ETD Collection

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Subject: search.filters.subject.Investments, Foreign

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Now showing 1 - 4 of 4
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    A study of exchange rate volatility, stock and bond returns in developing countries
    (2018) Ama-Njoku, Chioma
    There has been reports of past movements in stock-bond and stock to exchange rate volatility transmissions. However, studies on volatility transmissions between exchange rate and bonds seem to be non-existent, hence the need to determine the relationship between all these three variables. This study analyzes the link between exchange rate volatility, stock and bond returns in selected countries including Nigeria, Ghana, Kenya, South Africa, and India, using monthly time series data for a period of 5-years (2008-2012). The ARCH (Autoregressive conditional heteroscedasticity) and the more advanced GARCH (Generalized autoregressive heteroscedasticity) models are employed to generate volatilities for exchange rate, stock and bond returns. This is done to take a deeper look at how exchange rates reacted in each country since the year 2007 of the global financial crisis. The test for stationarity, and the order of integration of the data were conducted to get rid of any spurious regression results, using the ADF (Augmented Dickey-fuller method) method. The results showed a negative relationship between exchange rate and stock returns, but exchange rate volatility was insignificant for the stock market in Ghana, Nigeria and India. The relationship between the stock market and exchange rate volatility in Kenya and South Africa was positive. Bond returns were negatively correlated to exchange rate volatility in the Indian, Nigerian, and Kenyan markets, whereas, a positively relationship was found in South African bond market. The study concluded that although exchange rates can explain the cause of movement in stock prices, there are some other variables that cause a movement in stock returns and bond returns other than exchange rates such as inflation and money supply.
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    The political economics of sovereign wealth fund investment
    (2017) Hawkins, Philip Patrick
    With market instability becoming a major threat to the financial stability of states around the world, the sudden rise in the number and size of sovereign wealth fund investments around the world in the last decade is hardly surprising. Being a relatively new subject in the realm of international relations and international political economics, there is still much to be learned about the new alternative asset class and its place in modern society. One of the most contentious issues on the topic revolves around the evident and still possible effects of SWF investment on domestic and international political discourse, and simultaneously the role played by politics on SWF investments themselves. It is this relationship between the politics and the economics of SWF investment that this report seeks to determine, and by the conclusion, does so effectively. To do so, the report uses both quantitative and qualitative data to establish a link. The report begins by outlining a background to set the scene for the investigation, going on to outline a theoretical framework for the study using four sub-theories within the theory of International Political Economics which are assigned to each of the three cases based on their relevance and applicability. Next, the report details the intricacies of the main regulatory body of SWF investments, the Generally Accepted Principals and Practices (or Santiago Principals) in order to base the report in the context of its common function. Finally, the report applies the material to three case studies, selected for their relevance to the topic, those being the Social and Economic Stabilisation Fund and Pension Reserve Fund of Chile between 2006 and 2009, the China Investment Corporation and the Qatar Investment Authority. The result of the study indicates that there is, in fact, a considerable relationship between SWF investment and political discourse, both positive and negative which vary between cases. SWF investment can simultaneously benefit domestic politics, while also having the capability of resulting in economic protectionism and international distrust. Furthermore, the sovereign nature of SWF investment make them extremely difficult to regulate, allowing for some funds to become tools for states to pursue political agendas throughout the world. All in all, the report successfully identified the link between SWF investment and political discourse, proving the original hypothesis and adding to the growing foundation of academic knowledge on the subject of sovereign wealth fund investment.
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    African equity markets integration: a case study of COMESA
    (2017) Mundonde, Justice
    The vicious quest for higher risk-adjusted returns through diversification of portfolios has seen an enormous amount of foreign capital flows into new emerging markets. However, the success of any strategy profoundly depends on the degrees of comovements among markets - higher comovements limit the possible gains from diversification. It has been argued that the very act of chasing after these diversification benefits, which mainly includes financial globalisation, has actually resulted in the erosion of the benefits themselves. In addition, aspects such as international trade, the establishment of trade blocs and liberalisation of market controls has further reduced these diversification benefits. In this study, the long-run cointegration, short-run causality and volatility linkages were examined using six COMESA markets indices. The goal of the study was to ascertain whether the establishment of this bloc has resulted in increased association among the member markets. The astonishing rate at which globalisation has been growing at has drawn with it both opportunities and risks for investors. The Engle-Granger, the Johansen cointegration technique and the ARDL test methods revealed that the markets integrated in the long run, a result indicative of low diversification benefits across COMESA markets. However, the weak short-run causality from the causality tests revealed that despite the strong long-run relationship, an active investment strategy that seeks to diversify portfolios in the short-run could still yield enormous diversification benefits. A subsequent examination of the volatility linkages using generalised autoregressive conditional heteroscedasticity models revealed that uniformity of volatility structures in terms volatility persistence, leverage effects and risk premium across the markets, indicative of the high likelihood of volatility spill-overs across the markets. This implies that, despite the weak short-run causality, the benefits from short-run diversification can still be quite low due to the high likelihood of volatility spillovers across these markets. In light of these results, investors within the COMESA markets should rather focus on other markets outside the COMESA as diversification destinations.
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    Criteria influencing international mining investment
    (2012-04-20) Aylward, Peter Seymour