Burgernomics: Raw BMI vs Adjusted BMI. A comparative analysis of appropriate exchange rate valuation measures
- Authors: Gumedze, Siyanda Nakiwe Nomfundo
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462702 , vital:76327
- Description: The Big Mac Index was developed in 1986 by The Economist magazine as a playful take on the Purchasing Power Parity theory. Its purpose is to indicate whether a currency is overpriced or undervalued in relation to the real exchange rate and whether it can be used as a reliable indicator of exchange rate predictions. There are two versions of the Big Mac Index: the raw Big Mac Index and the adjusted Big Mac Index. If appropriate, this index might be developed into an economic theory that can be applied to corporate finance, international trade, and international finance. To determine which Big Mac Index measure is a better indicator of exchange rate valuation, a comparison analysis was conducted. This study set out to determine how well the adjusted Big Mac Index performed as a gauge for exchange rate valuation. The research then compares the two Big Mac Index measures' ability to anticipate future exchange rates in order to determine which is more accurate. Data from the South African Reserve Bank and The Economist databases covering 37 nations from 2000 to 2022 were used for the analysis. Exchange rate misalignment trends were assessed globally, and the results indicated that the adjusted BMI was a more accurate measure of purchasing power. Tests of correlation revealed that there was a positive association between the real exchange rate and the Big Mac Index. Findings from a panel ARDL Model indicated that taking into consideration country-specific GDP variations and group heterogeneity can enhance the real exchange rates' ability to predict the raw BMI. The research also focused on the South African Rand to ascertain whether the Big Mac Index validates the Purchasing Power Parity theoretical framework. Using cointegration tests and graphic analysis, it was possible to find evidence for a cointegrating relationship between the real exchange rate and the Big Mac Index measures during the last 20 years. Additionally, a positive correlation between the modified Big Mac Index and terms of trade was discovered in the results, confirming the hypothesis that the Big Mac Index satisfies current account assumptions. Finally, a VEC model demonstrated that the modified BMI outperforms the raw BMI in terms of forecasting estimates. Overall, the study found that the Big Mac Index is more than a bit of fun as per its origin. The results showed that the adjusted Big Mac Index has practical applications and the potential to be considered as an economic theory. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-10-11
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
- Full Text:
- Date Issued: 2024-10-11
Relationship between oil price changes and the South African stock market returns: a nonlinear ARDL analysis
- Authors: Habana, Athenkosi
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462713 , vital:76328
- Description: Understanding the factors that influence oil price volatility and how they affect the stock market is crucial for decision-making, planning, and forecasting by governments, companies, and individuals. The aim of this study is to analyze the relationship between oil prices and stock market returns of selected JSE stock indices. A nonlinear ARDL model is used to study the interaction between changes in oil prices and the South African stock market. Monthly data covering the period from January 2010 to December 2022 is utilized in the study. The main findings of the study show that in the short run negative changes in oil prices have a statistically significant positive impact that on stock returns of the All-Share, Financials and Resources indices, while it is insignificant for the Industrials index stock returns. On the other hand, positive changes in oil prices have a negative and insignificant impact on all the stock returns of the indices. Therefore, in the short-run there is no nonlinear relationship between oil prices and the stock returns of the indices. In the long-run, the impact of oil prices on stock returns of the All Share, Financials and Resources indices is nonlinear or asymmetric. The impact of oil price changes on the stock indices varies across the indices. An increase in oil prices has a negative and statistically significant impact on stock returns of the All Share, Financials and Resources index. Conversely, a decrease in oil prices has a positive and significant impact on All Share, Financials and Resources index stock returns in the long-run. The impact of positive and negative changes in oil prices is insignificant for the Industrials index stock returns. Therefore, these finding makes it possible for investors or portfolio managers to better mitigate the negative consequences of unforeseen events and adapt their investment plans to hedge against variations in the price of oil. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-10-11
South Africa’s financial services trade and trade potential under the African Continental Free Trade Area
- Authors: Gyan, Mawuko
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462846 , vital:76340
