Electronic Theses and Dissertations (Masters)

Permanent URI for this collectionhttps://hdl.handle.net/10539/37936

Browse

Subject: search.filters.subject.SDG-8: Decent work and economic growth

Search Results

Now showing 1 - 10 of 60
  • Thumbnail Image
    Item
    Oil Price Shocks and Financial Stress in Sub-Saharan African Countries
    (University of the Witwatersrand, Johannesburg, 2024) Frost, Callum
    This study examines the nexus between financial stability and oil shocks within South Africa, a net-oil importer, and Nigeria, a net-oil exporter. A signal theory approach utilising pAUROC analysis is used to capture relevant indicators. Furthermore, sub-market indices are weighted using a diagonal BEKK-GARCH model, allowing for time-varying cross-correlations to determine sub-market weights, allowing the constructed financial stress index (FSI) for each economy to focus on systemic events of financial stress. The FSI for each economy is then incorporated into a SVAR model which disaggregates oil demand shocks into three components (economic activity, oil consumption demand, and oil inventory demand) following the framework of Baumeister and Hamilton (2019) to capture the effects of oil market shocks on financial stability. This paper finds that positive shocks to oil supply, economic activity, and oil inventory demand tend to reduce financial stress in South Africa. Interestingly, demand driven increases in the real price of oil reduces systemic stress, even though the economy is a net-oil importer. Oil supply shocks and economic activity shocks tend to have no significant effect on Nigerian financial stress while demand driven increases to real oil prices tend to decrease financial stress. Interestingly, shock increases in demand for oil inventories tends to raise financial stress.
  • Thumbnail Image
    Item
    House Prices Against the Wind: Analysis of the use of Monetary Policy to Moderate House Price Bubbles and the Case of New Zealand
    (University of the Witwatersrand, Johannesburg, 2024) Jinabhai, Nikhil; Creamer, Kenneth
  • Thumbnail Image
    Item
    The price effects of a hospital merger: a case study of the Mediclinic Southern Africa (Pty) Limited (Mediclinic) and Matlosana Medical Health Services (Pty) Limited (MMHS) merger
    (University of the Witwatersrand, Johannesburg, 2024) Laurence, Marcelle; Mncube, Liberty
    This study evaluates the assessment conducted in the prohibited Mediclinic Southern Africa (Pty) Ltd and Matlosana Medical Health Services (Pty) Ltd (MMHS) proposed merger. The study employs a qualitative approach, centred on a case study methodology, to assess the theories of harm discussed. It aims to provide insights into the adequacy and outcome of the competition authorities’ assessment drawing comparisons to international literature and policy implications. It uses economic theory to analyse and show the significance of robust and nuanced regulatory frameworks in healthcare merger evaluation.
  • Thumbnail Image
    Item
    Examining the relationship between governance and gross fixed capital formation in Sub-Saharan Africa
    (University of the Witwatersrand, Johannesburg, 2024) Machobani, Dennis; Mahonye, Nyasha
    This study delves into the intricate relationship between governance and Gross Fixed Capital Formation (GFCF) in Sub-Saharan Africa (SSA), aiming to address the substantial infrastructure deficit in the region. Employing the System GMM methodology, the primary research question focuses on understanding the correlation between institutions and GFCF in SSA. Subsequent sub-questions delve into the relationships between political stability and GFCF, as well as the composite index of institutions and GFCF. Policy recommendations highlight the pivotal role of good governance, advocating for reforms, institution strengthening, and enhanced transparency. The study's outcomes emphasize the intricate interplay of diverse factors impacting GFCF, prompting policymakers to adopt comprehensive strategies for sustainable development. Persistent effects of past investment choices underscore the necessity for continuous efforts to incentivize investment. Key determinants such as trade policies, current account balances, gross domestic savings, and government expenditure are identified, suggesting targeted interventions to stimulate private sector engagement and cultivate an environment conducive to heightened investment in Sub-Saharan Africa.
  • Thumbnail Image
    Item
    Determinants of optimal capital structure for non-financial firms listed on the JSE
    (University of the Witwatersrand, Johannesburg, 2024) Chipeta, Chimwemwe
