Exchange rate volatility and the returns on diversified South African investment portfolios
- Authors: Mulamu, Murendeni
- Date: 2022-04-06
- Subjects: Foreign exchange rates South Africa , Rate of return , Investments , GARCH model , Regression analysis , Autoregressive distributed lag (ARDL) model
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/284581 , vital:56076
- Description: Globalisation has made it much easier to invest in foreign countries. This creates endless options accessible to investors, including exploiting opportunities for investment in international economies. Although foreign investment portfolio diversification provides significant opportunities for financial returns, exchange rate volatility may play a prominent role when investing in foreign markets. Since the introduction of a floating exchange rate system, together with the inflation-targeting monetary policy framework in South Africa, there has been significant volatility in the exchange rate, far more than during the previous dispensations. This, however, creates a strong need to consider how the unpredictable nature of the exchange rate affects these investments. The purpose of this study is to analyse the effect of exchange rate volatility on the returns on diversified South African investment portfolios. This research examined whether there is a homogenous relationship between South African (domestic) portfolios and the internationally diversified portfolios. In addition, the study investigated the long-run relationship between the exchange rate volatility and both domestic portfolios and the internationally diversified portfolios for the period 2007-2019. To achieve these goals, a panel ARDL model was employed. This study found that exchange rate volatility does not account for a significant portion of returns on investment portfolios fluctuations. Moreover, the relationship is not homogenous because returns on domestic investment portfolios react positively to the exchange rate volatility, whereas returns international investment portfolios respond negatively/positively to the exchange rate volatility depending on whether the relationship is short or long run. This study will contribute to the existing literature, and it is important for investors intending to diversify their investment portfolios both domestically and internationally using different mutual funds in South Africa. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2022
- Full Text:
- Date Issued: 2022-04-06
- Authors: Mulamu, Murendeni
- Date: 2022-04-06
- Subjects: Foreign exchange rates South Africa , Rate of return , Investments , GARCH model , Regression analysis , Autoregressive distributed lag (ARDL) model
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/284581 , vital:56076
- Description: Globalisation has made it much easier to invest in foreign countries. This creates endless options accessible to investors, including exploiting opportunities for investment in international economies. Although foreign investment portfolio diversification provides significant opportunities for financial returns, exchange rate volatility may play a prominent role when investing in foreign markets. Since the introduction of a floating exchange rate system, together with the inflation-targeting monetary policy framework in South Africa, there has been significant volatility in the exchange rate, far more than during the previous dispensations. This, however, creates a strong need to consider how the unpredictable nature of the exchange rate affects these investments. The purpose of this study is to analyse the effect of exchange rate volatility on the returns on diversified South African investment portfolios. This research examined whether there is a homogenous relationship between South African (domestic) portfolios and the internationally diversified portfolios. In addition, the study investigated the long-run relationship between the exchange rate volatility and both domestic portfolios and the internationally diversified portfolios for the period 2007-2019. To achieve these goals, a panel ARDL model was employed. This study found that exchange rate volatility does not account for a significant portion of returns on investment portfolios fluctuations. Moreover, the relationship is not homogenous because returns on domestic investment portfolios react positively to the exchange rate volatility, whereas returns international investment portfolios respond negatively/positively to the exchange rate volatility depending on whether the relationship is short or long run. This study will contribute to the existing literature, and it is important for investors intending to diversify their investment portfolios both domestically and internationally using different mutual funds in South Africa. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2022
- Full Text:
- Date Issued: 2022-04-06
The effect of foreign direct investment on economic growth in South Africa
- Authors: Mbeki, Zizipho
- Date: 2016
- Subjects: Public investments -- South Africa Economic development -- South Africa , Investments
- Language: English
- Type: Thesis , Masters , MPhil
- Identifier: http://hdl.handle.net/10948/11166 , vital:26890
- Description: The effect of FDI on economic growth is not a straight jacket. Literature has shown that the effect of FDI on economic growth can be either positive or negative. The positive effects of FDI can be caused by increase in output stimulated by new technological innovations and increase in capital flows. The negative effects could result in a ‘crowding out’ effect on domestic investments, external vulnerability and dependence, destructive competition of foreign affiliates with domestic firms, and market stealing effect due to poor absorptive capacity.This treatise will attempt to shed light on the effect foreign direct investment has on economic growth in South Africa in order to ascertain whether a positive or negative relationship exists between these two variables. This study thus aims to investigate, analyse and estimate the extent to which FDI impacts economic growth in South Africa. The findings of this research will provide policymakers, commercial businesses and scholars with relevant updated theoretical and empirical results that will assist relevant government policy makers in generating effective measures of attracting FDI if it proves to be beneficial for the host country. If the results of the study prove that FDIs do not generate positive spill over effects then the policymakers are thus obliged to formulate policies that will discourage FDIs from penetrating the host country’s economy.