- Description: This study investigates the nature, importance and prospects for growth of South Africa’s trade in financial services and trade potential under the African Continental Free Trade Area (AfCFTA) Agreement. It does so by identifying and measuring the share, growth performance and some of the characteristics of South Africa’s financial services trade in the aggregate and with selected trading partners and regions. It also computes South Africa’s trade potential in financial and finance-related services trade with selected African trading partners amid the ongoing AfCFTA services trade negotiations, using trade complementarity indices (TCIs). Finally, the study estimates the effect of regional trade agreement participation on bilateral financial services trade involving African economies using a gravity model. The study employs the use of descriptive trade statistics to analyse the share and growth performance of South Africa’s services trade in the aggregate and at the sub-sector level, based on balance of payments (BOP) data for the years 2005 to 2022 from the ITC, UNCTAD and WTO Trade in Services Database. Bilateral trade data from the OECD and WTO BaTIS Database is also used in the analysis of intra-African trade. In order to investigate trade through Mode 3, information on FDI statistics is sourced from recent reports. Through analysing trade complementarity indices (TCIs), the study finds that South Africa has significant potential to increase exports of financial and finance-related services to Mauritius, Ghana and the SADC and non-TFTA regions. South Africa has significant import TCIs with the COMESA and non- TFTA regions as well as Egypt, Tunisia and Kenya. The gravity model estimation reveals that membership in African regional groupings like the AfCFTA, SADC, COMESA and the EAC have no significant positive impact as yet on intra-African financial services trade. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- 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: Mobile commerce Zimbabwe , Financial inclusion , Automated tellers , Financial literacy , Education Social aspects South Africa , Technology and older people South Africa
- 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
- Full Text:
- 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
- Full Text:
- 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
- Full Text:
- Date Issued: 2024-10-11
The impact of international investment agreements on FDI in developing countries and the implications for development policy
- Authors: Lomas, Djamella
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/463489 , vital:76413
- Description: This study investigates the impact of international investment agreements, specifically bilateral investment treaties (BITs), on inward Foreign direct investment (FDI) in recipient developing countries and the implications of such agreements for development policy. The study estimates a log-linear gravity model based on a unique dataset created to investigate whether the presence of BITs has a positive impact on inward FDI stock in 36 developing countries. The selection of countries attempts to capture a set of bilateral relationships that accounts for a significant proportion of inward FDI in developing countries. To test the hypothesis that signing BITs has a positive effect on inward FDI in developing countries it was necessary that all recipient countries be developing economies. However, investor countries are both developed and developing economies. Therefore, each bilateral FDI relationship is either between a developing recipient and developed investor country or between a developing recipient and developing investor country. For each recipient country, FDI stock data from investor countries for 2019 was obtained from the ITC’s Investment Map database (ITC, 2022). This yielded 1009 bilateral FDI relationships (observations for the dependent variable) after removing pairs for which certain explanatory variable data was not available. For the gravity model, GDP data was collected from the World Bank’s World Development Indicators Database (World Bank, 2023a), while the other traditional gravity variables were collected from the CEPII GeoDist Database (CEPII, 2011). Alongside the gravity variables, the study employs three additional control variables (two macroeconomic and one institutional) in certain specifications of the basic model, namely the exchange rate, inflation rate and an index of political stability. Data for the three additional variables was sourced from the IMF’s World Economic Outlook Database (IMF, 2022) for the macroeconomic variables and the World Bank’s Worldwide Governance Indicators Database (World Bank, 2023b) in the case of the political stability index. To examine the key question of the impact of BITs on bilateral FDI, a number of BITs dummy variables are created to investigate, firstly, whether having signed a BIT impacts on FDI in developing countries and, secondly, whether having a BIT in force significantly impacts on FDI in developing countries. Thereafter, in each case, dummy variables are created to investigate whether there is a significant difference between the impact on FDI of having a BIT signed or in force between a developed and developing country specifically, and having a BIT signed or in force between two developing countries. In order to examine the implications for development policy, the thesis analyses case studies of selected BITs between developed and developing economies, as well as those between developing economies. The texts of the BIT documents were obtained from the UNCTAD Investment Policy Hub Database (UNCTAD, 2023b). The results of the study reveal that, on average, signing and/or having a BIT in force has a significant positive impact on the inward FDI stock of the recipient developing country from the outward investor country. This positive impact is found