Relevant bibliographies by topics / African stock markets / Dissertations / Theses
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Dissertations / Theses on the topic 'African stock markets'

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Published: 10 December 2022
Last updated: 29 January 2023

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1

Mlambo, Chipo. "The efficiency of African stock markets : a comparative analysis." Thesis, Stellenbosch : University of Stellenbosch, 2006. http://hdl.handle.net/10019.1/6445.

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Thesis (PhD (Business Management))--University of Stellenbosch, 2006.<br>ENGLISH ABSTRACT: This study investigates whether any exploitable pauems exist in a sample of ten African stock markets that could lead to abnonnal gains. Southern Africa is represented by Botswana, Namibia. Mauritius and Zimbabwe, East Africa by Kenya, West Africa by Ghana and the BRVM, and North Africa by Egypt, Morocco and Tunisia. Such evidence, if it exists, provides ground for refutation of the weak form of the efficient market hypothesis (EM H) as defined by Farna (1965. 1970). The thesis is predominantly emp
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2

Appiah-Kusi, Joe. "The emerging African stock markets : a comparative study." Thesis, Brunel University, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.288767.

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3

Thupayagale, Pako. "Essays in long memory : evidence from African stock markets." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/883.

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4

King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.

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Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate po
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5

Bieger, Jasper, and Keegan Floquet. "The fundamental drivers of stock market liquidity : international, emerging markets and African evidence." Thesis, Stellenbosch : Stellenbosch University, 2003. http://hdl.handle.net/10019.1/53638.

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Thesis (MBA)--Stellenbosch University, 2003<br>ENGLISH ABSTRACT: According to the World Bank's leading economists Beck and Demlrquc-Kunt one of the major competitive advantages of countries competing for long-term economic growth is the existence of an efficient and liquid domestic stock market. A number of studies have already been performed to examine solitary aspects of stock liquidity, however, rather little work has been done to comprehensively investigate its fundamental set of determinants. Furthermore, none of these studies has ever attempted to specifically focus on African sto
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6

Petrov, Pavel. "Cointegration in equity markets: a comparison between South African and major developed and emerging markets." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1005539.

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Cointegration has important implications for portfolio diversification. One of these is that in order to spread risk it is advisable to invest in markets that are not cointegrated. Over the last several decades communication technology has made the world a smaller place and hence cointegration in equity markets has become more prevalent. The bulk of research into cointegration focuses on developed and Asian markets, with little research been done on African markets. This study compares the Engle-Granger and Johansen tests for cointegration and uses them to calculate the level of cointegration
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7

Argyros, Robert. "The power of investor sentiment: an analysis of the impact of investor confidence on South African financial markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1004169.

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Whether investor sentiment has any authority over financial markets has long been a topic of discussion in the field of finance. This study investigates the relationship between investor sentiment and share returns in South Africa. Determining this relationship will add to the existing work which has documented important determinants of share returns on the stock exchange in South Africa, as well adding to the inconclusive link between sentiment and the South African financial markets. Does sentiment influence share returns or do share returns influence sentiment? Using quarterly data for the
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8

De, Jesus Carlos. "Are there benefits to diversification across the largest African stock markets?" Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20336.

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This study examines the co-movements of selected African stock exchanges, including Nigeria, Morocco, Egypt and South Africa, as well as the USA, in local currency and in USDt erms, for the period January 2004 to June 2014. The study sheds light on African market cointegration before, during, and post the financial crises of 2007/2008 to identify whether there are benefits to diversification in stock exchanges across Africa and how this has changed over time. Only the four biggest exchanges are examined, to eliminate the effects of illiquidity and ensuring the size of indices used result in co
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9

Musyoki, Christopher Mbindyo. "Three empirical essays on salient trading features exhibited in ten African stock markets." Thesis, University of Aberdeen, 2015. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=227595.

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The thesis comprises three associated empirical studies that aim at facilitating better understanding of the salient trading features that typify the sampled stock markets of Africa. The first study explored the recent trends in trading activities observed in ten African stock markets of Botswana, BRVM, Egypt, Ghana, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia. The exercise identified the prominent trait of sluggish price movements and low levels of stock liquidity. Further analysis on the potential causes of the identified delays in price movements distinguish high stock illi
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10

Botes, Gearé. "The adaptive markets hypothesis: Testing for variable efficiency and cyclical profitability in the South African market." University of the Western Cape, 2020. http://hdl.handle.net/11394/8027.

