The yield spread as a predictor for buy or sell signals for sectoral indices of the JSE
- Authors: Roeber, Christine
- Date: 2023-10-13
- Subjects: Yield curve , Rate of return South Africa , Yield spread , Interest rate , Johannesburg Stock Exchange
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/419687 , vital:71666
- Description: The predictive nature of the yield curve has been of interest to researchers for years. In this thesis, the evidence for the yield curve as a predictor is examine, specifically as a predictor for bear markets in the JSE stock market for 8 sub-sectoral indices. The study explores a dynamic market timing strategy for timing the South African stock market compared to a normal buy-and-hold strategy. First, probit models are estimated for each of the sectoral indices which did not prove to have tracked well all the bear market phases. Then a dynamic market timing portfolio is simulated against a buy-and-hold only strategy, the dynamic market timing portfolio proved to have outperformed a buy-and-hold strategy for almost all the indices. Thus, a Henriksson-Merton parametric model test which tests for market timing ability was done on these sub-indices. The research finds that the yield curve in South Africa is not a useful tool for a buy-sell strategy for most of the sub-sectoral indices of the JSE. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2023
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The impact of COVID-19 on inequality in South Africa
- Authors: Nyumbaiza, Peace Falina
- Date: 2023-03-31
- Subjects: COVID-19 Pandemic, 2020- Influence , Inequality , Labor market South Africa , Economic development South Africa , University of Cape Town. National Income Dynamics Study , Income distribution South Africa , Educational equalization South Africa
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/419514 , vital:71650
- Description: The COVID-19 pandemic has raised concerns regarding its possible adverse income distributive consequences, and its different impact according to socioeconomic subgroups (Furceri et al. 2020). This research measures the impact of COVID-19 on inequality in South Africa. To do this the study uses the National Income Dynamic Study (NIDS) wave 5 (2018) and the National Income Dynamic Study Coronavirus Rapid Mobile (NIDS-CRAM) survey waves 1 – 5 (2020 - 2021) datasets to study income inequality in South Africa prior to and during the COVID-19 pandemic until mid-2021. The factor method developed by Lerman and Yitzhaki’s (1985) is used to identify the overall contribution of the different factor sources to income inequality. Labour income is identified as the largest contributing factor and so labour income inequality is decomposed by income determinants using the regression-based decomposition method proposed by Fields (2003). The analysis reveals that labour income worsened during the periods of strictest COVID lockdown, before returning to pre-pandemic levels of inequality as lockdown was eased. Education is the most important determinant of labour income inequality across all time periods, particularly for White, urban and female participants. Although education remains a driving factor of labour income inequality during the national disaster, its contribution lessens as the economy starts recovering by March 2021. Consequently, the contributions of gender, race, age and region increase during the same period. Identifying whom the inequal impact of pandemic has affected worse offers insight that emphasizes the importance social grant systems to aid bridge the inequality gap associated with COVID-19. , Thesis (MEcon) -- Faculty of Commerce, Economics and Economics History, 2023
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The relationship between economic growth and taxation: an empirical study on optimal taxation in sub-Saharan Africa
- Authors: Kent, Bradley Athol
- Date: 2022-10-14
- Subjects: Taxation Africa, Sub-Saharan , Optimal tax , Economic development Africa, Sub-Saharan , Tax collection Africa, Sub-Saharan
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/403058 , vital:69918
- Description: The relationship between economic growth and taxation is a complex and highly debated issue, this thesis investigates whether a significant relationship can be identified, and whether it is the level that truly matters for fiscal policies aimed at being growth enhancing. Further investigation examines this relationship, in addition to testing whether there is a threshold below which tax collection may be considered ‘growth-enhancing’, and above which is negative for economic growth, and if such a threshold exists, to identify the manner in which taxation negatively impacts economic growth. The study makes use of a panel data approach to autoregressive distributed lag modelling and a generalised least squares regression. The study focuses on a panel data sample for seven (7) countries within Sub-Saharan Africa (SSA) between 1997 – 2017. It found that total tax revenue held a positive and significant relationship with economic growth at the SSA level, whilst at the individual tax level; PAYE and property taxes were found to have a negative influence on growth, with no other fiscal variables significantly influencing growth in the long run in SSA test. Whereas, when analysing at the country-specific level it was found PAYE was only significantly influencing growth in South Africa, where the relationship was found to be negative. Corporate tax revealed a similar significant negative relationship in Swaziland and Cameroon. In addition, property taxes revealed a significant and negative relationship in South Africa, yet in Rwanda the influence was positive. Overall, the study found that there is significant relationship between economic growth and taxation in the SSA context. However, when analysing the countries in isolation, no such relationship was found. , Thesis (MEcon) -- Faculty of Commerce, Economics and Economic History, 2022