to be even stronger in the case of BITs between developed and developing countries. However, there is no significant impact on inward FDI for BITs signed between two developing countries. The study finds that GDP of the recipient and investor country, existence of a common official language and the distance between countries all have a significant impact on FDI in the recipient developing country, and are signed as expected in the gravity literature. The existence of a common border is weakly significant in some specifications of the basic model and not significant in others. The additional control variables are all significant and signed as expected in the literature. The study contributes to the literature by distinguishing, not only between the impact of BITs signed versus BITs in force on inward FDI in developing countries, but also by distinguishing between the impact of BITs on FDI when the partners are developed and developing countries versus when both partners are developing countries. The study also finds that, in an effort to attract FDI, developing countries have signed BITs which carry obligations that extend significant protection measures to foreign investors. However, such protections are offered at the expense of sovereign interests. The study finds that this has served to significantly reduce the policy space available for developing countries to attract FDI that is aligned to their sustainable development needs. The limitations of the study are as follows. The gravity specification is cross-sectional, and a panel data approach could be recommended for future work. Furthermore, the traditional OLS gravity specification has a number of disadvantages and different types of estimator could be used in future work, software permitting. In addition, the impact on FDI of the termination of BITs could be investigated, as sufficient data is becoming available for such an approach. Finally, it is difficult to generalise from the case study analysis undertaken of specific BITs provisions because of the limited number of BITs examined in the thesis. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- 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
- Full Text:
- Date Issued: 2024-10-11
The relationship between human, social and financial capital and small and medium enterprise (SME) performance in South Africa
- Authors: Siso, Masiso Nomakha
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462823 , vital:76338
- Description: The COVID-19 pandemic has had a severe impact on developing countries, exacerbating economic stagnation, high poverty rates, and unemployment. South Africa, in particular, faces significant challenges, with a 35.3 percent unemployment rate and a 17.4 percent GDP decline in 2021. Small and Medium Enterprises (SMEs) are crucial during these economic challenges, traditionally employing a substantial workforce and contributing significantly to the GDP. Despite their importance, SMEs often struggle, with a small percentage surviving the initial two years. Limited research has been conducted on the resources and capabilities crucial for enterprise performance in South Africa. While studies in developed countries exist, few explore the relationship between resources and capabilities facilitating SME performance in developing contexts. This study focuses on human capital, bonding, bridging, and linking social capital, and financial capital as key resources and capabilities. Given the backdrop that many entrepreneurs in South Africa may not possess formal education or extensive work experience, this study contends that financial literacy—encompassing financial knowledge, behaviour, and attitude—serves as a proxy for human capital. Additionally, a notable portion of entrepreneurs in South Africa face a deficit in the skills and knowledge essential for identifying entrepreneurial opportunities. Even among those possessing these capabilities, the challenge lies in the lack of necessary resources, including social and financial capital, to effectively transform such prospects into viable new ventures. This study employed a causal research design and adopted a quantitative research approach within a post-positivist paradigm. The primary objective was to investigate the relationship between the following independent variables; human (where financial literacy was used as a proxy which consisted of financial knowledge, attitude and behaviour), bonding, bridging and linking social capital, and financial capital and the dependent variable; SME performance. An online self-administered questionnaire was used to gather data from SME owners/managers. A pilot study was undertaken, in which an electronic link to the questionnaire was sent to potential respondents. Potential respondents were identified using purposive and convenience sampling methods. Data collection yielded 334 usable responses from SME owners/managers in South Africa. After cleaning the data, the analysis examined the relationship between independent and dependent variables. Confirmatory Factor Analysis (CFA) and Cronbach Alpha Coefficient analysis were used to confirm the validity and reliability of the measurement instrument, respectively. Descriptive statistics, regression, and correlation results were reported. Furthermore, a group mean analysis, including independent sample t-tests and one-way ANOVAs, were performed to investigate potential significant differences in variables based on demographic and enterprise related variables. The findings revealed a significant positive relationship between financial capital and SME performance. This