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Magister Commercii - MCom<br>This research attempts to discover whether the Adaptive Market Hypothesis theory is applicable in the South African financial market and explores the innovation and cyclical profitability implications of the Adaptive Market Hypothesis theory. This is achieved in two parts: first by determining if returns follow a random walk or not and second by analysing the consistency of technical and fundamental factors to explain the cross-section of equity returns between 1 January 1998 to 31 December 2017. The tests of stock return dependency include a total of five tests o
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11

Swanepoel, C. V. "Stock returns as predictors of interest rates and inflation: The South African experience." University of the Western Cape, 1990. http://hdl.handle.net/11394/7892.

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Magister Commercii - MCom<br>This study analyses the extent to which stock returns provide forecasts of changes in interest rates and inflation for the South African market. The period under investigation, January 1966 - February 1989, is characterised by structural changes in the South African economy, especially in the financial markets. The earnings yield on shares is used as a measure of the return on stocks. Stock returns of 10 specific industries are used in addition to the overall market return. Monthly inflation series were constructed by employing both the Consumer Price Index (CPI) a
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Ahmadu-Bello, J. "The 2007-09 global financial crisis and financial contagion effects in African stock markets." Thesis, Coventry University, 2014. http://curve.coventry.ac.uk/open/items/c9e2c0fe-dbce-4faa-abaf-945e5a282294/1.

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This thesis tests financial contagion from the US to ten African markets during the 2007-09 financial crisis. For comparative purposes, testing procedures are also extended to cover a number of developed-economy markets. There is considerable debate within the literature as to how to measure contagion. A central focus of my research is therefore to compare alternative econometric methodologies. VAR based constant-correlation based techniques are examined alongside dynamic conditional correlation (DCC) based techniques. I find that the DCC approach is superior in respect to my dataset. The 2007
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13

Reimers, Max Rene. "How does the development of private equity capital markets affect economic growth in developing countries?" Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20641.

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Mestrado em Economia Monetária e Financeira<br>This dissertation provides insights on the introduction of private equity capital markets and its effect on economic growth in African countries. We address this issue by focusing on stock exchange markets as the predominant type of new equity markets. The dissertation deep dives into the effects of the implementation of stock markets by focusing on the GDP per capita and on GDP per capita growth. It uses the Diff-in-Diff regression method. The analysis uses a panel data set on 48 Sub-Saharan countries over the time range of 1970-2018. 23 countrie
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14

Coffie, William. "Capital asset pricing model and the three factor model : empirical evidence from emerging African stock markets." Thesis, Birmingham City University, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.582644.

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This thesis explores two celebrated asset pricing models by investigating whether or not the capital asset pricing model (CAPM) and the Fama-French three factor model apply in Emerging African Stock Markets (EASM). While Sharpe (1964) and Lintner (1965) developed the capital asset pricing model (CAPM), it has been widely tested by finance researchers and applied in practice. The central theme of the CAPM is that the only risk variable that affects asset returns is the market factor (beta). However, empirical evidence suggests that the beta alone is not sufficient to wholly explain variation in
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15

Hof, Justin. "An examination of the inter-relationships between, and gains from, investing in African emerging stock markets." Thesis, University of Dundee, 2014. https://discovery.dundee.ac.uk/en/studentTheses/ac2f32cb-e745-4168-a853-b6eb9fd4bbd5.

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In recent years there has been a significant increase in the flow of investment into emerging equity markets. The low return correlations between this class of stock market and developed equity markets has allowed global investors the opportunity to earn higher portfolio returns while at the same time reducing overall portfolio risk. The investment climate in emerging markets has improved vastly and many of these countries have experienced superior rates of economic and capital market growth and, increasingly, they are contributing to global trade and investment. Emerging capital markets are n
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16

Jaramba, Toddy. "Volatility transmission across South African financial markets: does the bull – bear distinction matter?" Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1013396.

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The volatility transmission in financial markets has important implications for investment decision making, portfolio diversification and overall macroeconomic stability. This paper analyses volatility transmission across four South African financial markets that is the stock, bond, money and foreign exchange markets, using daily data for the period 2000-2010. It also shows whether the volatilities in the SA financial markets present a different behaviour in bull and bear market phases. The effects of the international markets volatility to the local markets volatility was also looked at in th
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17

Chinzara, Zivanemoyo. "An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1002704.

