Browsing by Author "Sayed, Ayesha"

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    Price Volatility in Maize Futures of Major Exporters
    (University of the Witwatersrand, Johannesburg, 2023-06) Sayed, Ayesha; Auret, Christo
    Futures markets provide a platform for risk management and price discovery. Significant structural changes have taken place in futures markets over the last two decades transforming them into a volatile and fast paced trading environment, with heightened volatility expected to continue. Increased volatility in grain futures markets is of special concern to farmers, traders, academics, and policy makers as it impacts food security, renewable energy and the regulation of futures exchanges. Price volatility is investigated for maize futures listed in South Africa on the South African Futures Exchange (SAFEX), in the United States on the Chicago Board of Trade, in Argentina on the Mercado a Termino de Beunes Aires and in Brazil on the Brazilian Mercantile and Futures Exchange. A particular focus is placed on South African white maize futures, given its liquidity on SAFEX, its uniqueness as the only listed white maize contract traded on a futures exchange globally, and the importance of white maize as South Africa’s largest produced field crop and main staple food. This thesis investigates the effectiveness of price limits which are found to be ineffective in curbing volatility, and instead found to accelerate prices towards their limits prematurely, exacerbate volatility and impair market liquidity. The impact of sentiment as measured through volatility indices is also studied using a time-varying vector autoregressive framework. The results confirm the influence of sentiment on trading behaviour in white maize futures, and subsequently on price volatility. The level of speculative activity and its impact on price volatility is also examined using Granger-causality, variance decomposition and impulse response functions. Finally, volatility spillovers among key major exporters of maize is investigated using four multivariate GARCH models and a DCC-GARCH Connectedness approach, with the results confirm significant own and cross volatility spillovers and time-varying interdependence. This thesis makes novel contributions to the field of futures risk management. The work covered in this thesis is among the first to investigate price limits on SAFEX, the first to include SAVI White Maize in an empirical analysis, the first to quantify the level of speculative activity in the white maize futures market and the first to investigate spillover and dynamic connectedness in maize futures among key maize exporters
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    The stock market as a leading indicator of economic activity: time-series evidence from South Africa
    (2016) Sayed, Ayesha
    Several studies have assessed the forward-looking characteristic of share prices and confirmed their resultant capability as leading indicators of economic activity, especially in advanced economies. Contention however exists when evaluating the role of stock markets as leading indicators for less developed countries. This study examines the validity of the stock market as a leading indicator of economic activity in South Africa using quarterly time-series data for the period January 1992 to June 2014. Causality and cointegration between the JSE All Share Index against Real GDP and Real Industrial Production is evaluated by employing Granger-causality tests and the Johansen cointegration procedure. The empirical investigation indicates that unidirectional causality exists between the nominal and real stock indices and economic activity in South Africa, and confirms a long-run relationship between the JSE and GDP and Industrial Production. Therefore, similar to the study by Auret and Golding (2012), in a South African context, the stock market is in fact a leading indicator of economic activity.