indicates that an entrepreneur's ability to access financial capital or possess financial capital contributes to the performance and success of enterprises in South Africa. This finding underscores the crucial role of financial capital in facilitating the growth and sustainability of enterprises, as it provides a buffer against unfavourable economic shocks, enables entrepreneurs to pursue more capital-intensive strategies, and affords them more time to learn and overcome challenges. Conversely, no significant relationships were found between financial knowledge, behaviour, and attitude, bonding, bridging, and linking social capital, and SME performance. This study contributes to the development of SMEs in South Africa by identifying the critical resources and capabilities essential for their survival and growth. Additionally, it offers valuable recommendations for policymakers to create a conducive environment for entrepreneurs and suggests potential educational initiatives and support structures. Furthermore, this study advocates for the exploration of innovative financing approaches to build a financial cushion and bolster resilience against economic upheavals. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-10-11
The relationship between REITS and stock market prices during periods of volatility: a Bivariate GARCH analysis
- Authors: Makara, Ntsali Audrey
- Date: 2024-10-11
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462768 , vital:76333
- Description: The relationship between real estate and the stock market is essential because they are the two most highly invested assets. In addition, examining the volatility of any asset is important for risk management and investor portfolio returns. The general motivation for analysing the relationship is that it can provide insight to policymakers and investors about the behaviour of stocks and real estate assets. The purpose of this research is to examine the relationship between Real Estate Investment Trusts (REITS) and stock prices in South Africa using daily data from 2 January 2013 to 31 May 2023. The wealth and credit effects are the two mechanisms used to interpret the relationship. The wealth effect is a mechanism that states that the causal relationship between the two markets runs from increasing stock prices which tends to increase real estate. The credit effect claims that real estate prices influence stock prices. Most of the existing literature has examined the relationship between the two markets but less attention has been given to the volatility spillover effects. Therefore, the analysis presented in this thesis extends the existing research by examining the relationship and the spillover effects between the REITs and stock markets. The study employs quantitative research methodology using the following econometric methods i)Vector Autoregression model, ii) Granger Causality Tests and Bivariate GARCH models. The study found that there is no long-run relationship between REITS and stock prices. In addition, the Granger Causality results showed a unidirectional relationship between REITs and stock prices. The results indicate the presence of a wealth effect in South Africa, meaning that changes in stock prices influence the real estate market. Moreover, the GARCH analysis found volatility spillover effects from the stock to the REITs markets. These results are helpful for policymakers and investors interested in the portfolio and risk management of the two markets. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- 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
- Full Text:
- Date Issued: 2024-10-11
Political competition and local government debt: implications for human development: A case study of Eastern Cape municipalities
- Authors: Matapuri, Fadzai Valerie
- Date: 2024-04-04
- Subjects: Local government South Africa Eastern Cape , Municipal finance South Africa Eastern Cape , Public administration South Africa Eastern Cape , Municipal services South Africa Eastern Cape , Electoral competition , Human development
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/435874 , vital:73208
- Description: South African Municipalities are currently in a precarious financial situation. The financial distress has intensified so much that local governments are on the brink of collapse. Municipalities in South Africa currently owe over 35.5 billion rands. Reports from the Auditor-General of South Africa portrayed a grim picture of the state of financial affairs in municipalities; only 33 municipalities out of 278 had received a clean audit, with over 30 billion rands in expenditure declared irregular. The report further revealed that there were numerous cases of non-compliance with key legislation in municipalities. The poor financial audits across the country have stressed the severe lack of accountability, government issues and political turmoil. Due to this state of affairs, municipalities cannot deliver services such as sanitation, electricity, and water. As a result, many service delivery protests have occurred over the years. Political factors have been highlighted as the leading cause of these local government woes. This study aims to investigate the relationship between political competition and local government debt and its effect on human development in Eastern Cape municipalities. The study used a panel data set for 32 municipalities and electoral data from 2009 to 2016. The panel vector autoregression model, generalized least squares, fixed and random effects methods were used to investigate the relationship between political competition and local government debt. The study found a positive unidirectional relationship between political competition and local debt. This was found using the normalized Herfindahl index, debt to asset, tress index, human development index, population and poverty variables. Moreover, estimated results showed that local governments in the eastern cape were characterised by a political monopoly that, in turn, increased local government debt through growth-hindering policies adopted by political leaders. Resulting in economic concentration, which hinders local economic growth and human development. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-04-04