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The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. Th
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18

Barnard, Kevin John. "Value and size investment strategies: evidence from the cross-section of returns in the South African equity market." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1001606.

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Value and size related equity investment strategies are supported by a large body of empirical research that shows a persistent premium, both longitudinally and crosssectionally. However, the competing rational and behavioural finance explanations for the success of these strategies are a subject of debate. The rational explanation is that the premium earned on value shares or shares of small companies can be attributed to higher risk. Behaviouralists argue that such shares are not riskier and attribute the premium to cognitive errors and biases in human decision making. The purpose of this st
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19

Fish, Therese. "The construction of African regional and all-Africa stock market indices." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52498.

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Thesis (MBA) --Stellenbosch University, 2001.<br>ENGLISH ABSTRACT: Africa's stock markets are considered by many emerging market specialists to have great potential for investors. Developing models which track share/financial indices provide a means of disseminating information about market performance. With the active move towards regional stock markets, regional indices will provide an important tool for performance of the region. Stock market indices provide information to investors and portfolio managers about the performance of various markets or groups of stocks. Investors can use
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20

Marais, Carl. "An evaluation of the South African equity market’s progress towards developed market behaviour." Diss., University of Pretoria, 2008. http://hdl.handle.net/2263/23147.

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Over the period from January 1997 to December 2007 the South African equity market has been the target of a number of reforms initiated by both the Johannesburg Securities Exchange (JSE) and the South African government. From a review of current emerging markets and financial liberalisation literature, we identify the market attributes that differ between emerging and developed equity markets or that are changed significantly by the financial liberalisation process. The attributes are: · Correlation with major world equity markets · Distribution of returns · Market efficiency · Share price vol
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21

Mbululu, Douglas. "Day-of-the-week effect : evidence from nine sectors of the South African stock market." Thesis, Rhodes University, 2010. http://hdl.handle.net/10962/d1002759.

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The day-of-the-week effect in share prices is one of the most extensively researched anomalies, especially in developed markets. However, emerging African stock markets have received little attention in this regard. This study breaks new ground in using non-parametric tests directly on skewness and kurtosis to examine whether the day-of-he-week effect exists in nine listed stock market sector indices of the JSE Securities Exchange of South Africa (JSE). Different day-of-the-week effects were found to be present in the statistical moments of returns of these nine JSE sectors
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22

Alagidede, Paul. "Market efficiency and stock return behaviour in Africa's emerging equity markets." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8093.

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The widespread creation of stock markets in developing countries is one of the most conspicuous features of international financial development in the past three decades. The number of stock markets in Africa increased from only six before 1989 to 21 by 2004. The quest for long-term capital for development and the increasing role played by stock markets in the efficient allocation of resources made the stock market culture inevitable in most cases. 'Africa's emerging markets represent a fast growing part of the world economy, and empirical evidence suggests that they have low, even negative, c
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Mabhunu, Mind. "The market efficiency hypothesis and the behaviour of stock returns on the JSE securities exchange." Thesis, Rhodes University, 2004. http://hdl.handle.net/10962/d1002762.

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While the Efficient Market Hypothesis (EHM) has been widely accepted as robust by many researchers in the field of capital markets, the hypothesis’ robustness has been under increased scrutiny and question lately. In the light of the concerns over the robustness of the EMH, the weak form efficiency of the JSE is tested. Stock returns used in the analysis were controlled for thin trading and it was discovered that once returns are controlled for thin trading, they are independent of each other across time. Some of the previous studies found the JSE to be inefficient in the weak form but this re
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24

Atsin, Achiapo Jessica Lisette. "Analysis of calendar effects and market anomalies on the Johannesburg Stock Exchange." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/d1020372.

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This study sought to empirically investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus index during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of MSAR with a different number of regimes and lag orders. The results from the investigation of the January effec
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Jooste, Dirk. "South African security market imperfections." Thesis, Stellenbosch : University of Stellenbosch, 2006. http://hdl.handle.net/10019.1/3313.

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Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.<br>In recent times many theories have surfaced posing challenging threats to the Efficient Market Hypothesis. We are entering an exciting era of financial economics fueled by the urge to have a better understanding of the intricate workings of financial markets. Many studies are emerging that investigate the relationship between stock market predictability and efficiency. This paper studies the existence of calendar-based patterns in equity returns, price momentum and earnings momentum in the South African se
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Zuka, Mawethu. "Stalking black swans, dragon kings, and market crashes on the JSE." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/18376.

