nation has the entrepreneurial spirit been more alive. Since the opening of international doors, after the 1994 elections, South Africa has experienced the explosive growth of transnational entrepreneurship. An enduring aspect of the explosion of such economic activity is the need for "good governance" and the need for governance education in South Africa and the rest of the continent has never been greater. The size of the family business component of the South Aftican economy suggests that it is the predominant way of doing business in South Africa. Of importance to this study is the estimate that approximately 95 % of all Greek businesses in South Africa can be classified as family businesses. The sustainability of Greek family businesses requires that they maintain good governance practices that are economically and environmentally acceptable to all stakeholders. It also requires that the next generation of Greek entrepreneurs balance good governance for the businesses as well as for the family. The primary objective of this study was to identify and explore the internal factors that influence and determine good governance to ensure the survival, growth and sustainability of Greek family businesses in South Africa. The secondary research objectives pertained to the underlying dimensions of good governance and required an exploration of the different governance concerns in relation to specific South African Greek behaviour and characteristics. A theoretical model of good governance factors was proposed and tested using Structural Equation Modeling. The study found that perceived good governance in a South African Greek family business context needs to be measured in terms of three factors, namely risk control, the internal regulatory environment and the protection of the stakeholders' interest. The study dealt further with the secondary sources effecting governance for South African businesses and was based on the latest report by the King Commission. An important finding is that the cross cultural aspect of family business governance must now be considered when conducting such research as more and more emphasis is placed on the good governance of all businesses.
- Full Text:
- Date Issued: 2005
- Authors: Adendorff, Christian Michael
- Date: 2005
- Subjects: Family-owned business enterprises -- South Africa Greeks -- South Africa Greeks -- South Africa -- Social life and customs Corporate governance -- South Africa South Africa -- Economic conditions
- Language: English
- Type: Thesis , Doctoral , PhD
- Identifier: vital:1163 , http://hdl.handle.net/10962/d1002779
- Description: Never in the history of the South African nation has the entrepreneurial spirit been more alive. Since the opening of international doors, after the 1994 elections, South Africa has experienced the explosive growth of transnational entrepreneurship. An enduring aspect of the explosion of such economic activity is the need for "good governance" and the need for governance education in South Africa and the rest of the continent has never been greater. The size of the family business component of the South Aftican economy suggests that it is the predominant way of doing business in South Africa. Of importance to this study is the estimate that approximately 95 % of all Greek businesses in South Africa can be classified as family businesses. The sustainability of Greek family businesses requires that they maintain good governance practices that are economically and environmentally acceptable to all stakeholders. It also requires that the next generation of Greek entrepreneurs balance good governance for the businesses as well as for the family. The primary objective of this study was to identify and explore the internal factors that influence and determine good governance to ensure the survival, growth and sustainability of Greek family businesses in South Africa. The secondary research objectives pertained to the underlying dimensions of good governance and required an exploration of the different governance concerns in relation to specific South African Greek behaviour and characteristics. A theoretical model of good governance factors was proposed and tested using Structural Equation Modeling. The study found that perceived good governance in a South African Greek family business context needs to be measured in terms of three factors, namely risk control, the internal regulatory environment and the protection of the stakeholders' interest. The study dealt further with the secondary sources effecting governance for South African businesses and was based on the latest report by the King Commission. An important finding is that the cross cultural aspect of family business governance must now be considered when conducting such research as more and more emphasis is placed on the good governance of all businesses.