Capital mobility and economic growth in South Africa
- Authors: Dhlamini, Nonceba Michelle
- Date: 2024-04-03
- Subjects: Capital movements South Africa , Economic development South Africa , Autoregression (Statistics) , Econometric models , Financial crises
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/434712 , vital:73098
- Description: The South African current account balance has been deteriorating over the years. An investigation of the correlation between capital mobility and economic growth is of interest as South Africa is heavily reliant on capital inflows to finance the current account deficit. This research topic is of importance as there is need to devise policies that maximise the benefits the nation derives from capital mobility. The benefits that capital flows provide economies, theoretically outweigh the disadvantages, provided that capital flows are absorbed productively. The topic is also of interest in the light of the magnitude of shocks to the South African economy such as the rand crisis, dotcom bubble, stock market bubble, inflation targeting, commodity super cycle, global financial crisis, the Covid-19 pandemic and Russo-Ukrainian War, as these shocks have translated to slower economic growth and higher levels of inflation. These shocks have equally revealed that countries need to have sound macroeconomic policies in order to survive the impact of any crises. The vision 2030 secretariat has identified capital markets as the key providers of capital required for achieving social economic blueprint. The empirical evidence locally is limited in comparison to the empirical evidence from outside of South Africa. This topic is of importance as South African studies on this topic are not as recent and this study aims to bridge that gap. Data were obtained from the South African Reserve Bank Quarterly Bulletin and the World Bank database for the period 1990 to 2022. The Autoregressive Distribution Lag model was employed in order to determine the relationship. This study relied on the supply-leading theory which posits capital markets may positively or negatively affect key indicators of economic growth. The study found that there is a positive long run relationship between net capital flows, saving-investment ratio and economic growth and a negative long run relationship between the degree of trade openness and economic growth. The findings will allow opportunity to address capital flow surges and in turn boost investor confidence. Capital flow management measures can help manage destabilizing exchange rate movements and capital flows coupled with macroprudential tools helping reduce the domestic buildup of vulnerabilities. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-04-03
Effects of household debt on economic growth in South Africa
- Authors: Bwalya, Rachael Mulenga
- Date: 2024-04-03
- Subjects: Household debt , Mortgage loans South Africa , Credit card debt , Gross domestic product South Africa , Economic growth
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/434766 , vital:73103
- Description: South Africa’s household debt relative to GDP has risen rapidly over the past decade. There is concern that high levels of household debt may decrease spending in the future and hence in the long run slow down economic growth. Thus, this study investigates the impact of household debt on growth in South Africa from 1987Q3 to 2022Q1. The research draws upon first-generation theories which include the absolute income hypothesis, life cycle hypothesis, and permanent income hypothesis, and second-generation theories which include the neo-Kaleckian model, the Super multiplier model, and the Steindl model. The impact of this relationship is assessed using a Vector Autoregressive (VAR) model, with a Toda-Yamamoto modification for some regressions. It is discovered that household debt has a positive short-term influence on economic growth, however, the influence is weak, and it decreases in the long run. Types of household debt such as credit card debt have shown to have a positive and strong influence on economic growth in South Africa from the short run to the long run, however, mortgage debt has shown weak positive influence on economic growth from the short 105 run to the long run. The study found that the growth maximizing ratios for household debt to 106 GDP ratio is 70 percent. The growth maximising credit card debt level is ZAR 72 403, in nominal terms and for mortgage debt is ZAR 5 980 000. The findings are expected to assist policymakers such as central banks and government authorities in formulating relevant policies to ensure economic sustainability through macro-prudential policy and strategies for household debt management. , Thesis (MEcon) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-04-03
Electricity demand and supply in South Africa: is nuclear energy a feasible alternative to coal for baseload energy supply in South Africa?