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This paper examines bubbles on the JSE All Share Index as well as the critical time of the stock market crash from 2/01/ 2004 – 27/03/2014. The underlying hypothesis define bubbles as extreme and begin as a group of small events which grow in a super exponential form explained by a log periodic power law model (LPPL model). The hypothesis is based on the assumption of investors’ herding behavior, where investors collude by making investment decision correlated with their counterparties. The paper implements a Savitzky Golary Algorithm to detect peaks and calculate the critical time of the cras
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Elliott, Kevin Andrew. "The development of the stock market and its effect on economic growth: the case of SADC." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002701.

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Using a pooled panel data set from nine developing countries within the SADC region from 1992 to 2004, this paper empirically examines; firstly, the relationship between stock market development and long-term economic growth, and secondly, the macroeconomic determinants of stock market development, particularly market capitalisation as a percentage of GDP. The results suggest that there is a strong link between stock market development and economic growth, particularly through the liquidity provided by the market. The evidence obtained lends support to the view that a well-developed and functi
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Atsin, Achiapo Jessica Lisette. "Essays on stock markets in Sub-Saharan Africa." University of the Western Cape, 2018. http://hdl.handle.net/11394/6450.

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Philosophiae Doctor - PhD (Economics)<br>The main objective of this thesis was to closely examine several nancial and economic aspects of the stock markets in Sub-Saharan Africa. Thus, the objectives of this thesis were to explore the interdependence, the time-varying conditional correlation and the volatility linkages among Sub-Saharan African and developed stock markets; to investigate the relationship between - nancial liberalization and the development of stock markets; and to examine the patterns of the aggregate market liquidity and the relevance of the mainstream determinants of
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Achiapo, Jessica Lisette. "Essay on stock markets in Sub-saharan Africa." University of the Western Cape, 2017. http://hdl.handle.net/11394/6098.

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Philosophiae Doctor - PhD (Economics)<br>The main objective of this thesis was to closely examine several nancial and economic aspects of the stock markets in Sub-Saharan Africa. Thus, the objectives of this thesis were to explore the interdependence, the time-varying conditional correlation and the volatility linkages among Sub-Saharan African and developed stock markets; to investigate the relationship between - nancial liberalization and the development of stock markets; and to examine the patterns of the aggregate market liquidity and the relevance of the mainstream determinants of marke
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30

Junkin, Kyle. "Macroeconomic determinants of stock market behaviour in South Africa." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1002751.

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This study investigates whether stock prices in South Africa are influenced by macroeconomic variables, and furthermore, the effects of financial crises on stock prices. The relationship between stock prices and the macroeconomy is a particularly important issue for investors, since a thorough understanding of such a relationship is likely to yield profitable or risk mitigating opportunities. Using monthly data for the period 1995 to 2010 the study focused at a macro level using the FTSE/JSE All Share Index, and at a micro level using sector indices. These included the construction and materia
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31

Hagba, Dorbor M. "Can market volume help in predicting share market volatility." Thesis, Stellenbosch : University of Stellenbosch, 2007. http://hdl.handle.net/10019.1/15043.

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Thesis (MBA)--University of Stellenbosch, 2007.<br>ENGLISH ABSTRACT: This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the Johannesburg Stock Exchange (JSE). The study is largely inspired by the work of Chris Brooks (1998). The volume of shares traded might be as important as the change in a market index since substantial price increases and decreases are often accompanied by heavy trading activity. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional
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Ramatlo, Tshegofatso. "Monetary policy and the stock market in South Africa: how do South African equity prices respond to expected and unexpected changes in the repo rate?" Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30975.

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This analyses the impact of unexpected changes in monetary policy on the South African equity market over the period 2005 -2018. In an attempt to understand this relationship, two main views have emerged. The wealth effect suggests that monetary policy changes have an indirect effect on the stock market, via changes in the value of private portfolios. On the other hand, it has been argued that the stock market is an independent source of macroeconomic volatility to which policy makers may wish to consider. This paper applies an event study approach to examine the stock market reaction to monet
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Olalere, Durodola Oludamola. "An empirical investigation into the determinants of stock market behaviour in South Africa." Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1002733.

