Liquidity linkages between the South African bond and equity markets
- Authors: Magagula, Sifiso Charles
- Date: 2014
- Subjects: Financial crises , Global Financial Crisis, 2000-2008 , Financial risk management
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9029 , http://hdl.handle.net/10948/d1020758
- Description: Purpose - The study sought to examine the liquidity linkages between the South African bond and equity markets before the global financial crisis in 2008. Design/methodology/approach: The window of observation covered the period January 2000 to September 2008. In order to ensure robustness in the estimation, the study used foreign participation in the various markets as an additional measure of liquidity. The other liquidity measures considered in the study were volume and value traded of the various securities respectively. Time series modeling techniques were used in the estimation. An unrestricted vector autoregressive (VAR) model was estimated following which the standard innovation accounting techniques, impulse response functions and forecast error variance decompositions were applied. In the empirical analysis, the Granger-causality between the two markets was also used. Findings - While all the liquidity measures suggest the existence of linkages between the bond and equity markets, the direction of causality was found to be unidirectional from equity to the bond market using the volume and value measures. On the other hand, the foreign participation measure of liquidity suggests bi-directional causality. The study also provides evidence of long run relationship between key macroeconomic variables such as inflation, exchange rate and interest rate on one hand and liquidity in the debt and equity markets on the other. As empirical findings indicates that the linkages in liquidity between these markets positive, this consistent with studies conducted by Chordia et al (2003 & 2005) and Engsted and Tanggaard (2000) who found the relationship was a positive one. When volumes of trade and trade values, the study find evidence on uni-directional causality and strong bi-directional causality is evidence when foreign investor participation is used as a liquidity measure. In summary, there is a strong evidence liquidity linkage between the bond and equity market from the empirical results.
- Full Text:
- Date Issued: 2014
- Authors: Magagula, Sifiso Charles
- Date: 2014
- Subjects: Financial crises , Global Financial Crisis, 2000-2008 , Financial risk management
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9029 , http://hdl.handle.net/10948/d1020758
- Description: Purpose - The study sought to examine the liquidity linkages between the South African bond and equity markets before the global financial crisis in 2008. Design/methodology/approach: The window of observation covered the period January 2000 to September 2008. In order to ensure robustness in the estimation, the study used foreign participation in the various markets as an additional measure of liquidity. The other liquidity measures considered in the study were volume and value traded of the various securities respectively. Time series modeling techniques were used in the estimation. An unrestricted vector autoregressive (VAR) model was estimated following which the standard innovation accounting techniques, impulse response functions and forecast error variance decompositions were applied. In the empirical analysis, the Granger-causality between the two markets was also used. Findings - While all the liquidity measures suggest the existence of linkages between the bond and equity markets, the direction of causality was found to be unidirectional from equity to the bond market using the volume and value measures. On the other hand, the foreign participation measure of liquidity suggests bi-directional causality. The study also provides evidence of long run relationship between key macroeconomic variables such as inflation, exchange rate and interest rate on one hand and liquidity in the debt and equity markets on the other. As empirical findings indicates that the linkages in liquidity between these markets positive, this consistent with studies conducted by Chordia et al (2003 & 2005) and Engsted and Tanggaard (2000) who found the relationship was a positive one. When volumes of trade and trade values, the study find evidence on uni-directional causality and strong bi-directional causality is evidence when foreign investor participation is used as a liquidity measure. In summary, there is a strong evidence liquidity linkage between the bond and equity market from the empirical results.
- Full Text:
- Date Issued: 2014
An analysis of the reporting on poverty and foreign aid in Sub-Saharan Africa before and during the current global economic crisis, in BBC online (Texts)
- Authors: Achu, Stella
- Date: 2009
- Subjects: Economic assistance -- Africa, Sub-Saharan , Poverty -- Africa, Sub-Saharan , Financial crises , Africa, Sub-Saharan -- Economic conditions
- Language: English
- Type: Thesis , Masters , MA
- Identifier: vital:8371 , http://hdl.handle.net/10948/1257 , Economic assistance -- Africa, Sub-Saharan , Poverty -- Africa, Sub-Saharan , Financial crises , Africa, Sub-Saharan -- Economic conditions
- Description: Since 1929, the world economy has not encountered any financial crisis as severe as the case of the Great Depression, until 2007 when the fall of stock markets and the collapse of large financial institutions in the United States resulted in a worldwide recession. According to an IMF report, and as a result of the direct impact of the crisis, advanced economies such as those of the United States and Europe are suffering from a systemic banking crisis with economic output expected to contract by over 1 ¾ % in 2009. (Bourdin 2009:2) Although the crisis erupted in the United States, the effects quickly spread to countries worldwide. However, its effects are said to be more devastating for the poorest regions in the world including Sub-Saharan Africa. During the last few years, prior to the crisis, many Sub-Saharan African countries had enjoyed a growth rate of over 5%. This was partly as a result of sound economic policies and increased external support in the form of debt relief and higher inflows from economically powerful countries in the West. However, with the current financial crisis, wealthy nations have been forced to concentrate on sustaining their own economy. As a result, amongst changes like tighter immigration policies, skyrocketing oil prices and food prices, foreign aid is being withdrawn. (ibid 2009:3) According to foreign media reports, donor governments and the G8 are no longer as committed to aid as before the crisis. This research paper examines the evolution of aid to Africa in view of various contexts through a broad historical economic and political economy overview, and finally corroborates these observations with a discourse analysis of a sample of BBC online articles. The research project thus investigates in this last section, the BBC’s representation of poverty and aid in Sub-Saharan Africa before and during the current global economic crisis.
- Full Text:
- Date Issued: 2009
- Authors: Achu, Stella
- Date: 2009
- Subjects: Economic assistance -- Africa, Sub-Saharan , Poverty -- Africa, Sub-Saharan , Financial crises , Africa, Sub-Saharan -- Economic conditions
- Language: English
- Type: Thesis , Masters , MA
- Identifier: vital:8371 , http://hdl.handle.net/10948/1257 , Economic assistance -- Africa, Sub-Saharan , Poverty -- Africa, Sub-Saharan , Financial crises , Africa, Sub-Saharan -- Economic conditions
- Description: Since 1929, the world economy has not encountered any financial crisis as severe as the case of the Great Depression, until 2007 when the fall of stock markets and the collapse of large financial institutions in the United States resulted in a worldwide recession. According to an IMF report, and as a result of the direct impact of the crisis, advanced economies such as those of the United States and Europe are suffering from a systemic banking crisis with economic output expected to contract by over 1 ¾ % in 2009. (Bourdin 2009:2) Although the crisis erupted in the United States, the effects quickly spread to countries worldwide. However, its effects are said to be more devastating for the poorest regions in the world including Sub-Saharan Africa. During the last few years, prior to the crisis, many Sub-Saharan African countries had enjoyed a growth rate of over 5%. This was partly as a result of sound economic policies and increased external support in the form of debt relief and higher inflows from economically powerful countries in the West. However, with the current financial crisis, wealthy nations have been forced to concentrate on sustaining their own economy. As a result, amongst changes like tighter immigration policies, skyrocketing oil prices and food prices, foreign aid is being withdrawn. (ibid 2009:3) According to foreign media reports, donor governments and the G8 are no longer as committed to aid as before the crisis. This research paper examines the evolution of aid to Africa in view of various contexts through a broad historical economic and political economy overview, and finally corroborates these observations with a discourse analysis of a sample of BBC online articles. The research project thus investigates in this last section, the BBC’s representation of poverty and aid in Sub-Saharan Africa before and during the current global economic crisis.
- Full Text:
- Date Issued: 2009
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