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Bond market integration in the Common Monetary Area (CMA)
- Authors: Ramoriting, Retšelisitsoe Silvia
- Date: 2022-04-06
- Subjects: Globalization , Globalization Economic aspects , Bond market , Rand area , Africa, Southern Economic integration , Autoregressive distributed lag (ARDL) model
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/284592 , vital:56077
- Description: The study reviews the phenomenon of financial integration. During the late 1980s and 1990s, financial market integration around the world increased due to globalisation of investments and the need for higher returns and international risk diversification. The increase was accompanied by a significant increase in private capital flows into developing countries from developed countries. The main goal of the study is to examine bond market integration in the common monetary area The study therefore investigates the co-movement of government bond returns within the CMA using data from Eswatini, Namibia, and South Africa. The study attempts to find the short-run and long-run relationship of these government bond returns using the ARDL cointegration technique. The study uses daily data of 10-year government bond yields spanning from August 2014 to September 2019. The empirical results reveal that there exists a short-run and long-run relationship between South Africa and Eswatini. Between South Africa and Namibia, there only exist a short-run relationship. Just like the previously mentioned studies, the short-run relationship is a result of policy convergence. The lack of long-run relationship between South and Namibia was due to poor institutional developments and limited investment opportunities. In this case, policy measures (or reforms) and a review of the union are necessary to increase integration of these bond markets. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2022
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Stock market volatility during times of crisis: a comparative analysis of the conditional volatilities of JSE stock indices during the 2007/08 global financial crisis and COVID-19
- Authors: Wang, Zixiao
- Date: 2022-04-06
- Subjects: Stock exchanges , Johannesburg Stock Exchange , Global Financial Crisis, 2008-2009 , COVID-19 (Disease) Economic aspects , Economic forecasting , Stock exchanges and current events , GARCH model
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/284603 , vital:56078
- Description: This research analyses the comparative behaviour of stock market volatility during two crises. The goal of this research is to determine whether assumed cyclical and defensive sectors have either retained or revealed their expected properties during both the Global Financial Crisis (GFC) and COVID-19 by analysing sectoral volatility amid these two crises. Understanding how volatility changes amid crises helps to determine whether the volatility assumptions of diversified investment portfolios for both defensive and cyclical sectors still held given the different causes of each crisis. In turn, this knowledge can assist with risk management and portfolio allocation in stock market investments. The study can also contribute towards the enhancement of financial markets’ resistance against systemic risks through portfolio diversification, and aid government decision-making targeted at tackling the weaknesses of different economic sectors especially in times of overall economic weakness. This research makes use of the GARCH model to analyse a group of daily time series that consists of eleven sectoral indices and one benchmark index, all based on the South African stock markets. These observed series are categorised into two full sample periods, one designated to the Global Financial Crisis (January 2006 to May 2009) and the other for COVID-19 (January 2018 to May 2021). These are further divided into two sets of sub-sample periods, each made up of a pre-crisis and during-crisis. Furthermore, the dummy variables representing the occurrence of structural breaks are inserted into the full sample periods’ conditional variance equations. This is aimed at capturing the asymmetrical impact of the crises themselves on all observed series. Based on the movement of volatility persistency from pre-crisis to during-crisis for both crises, the results show that, firstly, Health Care and Consumer Goods are considered defensive Sectors. Secondly, Banks, Basic Materials, Chemicals, Telecommunications, and Financials are considered cyclical Sectors. Thirdly, Automobiles & Parts, Consumer Services, and Technology are considered indeterminable Sectors due to the inconsistent behaviour of these sectors’ volatility persistency throughout the sub-sample periods of both crises. Overall, according to the average volatility persistency, the observed series for COVID-19’s full sample period are generally less volatile than those of the GFC. However, the sub-sample periods suggest that the observed series for both pre-crisis and during-crisis periods of COVID-19 are more volatile than those same sub-samples of the Global Financial Crisis. Being able to analyse the characteristics of stock market sectors is crucial for risk management and optimal portfolio allocation of stock market investments. This can be achieved through portfolio diversification by investing in a variety of stocks, both cyclical and defensive, and adjusted over time based the needs of stock market investors. Diversified portfolios do not only serve the interests of individual investors, but can also enhance the financial markets’ overall resistance against systemic risks. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2022
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The impact of the BBB-EE policy instrument on wealth inequality : A case study on the banking sector of South Africa