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The argument with regards to whether macro-economic fundamentals determine stock market behaviour is very important because of the roles it plays in an economy. Such roles include: pooling and trading of risks, mobilization of savings, provision of liquidity and allocation of capital. However, the stock market will only perform such roles effectively if the macro-economic environment is conducive. This study examined the behaviour of the All Share Index (ALSI) and market capitalization on the Johannesburg Stock Exchange in response to changes in the domestic and international macro-economic fu
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Muchaonyerwa, Forward. "Business cycles and stock market performance in South Africa." Thesis, University of Fort Hare, 2011. http://hdl.handle.net/10353/312.

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The study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident indicator (BC) regressed against, the All Share Price Index (ALSI), Real Effective Exchange Rate (REER), Money Supply (M1), Inflation (CPIX) and the Prime Overdraft Rate (POR). The ALSI represents stock market performance whilst the rest of the variables are to enhance model specification. The stud
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Vacu, Nomfundo Portia. "The impact of stock market development on economic growth: evidence from South Africa." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1006983.

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The main objective of this study is to examine the long run relationship between stock market development and economic growth in the case of South Africa. The study used quarterly data covering the period from 1990Q1 to 2010Q4. To empirically test the link between the two variables, the study used the Johnson’s cointegration approach and Granger causality so as to test the direction of the relationship. The Vector Error Correction Model was also employed to capture both short run and long run dynamics. Generally, the results reveal that a long run relationship exists between the two variables
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Yonis, Manex. "Stock Market Co-Movement and Volatility Spillover between USA and South Africa." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet (USBE), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54382.

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Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.

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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE
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Biyana, Mahlubandile Dugmore. "Interval AR(1) modelling of South African stock market prices." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/4371.

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Shikwambana, Jamela. "Financial instability in South Africa : trends and interactions within the financial markets." Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1005911.

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This study seeks to investigate the trends and interactions of market volatility as a source of instability in the South African financial markets. Financial instability can be manifested in the form of banking and currency crisis, institutional failures and extreme asset price volatility. This study, however, focuses on a single aspect of financial instability - asset price volatility. Asset price volatility reflects changes in market expectations as investors react to such changes, and thus on its own is not necessarily a source of instability. However, volatility spillovers can propagate vo
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Itaka, Jose Kumu. "Test of the overreaction hypothesis in the South African stock market." University of the Western Cape, 2014. http://hdl.handle.net/11394/4679.

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>Magister Scientiae - MSc<br>This research undertakes to investigate both long-term and short-term investor overreaction on the JSE Limited (JSE) over the period from 1 January 2002 to 31 December 2009. The period covers the restructuring and reform of the JSE in the early 2000s to the end of global financial market crisis in late 2008/2009, which can be regarded as a complete economic cycle. The performances of the winner and loser portfolios are evaluated by assessing their cumulative abnormal returns (CAR) over a 24-month holding period. The test results show no evidence of mean reversion f
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Mabitle, Mope. "Dynamic linkages between monetary policy and the stock market: the case of South Africa." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1015290.

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This study analyses the linkage between monetary policy and the stock market in South Africa using monthly data for the period from 2000 to 2010. It provides an overview of the Johannesburg Stock Exchange and the monetary regimes adopted by the South African Reserve Bank since the 1960s and the interrelation between the monetary variables and the stock market. It also provides a review of literature, both theoretical and empirical on the linkages between the two variables. Based on the review of literature, a Vector Autoregression [VAR] model was chosen as a method of analyzing the relationshi
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Tyandela, Luvo. "The construction of All SADC stock market indices." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52499.

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Thesis (MBA)--Stellenbosch University, 2001.<br>This thesis presents a study on : (1) The construction of the SADC All Stock Market Indices, namely the SADIX (SADC Index Including South Africa) and the SADEX (SADC Index Excluding South Africa), which will serve as performance benchmarks for the region, and as indices for tracking the performance of the region excluding the JSE (2) Comparative analysis of the SADC bourses returns (3) Correlation Analysis between the SADC countries The SADC All Stock Market Indices, SADIX & SAD EX are market value, capitalization-weighted indices in whi
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Muba, Seif R. "Stock markets, financial development and economic growth in sub-Saharan Africa." Thesis, University of Hull, 2016. http://hydra.hull.ac.uk/resources/hull:15412.