    This paper investigates the determinants of optimal capital structure while considering the influence of the cost of capital, specifically examining the relationship between firm-specific variables known to drive optimal capital structure (such as firm size, asset tangibility, growth, liquidity, and profitability) and the cost of capital. The analysis of these determinants in developing countries is intriguing due to the differences in firm characteristics compared to those in advanced economies. The study utilizes primary data sourced from Refinitiv Workspace for 189 firms across various sectors listed on the Johannesburg Stock Exchange (JSE) from 2015 to 2023, excluding financial services and insurance sectors. Panel econometric approaches, including Feasible Generalised Least Squares (FGLS) and the Generalised Method of Moments (GMM) regression method, are employed for analysis. The findings of the study unveil several noteworthy relationships between independent variables and the Weighted Average Cost of Capital (WACC). Firm size, profitability, asset tangibility, and growth emerge as key determinants affecting WACC to varying degrees. Firm size and profitability exhibit positive associations with WACC, supported by statistically significant coefficients. This implies that increases in firm size and profitability correspond to higher WACC levels. Conversely, asset tangibility and growth demonstrate negative correlations with WACC, backed by statistically significant coefficients. Furthermore, firm size and profitability maintain their positive relationships with WACC across various estimation models, including Feasible Generalized Least Squares (FGLS) and Generalized Method of Moments (GMM). This consistency underscores the robustness of these relationships, with larger and more profitable firms consistently exhibiting higher WACC.
  • Thumbnail Image
    Item
    Measuring the performance and asset allocation of robo-advisors in BRICS
    (University of the Witwatersrand, Johannesburg, 2024) Maluleke, Lethabo; Seetharam, Yudhvir
    The financial industry has undergone some digital changes over the past decade. Financial technology (FinTech) is a result of this digital change and robo-advisors constitute FinTech in the wealth management space. The emergence of robo-advisors is a global phenomenon and, in this study, the performance and asset allocation of the robo-advisors from Brazil, Russia, India, China, and South Africa (BRICS) were measured. BRICS countries are one of the largest growing economies and provide international investors with diversification. The purpose of this study was to analyse if the recommended portfolios of the robo-advisor can perform similar to a benchmark and to explain the performance differences between the different recommended portfolios of the robo-advisors from each country using a returns-based style analysis. Furthermore, this study analysed the performance of robo-advisors before and after considering fees and the returns-based style analysis was also used to capture the exposure of each robo-advisor to mutually exclusive asset classes. The data included four robo-advisors in total with one robo-advisor from each country (a total of 62 portfolios) as there was a removal of the Russian EFTs due to the Russian- Ukraine war of 2022. The sample period was from 2015 to 2022 as most robo-advisors only became available after 2015. The performance tests that were performed were the Sharpe ratio, Jensen’s alpha, Treynor ratio and Manipulation-proof performance measure. It is found that there are certain countries that have robo-advisors with portfolios that perform similar to the benchmark and do not outperform the benchmark and other countries that have portfolios that outperform the benchmark and the portfolios do not perform similar to the benchmark. Furthermore, it is found that performance differences can be explained by the investment style i.e., whether the portfolios have exposure to the same assets. The performance differences can also be explained by asset allocation in each portfolio based on uncorrelated assets.
  • Thumbnail Image
    Item
    Post Earnings Announcement Drift on The JSE Top 40: A Study on Longer Term Holding Periods
    (University of the Witwatersrand, Johannesburg, 2024) Msutu, Yonela Neo; Britten, J.
    This paper studies the existence of the post-earnings announcement drift (PEAD) on the JSE top 40. The sample period used was from 2000-2020. The measures of surprise earnings used in this paper were the standardised unexpected earnings (SUE) and the initial 2-day returns (IR). The existence of PEAD was determined using portfolios sorted half yearly by the surprise measure of which the high minus low quantile spread (QS) was computed. A cross- sectional regression is run to determine if firm characteristics affect the PEAD. Cumulative abnormal returns (CARs) were used as a proxy PEAD and computed using the market model. PEAD drift exists on the JSE top 40, and the QS was found to be persistent for a 480-day trading window for both surprise measures. The PEAD anomaly found by QS was robust to a subsample period and the method of CAR computation. The IR-sorted portfolios generally outperformed the SUE-sorted portfolios. The SUE portfolio coefficients were insignificant in cross-sectional regression, while IR coefficients were up to the 360-day trading window.
