Modelling daily return variations in developing market currencies
- Authors: Howarth, Grant
- Date: 2013-07-12
- Subjects: Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1076 , http://hdl.handle.net/10962/d1008365 , Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Description: This study examines the American Dollar (USD) denominated currency returns of five developing market currencies for the presence of the day-of-the-week effect. Daily data from January 1995 to February 2008 is examined, and is split into two subperiods, SP1 (1995 - 2002) and SP2 (2003 - February 2008). Currency returns are non-normally distributed across the full data set and SP1 , but tend towards normality in SP2. As such non-parametric tests are used to test the equality of the first four moments across days of the week. Tests on the first moment show that two of the currencies do not show any evidence of the day-of-the-week effect. However, evidence of the day-of-the-week effect is found in the other three currencies in SP1, although the effect disappears or weakens significantly in SP2. Little evidence of the day-of-the-week effect is found in tests on the second moment. The hypothesis of equal higher moments across currency returns is rejected for almost all of the weekday pairs for all five currencies in SP1 , but in SP2 the hypothesis of equal higher moments can only be rejected for a single pair of weekdays for one currency. This indicates the disappearance of the day-of-the-week effect across higher moments in SP2. Thus, the study finds that the day-of-the-week effect is present across the first moment and higher moments in the returns to most currencies in SP1 , but has disappeared for all five currencies in SP2. , KMBT_363 , Adobe Acrobat 9.54 Paper Capture Plug-in
- Full Text:
- Authors: Howarth, Grant
- Date: 2013-07-12
- Subjects: Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1076 , http://hdl.handle.net/10962/d1008365 , Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Description: This study examines the American Dollar (USD) denominated currency returns of five developing market currencies for the presence of the day-of-the-week effect. Daily data from January 1995 to February 2008 is examined, and is split into two subperiods, SP1 (1995 - 2002) and SP2 (2003 - February 2008). Currency returns are non-normally distributed across the full data set and SP1 , but tend towards normality in SP2. As such non-parametric tests are used to test the equality of the first four moments across days of the week. Tests on the first moment show that two of the currencies do not show any evidence of the day-of-the-week effect. However, evidence of the day-of-the-week effect is found in the other three currencies in SP1, although the effect disappears or weakens significantly in SP2. Little evidence of the day-of-the-week effect is found in tests on the second moment. The hypothesis of equal higher moments across currency returns is rejected for almost all of the weekday pairs for all five currencies in SP1 , but in SP2 the hypothesis of equal higher moments can only be rejected for a single pair of weekdays for one currency. This indicates the disappearance of the day-of-the-week effect across higher moments in SP2. Thus, the study finds that the day-of-the-week effect is present across the first moment and higher moments in the returns to most currencies in SP1 , but has disappeared for all five currencies in SP2. , KMBT_363 , Adobe Acrobat 9.54 Paper Capture Plug-in
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An analysis of the long run comovements between financial system development and mining production in South Africa
- Authors: Ajagbe, Stephen Mayowa
- Date: 2011
- Subjects: Economic development -- South Africa , Econometric models , Mineral industries -- Economic aspects -- South Africa , South Africa -- Economic conditions , South Africa -- Economic policy , Principal components analysis , Cointegration , Stock exchanges -- South Africa , Banks and banking -- South Africa , Foreign exchange rates
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:955 , http://hdl.handle.net/10962/d1002689 , Economic development -- South Africa , Econometric models , Mineral industries -- Economic aspects -- South Africa , South Africa -- Economic conditions , South Africa -- Economic policy , Principal components analysis , Cointegration , Stock exchanges -- South Africa , Banks and banking -- South Africa , Foreign exchange rates
- Description: This study examines the nature of the relationship which exists between mining sector production and development of the financial systems in South Africa. This is particularly important in that the mining sector is considered to be one of the major contributors to the country’s overall economic growth. South Africa is also considered to have a very well developed financial system, to the point where the dominance of one over the other is difficult to identify. Therefore offering insight into the nature of this relationship will assist policy makers in identifying the most effective policies in order to ensure that the developments within the financial systems impact appropriately on the mining sector, and ultimately on the economy. In addition to using the conventional proxies of financial system development, this study utilises the principal component analysis (PCA) to construct an index for the entire financial system. The multivariate cointegration approach as