- Full Text:
- Date Issued: 2005
Rates of return to education of blacks in South Africa
- Authors: Serumaga-Zake, Philip A
- Date: 1991
- Subjects: Black people -- Education -- South Africa -- Statistics Black people -- Employment -- South Africa -- Statistics Black people -- South Africa -- Economic conditions -- Statistics
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5565 , http://hdl.handle.net/10962/d1002084
- Description: The principal objectives of this empirical study were to test the hypothesis that eduction is a major determinant of people's earnings differentials and to calculate private and social rates of return to education of blacks in South Africa excluding Transkei, Bophuthatswana, Venda and Ciskei. Basically, the data for working men and women used in the study were extracted from the 1985 current Population survey files comprising a sample representative of the black population. Lifetime earnings profiles are constructed from these data for five educational levels, namely, no schooling up to standard 1, standards 2 to 4, standards 5 to 7, standards 8 to 9 and standard 10. Schooling is assumed to account for 60% of the income differentials between these profiles, after adjustment for the differing probabilities of finding work of persons in specific age-education groups. Imputed average household outlays on schooling are taken as the private direct cost of education supplemented by estimates of per pupil spending by the various government departments responsible for black schooling for calculation of the social costs per year of primary and secondary schooling. Indirect cost in the form of imputed foregone earnings are included from standard 5 (age 15) onwards. The resulting private internal rates of return to education of males are about 16% at primary level and 24% for secondary schooling. Corresponding social rates of return are about 6% for primary and 15% for secondary education. The estimates for females indicate that between no schooling and standards 2 to 4 level, the private and social rates of return are -1% and -4% respectively, from standards 2 to 4 to standards 5 to 7 level, private returns of 12% and social returns of 4% are reported and for the remaining secondary school phases private returns of 32% and social returns of 15% are estimated. It is implied that black education is receiving minimal government financial assistance compared to those of the other population groups. The evidence of the results of the study indicates that; besides education, marital status, locational, regional and occupational variables also influence earnings differentials, the governments responsible for black education should emphasize human capital investment in relation to physical capital investment, on average more educated persons are better off than the less educated ones and with the exception of female early primary schooling, generally, it is worthwhile for an individual to undertake a certain educational programme investment
- Full Text:
- Date Issued: 1991
- Authors: Serumaga-Zake, Philip A
- Date: 1991
- Subjects: Black people -- Education -- South Africa -- Statistics Black people -- Employment -- South Africa -- Statistics Black people -- South Africa -- Economic conditions -- Statistics
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:5565 , http://hdl.handle.net/10962/d1002084
- Description: The principal objectives of this empirical study were to test the hypothesis that eduction is a major determinant of people's earnings differentials and to calculate private and social rates of return to education of blacks in South Africa excluding Transkei, Bophuthatswana, Venda and Ciskei. Basically, the data for working men and women used in the study were extracted from the 1985 current Population survey files comprising a sample representative of the black population. Lifetime earnings profiles are constructed from these data for five educational levels, namely, no schooling up to standard 1, standards 2 to 4, standards 5 to 7, standards 8 to 9 and standard 10. Schooling is assumed to account for 60% of the income differentials between these profiles, after adjustment for the differing probabilities of finding work of persons in specific age-education groups. Imputed average household outlays on schooling are taken as the private direct cost of education supplemented by estimates of per pupil spending by the various government departments responsible for black schooling for calculation of the social costs per year of primary and secondary schooling. Indirect cost in the form of imputed foregone earnings are included from standard 5 (age 15) onwards. The resulting private internal rates of return to education of males are about 16% at primary level and 24% for secondary schooling. Corresponding social rates of return are about 6% for primary and 15% for secondary education. The estimates for females indicate that between no schooling and standards 2 to 4 level, the private and social rates of return are -1% and -4% respectively, from standards 2 to 4 to standards 5 to 7 level, private returns of 12% and social returns of 4% are reported and for the remaining secondary school phases private returns of 32% and social returns of 15% are estimated. It is implied that black education is receiving minimal government financial assistance compared to those of the other population groups. The evidence of the results of the study indicates that; besides education, marital status, locational, regional and occupational variables also influence earnings differentials, the governments responsible for black education should emphasize human capital investment in relation to physical capital investment, on average more educated persons are better off than the less educated ones and with the exception of female early primary schooling, generally, it is worthwhile for an individual to undertake a certain educational programme investment
- Full Text:
- Date Issued: 1991
- «
- ‹
- 1
- ›
- »