- Authors: Maqanda, Vuyani
- Date: 2024-04-03
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Doctoral theses , text
- Identifier: http://hdl.handle.net/10962/434802 , vital:73106 , DOI 10.21504/10962/434802
- Description: Climate change mitigation has created pressure on the energy mix choices of all countries. Highly polluting energy sources are increasingly unpopular. Renewable energy options have emerged as preferred choices for the low-emissions transition. Proponents of nuclear power have promoted the technology as a low-emissions technology by focusing on the operational phase and ignoring the other polluting phases. South Africa generated about 83% of its electricity supply from coal in 2019 and was rated as the 12th most polluting country in the world. In addition to the high pollution levels, the ageing coal fleet suffered from poor maintenance that resulted in frequent power blackouts. One of the government’s energy plans from 2010 proposed the addition of 9 600 MW of nuclear capacity by 2030. However, this plan was not implemented. This study investigates why nuclear power historically never expanded beyond a single power facility in South Africa as well as the possible future role of nuclear power in alleviating South Africa’s current electricity supply constraints and emissions commitments in the period up to 2050. Qualitative analysis is used for this study with a focus on historical document analysis and interviews with energy experts. Two research methods, case studies, and expert opinions were used in this study with data sourced from policy documents, Statistics South Africa, the World Bank, and published articles from various platforms. The Hotelling model, focusing on the impact of price differentials on energy transitions, was used as a theoretical framework. The conclusion from applying the model was that nuclear power was more expensive than the other options even when internalisation of pollution externalities was considered and therefore nuclear power could not displace the cheaper alternatives like coal based on price factors alone. The Multi-Level Perspective, working through institutions, revealed that the institutional setting did not support a transition to nuclear energy. The lack of coordination of strategies derailed the transition. The comparative case study analysis of Germany, the UK, Australia, and India reaffirmed this as countries with better coordination succeeded in transitions. Energy experts offered differing views on the feasibility of nuclear power but many agreed that South Africa should focus on technologies it has better competencies in. , Thesis (PhD) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-04-03
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
- Full Text:
- Date Issued: 2024-04-03
Yield curve and business cycle dynamics in South Africa: new evidence from a Markov switching model
- Authors: Rotich, Mercyline Chepkemoi
- Date: 2024-04-03
- Subjects: Uncatalogued
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/434739 , vital:73101
- Description: Globally, several empirical studies have demonstrated the ability of the yield spread to predict a recession in a country. In South Africa, previous studies have not only shown the yield curve's predictive power but have further demonstrated that it outperforms other commonly used variables, such as the growth rate of real money supply, changes in stock prices, and the index of leading economic indicators. However, some recent studies have shown that the yield spread (the spread between 10-year bonds and 3-month Treasury bills) gave false signals of recession. In this study, we explore the possible reasons for the false signals of the yield spread by addressing the following questions. Does the yield spread used matter? Does the measure of the business cycle used matter? And do the estimation techniques used matter? To address the first question, unlike the previous studies, this paper uses four different yield spreads- depicting short-term, medium-term, and long-term government bonds against the backdrop of a changing structure of bond holding, which reflects the increasing risk eversion of investors in South Africa. Second, the paper used different measures of business cycles, namely industrial production index, lagging, coincident, and leading economic indicators. The empirical models were estimated using both univariate and multivariate Markov switching models. As economic theory suggests, the univariate Markov switching model was used to determine if each variable exhibits a significant regime switching. The multivariate Markov switching model was estimated for each business cycle and yield spread variable, with each of the other variables serving as a non-switching explanatory variable, thereby addressing potential endogeneity concerns and the predictive power of the explanatory variable. Finally, the multivariate Markov switching model was estimated for three monthly sample periods, a full sample for 1986 to 2022, and two sub-samples – 1986 to 2009 and 2010 to 2022. This analysis consistently reveals significant regime-switching behavior across all the series thus, affirming the superiority of the regime switching model over the standard model used in previous studies. By analyzing the transition probabilities and the expected durations between these regimes, we find that including the spreads in the business cycle model improves the models’ predictability, with the medium-term bonds spread performing better than the usual long-term spread. The smoothed regime probability of the best-performing models is compared with the SARB recession dates; the two closely resemble each other, proving that the Markov switching model can help predict the turning points in the business cycle in South Africa. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-04-03
Developing a socio-economic framework for assessing the effectiveness of Expanded Public Works Programmes (EPWP): The case of the Prosopis mesquite Working for Water clearing project in the Northern Cape Province, South Africa
- Authors: Ntsonge, Sinazo
- Date: 2023-10-13