- Full Text:
- Date Issued: 2016
- Authors: Mbeki, Zizipho
- Date: 2016
- Subjects: Public investments -- South Africa Economic development -- South Africa , Investments
- Language: English
- Type: Thesis , Masters , MPhil
- Identifier: http://hdl.handle.net/10948/11166 , vital:26890
- Description: The effect of FDI on economic growth is not a straight jacket. Literature has shown that the effect of FDI on economic growth can be either positive or negative. The positive effects of FDI can be caused by increase in output stimulated by new technological innovations and increase in capital flows. The negative effects could result in a ‘crowding out’ effect on domestic investments, external vulnerability and dependence, destructive competition of foreign affiliates with domestic firms, and market stealing effect due to poor absorptive capacity.This treatise will attempt to shed light on the effect foreign direct investment has on economic growth in South Africa in order to ascertain whether a positive or negative relationship exists between these two variables. This study thus aims to investigate, analyse and estimate the extent to which FDI impacts economic growth in South Africa. The findings of this research will provide policymakers, commercial businesses and scholars with relevant updated theoretical and empirical results that will assist relevant government policy makers in generating effective measures of attracting FDI if it proves to be beneficial for the host country. If the results of the study prove that FDIs do not generate positive spill over effects then the policymakers are thus obliged to formulate policies that will discourage FDIs from penetrating the host country’s economy.
- Full Text:
- Date Issued: 2016
A study of the Consumption Capital Asset Pricing Model's appilcability across four countries
- Spurway, Kayleigh Fay Nanette
- Authors: Spurway, Kayleigh Fay Nanette
- Date: 2014
- Subjects: Econometric models , Capital assets pricing model , Investments , Econometric models -- Germany , Econometric models -- South Africa , Econometric models -- Great Britain , Econometric models -- United States
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1095 , http://hdl.handle.net/10962/d1013016
- Description: Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, estimated parameters fall outside the bounds specified by Lund & Engsted (1996) and Cuthbertson & Nitzsche (2004), even though the models are not rejected by the J-test and are associated with relatively small minimum distances.
- Full Text:
- Date Issued: 2014
- Authors: Spurway, Kayleigh Fay Nanette
- Date: 2014
- Subjects: Econometric models , Capital assets pricing model , Investments , Econometric models -- Germany , Econometric models -- South Africa , Econometric models -- Great Britain , Econometric models -- United States
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1095 , http://hdl.handle.net/10962/d1013016
- Description: Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, estimated parameters fall outside the bounds specified by Lund & Engsted (1996) and Cuthbertson & Nitzsche (2004), even though the models are not rejected by the J-test and are associated with relatively small minimum distances.
- Full Text:
- Date Issued: 2014
Developing risk management strategies for stock market investment portfolio management
- Authors: Grant, Peter
- Date: 2004
- Subjects: Stocks , Risk management , Portfolio management , Investments , Securities
- Language: English
- Type: Thesis , Masters , MBA
- Identifier: vital:10936 , http://hdl.handle.net/10948/215 , Stocks , Risk management , Portfolio management , Investments , Securities
- Description: This study was conducted to establish whether risk management strategies could be developed to enable stock market investment portfolio managers to reduce the risk involved in stock market trading. The awareness of stock market risk elevates the requirement for risk management strategies as discussed in Chapter 1. The research scope is identified, and an overview of the study gives further guidance as to what lies ahead. The theory behind macroeconomic forces and how they influence share prices is discussed in Chapter 2. It is established that market sectors and companies within those sectors react differently to macroeconomic forces. Technical analysis is discussed as a mechanism to identify buying and selling signals. In Chapter 3, risk management strategies are developed from the literature. The hypothesis of the study as described in Chapter 4 is that these risk management strategies are able to reduce the risk associated with trading in the stock market. The market simulation in Chapter 5 offers the opportunity to observe the risk management strategies at work in a simulated stock market investment portfolio. In Chapter 6, the outcome of the market simulation is compared to the criteria set in Chapter 4, and the conclusion that the risk management strategies were able to reduce the risk involved in stock market trading is drawn.
- Full Text:
- Date Issued: 2004
- Authors: Grant, Peter
- Date: 2004
- Subjects: Stocks , Risk management , Portfolio management , Investments , Securities
- Language: English
- Type: Thesis , Masters , MBA
- Identifier: vital:10936 , http://hdl.handle.net/10948/215 , Stocks , Risk management , Portfolio management , Investments , Securities
- Description: This study was conducted to establish whether risk management strategies could be developed to enable stock market investment portfolio managers to reduce the risk involved in stock market trading. The awareness of stock market risk elevates the requirement for risk management strategies as discussed in Chapter 1. The research scope is identified, and an overview of the study gives further guidance as to what lies ahead. The theory behind macroeconomic forces and how they influence share prices is discussed in Chapter 2. It is established that market sectors and companies within those sectors react differently to macroeconomic forces. Technical analysis is discussed as a mechanism to identify buying and selling signals. In Chapter 3, risk management strategies are developed from the literature. The hypothesis of the study as described in Chapter 4 is that these risk management strategies are able to reduce the risk associated with trading in the stock market. The market simulation in Chapter 5 offers the opportunity to observe the risk management strategies at work in a simulated stock market investment portfolio. In Chapter 6, the outcome of the market simulation is compared to the criteria set in Chapter 4, and the conclusion that the risk management strategies were able to reduce the risk involved in stock market trading is drawn.
- Full Text:
- Date Issued: 2004
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