- Authors: Moshikaro, Kei Kgaogelo Felia
- Date: 2021-10
- Subjects: Black Economic Empowerment (Program : South Africa) , Income distribution South Africa , South Africa Economic policy , South Africa Economic conditions 1991- , Banks and banking South Africa , South Africa. Financial Sector Regulation Act, 2017
- Language: English
- Type: Master's theses , text
- Identifier: http://hdl.handle.net/10962/191035 , vital:45052
- Description: It has been recognised that, whether measured in terms of income or wealth, South Africa remains as one of the most unequal societies in the world. Reducing these high levels of inequalities has been an important area of focus through the formulation of policy instruments by South African policy makers. Within a specific focus on the South African banking sector, the objective of this research is to ascertaining the extent to which addressing inequalities was in fact achieved through the changing of wealth ownerships under the Broad Based Black Economic Empowerment policy instrument. To contextualise, the thesis surveys literature on two stylised economic hypotheses on both income and wealth to understand the potential causes of their respective inequalities. An exploration of both income, wealth measurements and their distributions in South Africa are presented, in addition to policy instruments designed to ameliorate income and wealth inequalities in South Africa. The thesis further presents brief case studies from the literature on Brazil’s success in reducing its high income inequality and the Malaysian National Economic Policy empowerment program to effect wealth economic transformation, as comparatives to the South African experience. The thesis findings indicate that contrary to the objectives of the BBB-EE instrument and wealth transfers, the program within the banking sector resulted in highly unequal wealth shares and equally high concentration levels. The richest top one per cent of individuals participating in the BEE transactions in the banking sector captured 79 per cent of the total wealth transfers, this providing indications of extremely high concentrations of wealth. Further, wealth meaningfully cumulates at only the 50 percentage level of the wealth distribution, this additionally suggesting that wealth transfers featured less in the bottom half of the wealth distribution. The banking BBB-EE wealth Gini coefficient of 0.88 is evidence of the extremely high levels of inequality that resulted from the BBB-EE program within the banking sector. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2021
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Gender bias in the field of economics: an analysis of South African academia
- Authors: Hitchcock, Siobhan
- Date: 2020-10-30
- Subjects: Sexism South Africa , Sexism in higher education South Africa , Economics Study and teaching (Higher) South Africa , Economics teachers South Africa , Women in higher education South Africa
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/366275 , vital:65850
- Description: In recent years there has been a growing focus internationally on the low participation of females in Economics, both in academia and business. While female enrolment in higher education, including other maths-based subjects, has grown substantially, this has not been the case for Economics. Economics, particularly as one progresses through postgraduate studies to doctoral degrees now stands out as an outlier. A number of reasons have been advanced for this, including the nature of the subject, the type of people it attracts and the lack of female role models. Male and female enrolments in South African HEIs have grown between 2007 and 2017, but females have grown at a faster rate, thus increasing the female share of total enrolments to 59%. Female students are more successful and so make up an even greater proportion of South African graduates. Female enrolments and graduates are also higher than in the US. As in the US there is a significant drop off in female representation when progressing from undergraduate to postgraduate studies in South Africa. When looking at Economics in South Africa in comparison to the broad CESM categories, female enrolment in Economics Bachelor degrees is significantly lower than in Business and Humanities, but on a par with STEM subjects. At the Doctoral level, there are sharp drop offs in female enrolments for all categories. Business and Economics are the laggards at the Doctoral level, below STEM and Humanities. Furthermore, females make up a minority of academic staff in South African HEIs, with males dominating in especially the higher academic ranks. As one moves up the academic ladder, the female share decreases. This research analyses gender compositions of staff and students at South African HEIs. National data are obtained from government publications and data relating to four specific South African universities was obtained directly from the universities. Questionnaires were sent to a sample of academic staff and students who are in the field of economics to identify whether there is a role model effect for economics students and whether female academics experience the same forms of biases, discrimination, or treatment as that identified in international studies. It was concluded that while there are drop offs in the overall female representation of students at the Masters and Doctoral levels in South Africa, this share is gradually increasing. Additionally, Economics seems to perform better than what is depicted in the US, and in comparison to some STEM subjects in South Africa. Furthermore, the environment within the field of academic economics for both female students and staff seems to be more positive than what the international literature depicts for the US. But there are nonetheless different levels of satisfaction between male and female academic economists. While the student surveys revealed that female Economics students do not attach great importance to female role models, there is some evidence of correlation between the percentage of female professors and the percentage of female PhD students across a range of STEM subjects in South Africa. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2020