proposed by Johansen (1988) and Johansen and Juselius (1990) was then used to estimate the relationship between the development of the financial systems and the mining sector production for the period 1988-2008. The study reveals mixed results for different measures of financial system development. Those involving the banking system show that a negative relationship exists between total mining production and total credit extended to the private sector, while liquid liabilities has a positive relationship. Similarly, with the stock market system, mixed results are also obtained which reveal a negative relationship between total mining production and stock market capitalisation, while a positive relationship is found with secondary market turnover. Of all the financial system variables, only that of stock market capitalisation was found to be significant. The result with the financial development index reveals that a significant negative relationship exists between financial system development and total mining sector production. Results on the other variables controlled in the estimation show that positive and significant relationships exist between total mining production and both nominal exchange rate and political stability respectively. Increased mining production therefore takes place in periods of appreciating exchange rates, and similarly in the post-apartheid era. On the other hand, negative relationships were found for both trade openness and inflation control variables. The impulse response and variance decomposition analyses showed that total mining production explains the largest amount of shocks within itself. Overall, the study reveals that the mining sector might not have benefited much from the development in the South African financial system.
- Full Text:
- Date Issued: 2011
- Authors: Ajagbe, Stephen Mayowa
- Date: 2011
- Subjects: Economic development -- South Africa , Econometric models , Mineral industries -- Economic aspects -- South Africa , South Africa -- Economic conditions , South Africa -- Economic policy , Principal components analysis , Cointegration , Stock exchanges -- South Africa , Banks and banking -- South Africa , Foreign exchange rates
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:955 , http://hdl.handle.net/10962/d1002689 , Economic development -- South Africa , Econometric models , Mineral industries -- Economic aspects -- South Africa , South Africa -- Economic conditions , South Africa -- Economic policy , Principal components analysis , Cointegration , Stock exchanges -- South Africa , Banks and banking -- South Africa , Foreign exchange rates
- Description: This study examines the nature of the relationship which exists between mining sector production and development of the financial systems in South Africa. This is particularly important in that the mining sector is considered to be one of the major contributors to the country’s overall economic growth. South Africa is also considered to have a very well developed financial system, to the point where the dominance of one over the other is difficult to identify. Therefore offering insight into the nature of this relationship will assist policy makers in identifying the most effective policies in order to ensure that the developments within the financial systems impact appropriately on the mining sector, and ultimately on the economy. In addition to using the conventional proxies of financial system development, this study utilises the principal component analysis (PCA) to construct an index for the entire financial system. The multivariate cointegration approach as proposed by Johansen (1988) and Johansen and Juselius (1990) was then used to estimate the relationship between the development of the financial systems and the mining sector production for the period 1988-2008. The study reveals mixed results for different measures of financial system development. Those involving the banking system show that a negative relationship exists between total mining production and total credit extended to the private sector, while liquid liabilities has a positive relationship. Similarly, with the stock market system, mixed results are also obtained which reveal a negative relationship between total mining production and stock market capitalisation, while a positive relationship is found with secondary market turnover. Of all the financial system variables, only that of stock market capitalisation was found to be significant. The result with the financial development index reveals that a significant negative relationship exists between financial system development and total mining sector production. Results on the other variables controlled in the estimation show that positive and significant relationships exist between total mining production and both nominal exchange rate and political stability respectively. Increased mining production therefore takes place in periods of appreciating exchange rates, and similarly in the post-apartheid era. On the other hand, negative relationships were found for both trade openness and inflation control variables. The impulse response and variance decomposition analyses showed that total mining production explains the largest amount of shocks within itself. Overall, the study reveals that the mining sector might not have benefited much from the development in the South African financial system.
- Full Text:
- Date Issued: 2011
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