- Subjects: Public works South Africa Northern Cape Evaluation , Mesquite , South Africa. Expanded Public Works Programme , Working for Water Programme , Project management Case studies , Livelihood
- Language: English
- Type: Academic theses , Doctoral theses , text
- Identifier: http://hdl.handle.net/10962/419219 , vital:71626 , DOI 10.21504/10962/419219
- Description: The EPWP functions as a bridge between unemployment and entry into the labour market by providing work readiness skills training to its beneficiaries who receive below-market rate stipends for the short- term duration of their participation. The EPWP combines service delivery issues with social development objectives by promoting intensive manual labour in its projects. As a social protection strategy, public works programmes cater to those who do not meet the criteria to receive government social grants. As one of the programmes under the EPWP dealing with the control and eradication of invasive alien plants, the Working for Water (WfW) programme also uses intensive manual labour methods for clearing alien plant species. Although the clearing successes of WfW are well documented, the programme has focused little attention to the longer-term livelihood impacts of the temporary work and skills training provided to beneficiaries. This study suggests this could be due to a lack of the appropriate indicators to measure these outcomes. Therefore, an evaluation framework for environmental public works projects is proposed, which consists of outcome indicators to track the livelihood impact of the work experience and skills training on the beneficiaries post-participation, since the aim of these EPWP interventions is to improve beneficiaries’ labour market outcomes. The Northern Cape province’s Prosopis mesquite clearing project was used as the case study to develop and test the evaluation framework. The outcome indicators were informed by the key stakeholders’ interviews and the beneficiaries’ survey, specifically since the beneficiaries were well placed to give feedback on the benefits of the work experience and training post-participation. The combined strengths of the Sustainable Livelihoods Approach and the Capability Approach were useful for formulating the outcomes indicators, while the indicators for the inputs, activities and outputs were formulated from the key stakeholder interviews and online EPWP reports. A mixed methods approach was used and primary data were collected through key stakeholder interviews with the Prosopis mesquite clearing project managers and an online survey with some of the beneficiaries. Online EPWP reports and records obtained from WfW were used as secondary data. Data analysis used RStudio, Microsoft Excel and GraphPad Prism. The data analysis and evaluation framework indicators constituted the results section and aimed to highlight the factors that managers should focus on to achieve the desired livelihood outcomes. The proposed outcome indicators can be used to gauge the effectiveness of environmental public works’ social development interventions. The results revealed that the project budget fluctuations resulted in the Working for Water managers adopting a myopic view in administering the workdays and skills training, which diminished the livelihood impact of the Prosopis mesquite clearing project to merely a ‘make work’ project with no observable longer-term livelihood benefits. The selection input indicators and their utilisation during project activities needs to be better aligned with the desired longer-term livelihood outcomes that these environmental public works projects seek to achieve, mainly that of preparing beneficiaries for jobs in the labour market. , Thesis (PhD) -- Faculty of Commerce, Economics and Economic History, 2023
- Full Text:
- Date Issued: 2023-10-13
Examining the expenditures and retention of money of recreational fishing along the Wild Coast, South Africa
- Authors: Pyle, Michael Jonathan
- Date: 2023-10-13
- Subjects: Ecotourism South Africa , Sustainable fisheries South Africa , Wild Coast Region , Small-scale fisheries Economic aspects South Africa , Socioeconomic development , Leakage
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/419673 , vital:71665
- Description: Developing countries and rural communities rely heavily on the ocean for food, transport, and the sustainability of their livelihoods. While the economics of small-scale fisheries in rural areas have received much attention, there is generally less information on the economic contributions from recreational fisheries in these areas. South Africa’s marine recreational fishery is large and contributes to a significant amount of economic activity. However, the retention of money from recreational fishing activities in local rural economies is unknown and thus the potential developmental benefits from this sector remain unquantified. This study examined the economic contributions from recreational fishing along the Wild Coast and retention of expenditures within the local economy. A total of 109 face-to-face economic surveys were administered during the peak recreational fishing season in December 2021. Based on the results, recreational fishing in the Wild Coast has the ability to generate R 415 446 098 in economic activity annually, however only 9.5% of this is retained within local coastal economies, which diminishes the economic contributions of the fishery to the Wild Coast region. Expenditures on items stemming from the informal collection and selling of bait and seafood, domestic work and guiding were the highest locally retained expenditures within the region. 98% of all bait and seafood was harvested and sold by local gillies, with 2% being bought through hotels (n=109). The total direct economic contribution in terms of informal harvesting was estimated at R 16 077 711 for 2021 (n= 9 601). The identification of these contributions can be used to provide recommendations for local economic development strategies which can support the recreational fishery while uplifting coastal communities that should be benefitting more from the activity. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2023
- Full Text:
- Date Issued: 2023-10-13