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In general, this study examines the Stock Market, Financial Development and Economic Growth in selected sub-Sahara African countries. Empirically, Chapter Two of the study used Generalised Method of Moment (GMM) dynamic instrumental variable approach to investigate financial development and economic growth nexus in the East African countries. Also, the study applied both Fixed Effect Estimation (FEM) techniques and Panel vector autoregressive (PVAR) to analyse the causal effects of equity market development on economic growth in eleven sub-Sahara African countries, in Chapter Three of this stu
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44

Olivier, Alison Michell. "The effect of South African and international macro-economic variables on the South African Stock Market." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29199.

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This study aims to answer the empirical question of whether South African and US macroeconomic variables are predictors of returns on the South African stock market. The results add to a body of literature, assessing the period from 1996 to 2016, which includes comparative analysis of data pre-and post the 2008 financial crisis. Furthermore, both local and US macro-economic variables are assessed. Variables selected include 1) GDP (SA and US), 2) Interest Rates (SA and US), 3) Inflation (SA and US), 4) South African Money Supply, 5) Rand/Dollar Exchange Rate, and 6) FTSE Index. These variables
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45

Mpofu, Bekithemba. "The relationship between stock market returns and inflation : new evidence from Sub-Saharan Africa." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/939.

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The literature investigating the relationship between stock market returns and inflation is long and has produced diverse findings. This thesis examines the nature of stock–inflation relations in Sub-Saharan countries whose stock markets were established before 1992. Evidence in this thesis shows that in the short term there is a positive relationship between stocks and inflation. Using the Johansen (1988) evidence, a long-run stock–inflation relationship is confirmed only in Nigeria and South Africa, where it is found to be negative. However, accounting for structural breaks provides evidence
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46

MacFarlane, Andrew. "Do macroeconomic variables explain future stock market movements in South Africa?" Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/12476.

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This study aims to address the empirical question of whether macroeconomic variables drive future stock market returns in South Africa. If found, the macroeconomic variables would therefore constitute useful predictive information for the future FTSE/JSE All Share Index. The data was examined from 1965 to 2010 which constitutes the longest study of its nature in South Africa. The macroeconomic variables were selected based on international and local precedent of intuitive influential macroeconomic factors. Through the use of Johansen multivariate cointegration, Granger causality and innovation
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47

Mandimika, Neville. "Volatility and the risk return relationship on the South African equity market." Thesis, Rhodes University, 2010. http://hdl.handle.net/10962/d1002744.

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The volatility of stock markets has important implications for investment decision making, financial stability and overall macroeconomic stability. This study examines the risk-return relationship as well as the behaviour of volatility of the South African equity markets using both aggregate, industrial level and sector level data. The study is divided into three parts. The first part investigates the behaviour of volatility in each of the industries, sectors and the benchmark series focussing on whether volatility is symmetric or asymmetric. Subsequently we investigate which, among the GARCH
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48

Ntshangase, Khanyisa. "The interaction between the stock market and macroeconomic variables in South Africa." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/d1018271.

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This study investigates the interaction between stock market and macroeconomic variables in South Africa. Apart from the stock market being a channel to raise capital, another important role of the stock market is to provide correct valuation of stocks and promote efficient allocation of capital. This is important given the great need of investment capital in a country such as South Africa. Utilising quarterly data for the period from 1994 to 2012, the study employs the Johansen cointegration test and the Vector Error Correction Model (VECM) to analyse the relationship between these important
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49

Muroyiwa, Brian. "Identifying the interdependence between South Africa's monetary policy and the stock market." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002716.

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This study estimates the interdependence between South Africa‟s monetary policy and stock market performance, utilising structural vector autoregression (SVAR) methodology. The study finds that a stock price shock which decrease stock prices by 100 basis points leads to 5 basis points decrease in interbank rate. A monetary policy shock that increases the interbank rate by l percent leads to decrease in real stock prices by 1 percent. This result for South Africa is similar to the result by Bjornland and Leteimo (2009) which earlier concluded that there was a high interdependence between intere
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50

Keyser, Johannes de Kock. "The relationship between futures prices and expected future spot prices : some South African evidence." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53155.

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Thesis (MBA)--Stellenbosch University, 2002.<br>ENGLISH ABSTRACT: A unique data set consisting of economists' expectations on key economic indicators was examined within the context of the controversial normal backwardation theory of Keynes. The economists' expectations were regarded as the expected future spot price and the relationship between them and the corresponding futures contracts was analysed. The respective economic indicators were: i) the yield from aparastatal Bond, ii) the yield from Government Bonds, iii) the rate of the 90 day Banker's Acceptance (BA) Deposit Rate and iv
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