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The economic contribution of the tourism accommodation sector in the Karoo
- Authors: Chandler, Biddy Lee
- Date: 2013-04-06
- Subjects: Hospitality industry South Africa Karoo , Karoo (South Africa) Economic conditions , Small cities South Africa Karoo , Tourism South Africa Karoo
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/366169 , vital:65838
- Description: Tourism is not only the world’s largest traded commodity in which many countries have gained economic advantage and stability, it is also a phenomenon of great economic and social significance. Tourism’s contribution, especially within developing countries and within emerging markets like South Africa, has become increasingly significant as it has created major economic growth and has highlighted areas of potential new sustainable development. The ultimate goal of achieving an increase in GDP and the creation of new employment opportunities is enhanced through the development of tourism. Considering the importance of the above and because the impact of tourism development in small towns is of significant economic benefit, research into this field is of value. This is the core of this study. As a result of tourism demand continually changing in small towns, mostly due to globalisation, demographic changes and agricultural changes, the need to continually update tourism data to ensure that tourism products remain highly rated is vital. This requires identifying tourists’ needs and supplying exactly what tourists demand. More specifically, evaluating tourist satisfaction and dissatisfaction will give accurate indications of a destination’s ability to satisfy its tourists, which is what will encourage repeat visits. The first objective of this dissertation was to qualitatively evaluate, through determining 27 product owners’ and 206 tourists’, opinions/perceptions of the tourism product offering in the Karoo. This study examined the accommodation sector of the tourism industry within 13 small towns in the Karoo. This is a fast growing and maturing industry. The study revealed that product owners and tourists expressed a positive attitude towards the growth of tourism in the Karoo, which they said was due to its heritage and authenticity, climate, desert tourism, natural beauty, ecotourism, remoteness, peace and quiet and acting as a refuge in an unspoilt natural environment. Amongst other recommendations, this result highlighted the importance of keeping closed the ‘gap’ between the expected product/level of service and the customer’s perception of the actual product/service received, by paying special attention to each of the identified tourist benefits. Most importantly, product owners, local tourism organisations (LTOs), municipalities, the government and all tourism stakeholders need to ensure that they work efficiently and effectively through transparent and collaborative relationships to ensure that they generate the highest possible returns from tourism investment through strategies that take cognizance of the above. The second objective of this dissertation was to quantitatively evaluate the economic impact of tourism through gathering and calculating 107 tourists’ spending data and 15 product owners’ expenditure data over a six month period between December 2010 and May 2011 in Graaff-Reinet. It was found that there was an increase over time in tourist spending, which led to an increase in direct income (net injection of visitor spending) and thus there was an increase in indirect income(affecting the level of product owners’ income)in the Graaff-Reinet economy. The key calculations in this study reflected a high multiplier of 1.2and a small amount of leakage (21%);and the final tourism economic impact of the accommodation sector in Graaff-Reinet wasR8940 982.00. This implies a positive economic contribution to this town. A focus on growing the tourist market is therefore a goal worth pursuing. This study provides up-to-date, statistically valid numerical/quantitative data as well as current qualitative data. However, gathering data for a longitudinal study would be highly beneficial to determine trends of how the tourism market in small towns is developing. This field has been given minimal attention, specifically within small towns. This dissertation was thus an attempt to initiate and motivate further ongoing efforts with regards to gathering, specifically economic, tourism data. Showing the positive economic contribution, and the multiple ripple effects that attracting tourists to an area can have, and the ultimate measurable economic benefit created through having a strong multiplier effect, will hopefully encourage all stakeholders to be confident and take the tourism industry more seriously. This highlights the need to recognise the economic impact potential of the tourism sector and to use the positive results identified in this study as a tool to lobby for tourism investment, which is unfortunately not reflected currently in many governmental programmes. Developing greater co-operation and co-ordination between the private and public sectors is needed: the most appropriate development model for the tourism industry being government led, private sector driven, community based and labour conscious in order for it to reap the benefits reflected in this tourism study. , Thesis (MEcon) -- Faculty of Commerce, Economics and Economic History, 2013
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