  • Thumbnail Image
    Item
    The Effect of Ownership Type and Corporate Governance on Capital Structure: A South African Perspective
    (University of the Witwatersrand, Johannesburg, 2024) Notshikila, Akhona
    This study investigates the effect of ownership type and corporate governance on capital structure decisions of non-financial firms listed on the Johannesburg Stock Exchange (JSE). It examines 109 firms listed over a 23-year period from the year 2000 to 2022. The main research question is whether ownership type and corporate governance factors have an effect on capital structure among firms listed on the JSE or not? The rationale for the study is the lack of empirical evidence in the South African context on the countries diverse ownership types and its effect on key financing decisions. Further, the lack of empirical evidence to support among others, principle 7 of the King IV Code of corporate governance which calls for diversity and board independence, drives this research (BDO, 2016). Ownership type variables employed are institutional, managerial and black shareholding. Corporate governance is examined through the lens of board independence, board size, board gender diversity and CEO duality. Using the fixed effects regression model, the results reveal that institutional and managerial ownership both have a statistically significant inverse relationship with firm leverage. Black ownership is generally found to have no effect on capital structure with the exception of short- term debt, where an inverse relationship exists. Board size and CEO duality are negatively related to capital structure, whereas board independence and board gender diversity are positively related to firm leverage.
  • Thumbnail Image
    Item
    Do asset pricing models explain sector returns on the Johannesburg Stock Exchange?
    (University of the Witwatersrand, Johannesburg, 2024) Ranchod, Ishani; Page, Daniel
    This study is conducted to evaluate whether style factors-based asset pricing models can explain sector returns on the Johannesburg Stock Exchange (JSE). The time frame for this research is between January 2007 to July 2023. Daily return data for both styles and sectors were used and calculated on a buy and hold basis with values that were obtained from Bloomberg and Iress. The methodology applied is a time-series regression used for a Gibbons- Ross-Shanken (1989) alpha test. This research provides investors with valuable insights into the specific asset pricing models and their underlying related style factors that can elucidate the cross-sectional variation of both sector and more comprehensively, share returns on the JSE. The results of the study confirm the effectiveness of various factor models in explaining sector returns on the JSE, with the six-factor model demonstrating superior performance. Notably, the six-factor model exhibits explanatory power for the financial and industrial sectors, highlighting its comprehensive ability to explain sector returns. The significance of size and value premiums across models underscores their importance in sector return analysis. Additionally, the six-factor model strengthens its ability to elucidate cross-sectional variation in styles and sector returns. Overall, the six-factor model emerges as a robust framework for analysing sector returns on the JSE, providing valuable insights into risk factors and how sectors perform.
  • Thumbnail Image
    Item
    Does the black industrialist programme responds to south Africa’s industrialisation challenges?
    (University of the Witwatersrand, Johannesburg, 2024) Saravanja, Dhyan; Pons-Vignon , Nicolas; Nkunzi, Sibulele
    This study explores the extent to which the Black Industrialist Programme (BIP) is able to fulfil its stated mandate of promoting industrialisation in South Africa. In doing so, it redirects the focus away from policy design and instead evaluates the efficacy of the programme’s mechanisms of monitoring and adjustment. Using a qualitative, inductive research approach, this study finds that the BIP’s ability to promote industrialisation is strongly compromised by the quality of its reciprocal control mechanisms. Firstly, the evaluation of firm performance against the programme’s industrial objectives either relies on check-box measures, or is outsourced entirely to private auditors. Secondly, the government is poorly capacitated to perform a rigorous monitoring function. Thirdly, the state lacks both the capacity and willingness to enforce disciplinary measures on underperforming firms. Whether the BIP evolves into a genuine instrument of industrial policy rests on addressing these shortcomings. This requires placing learning at the forefront of policy reform efforts