School of Economics and Finance (ETDs)

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Browsing School of Economics and Finance (ETDs) by Author "Britten, James"

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    Do Domestic Yield Curves in Emerging Market Economies Prove to be Useful in Forecasting Future Economic Growth?
    (University of the Witwatersrand, Johannesburg, 2022) Gosai, Rushai; Britten, James
    Much has been said and researched about the term spreads ability to forecast the path of Gross Domestic Product (GDP) in developed economies. The relationship holds that should the yield spread turn negative that this indicates that future GDP will retract and that a recession is eminent. At the back end of 2019, the subject found prominence again as the yield spread measured by the ten year government bond and the three month Treasury Bill (Tbill) turned negative. The Federal Reserve Bank of America (The Fed) lowered interest rates in the hope that lower borrowing costs would stimulate the economy and lead to an increase in aggregate demand. It then follows, could the domestic yield curve spread perhaps be suitable in forecasting domestic Emerging Market (EM) GDP growth? This research highlights the EM experience whilst still testing the ability of the yield curve in the US to predict future economic growth. The framework based on the work of Bosner-Neal and Morley (1997), found over the horizon of 1980 to 2020, for the EM countries of Brazil, Russia, India, China and South Africa (BRICS) unsupportive evidence that the domestic yield curve spread is a suitable indicator to forecast future GDP growth.
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    Herding Behaviour and Equity Market Liquidity in the Johannesburg Stock Exchange
    (University of the Witwatersrand, Johannesburg, 2023) Rip, Kyle Christopher; Britten, James
    This study tests the relationship between equity market liquidity and herding behaviour in the aggregate market portfolio in a South African context and found evidence of herding behvaiour when conditioned on liquidity. The “aggregate market portfolio” refers to the average consensus of all market constituents- in this case the JSE. The analysis is performed through liquidity quartiles on the whole sample period as well as in specific sub-periods with alternative measures of liquidity. The sample period covers January 2000 to December 2021. The results show that a higher level of equity market liquidity is associated with an increase in the tendency for investors to herd towards the market consensus (reduced return dispersions as a result of clustering around the mean market return). However, this research shows that the relationship is dependent on the time period analysed and that the relationship may no longer hold when the relative level of market liquidity (the distribution of daily market liquidity levels) changes