Electronic Theses and Dissertations (Masters/MBA)
Permanent URI for this collectionhttps://hdl.handle.net/10539/37942
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Item Investability and the likelihood of graduation into emerging market status: a focus on developing economies(University of the Witwatersrand, Johannesburg, 2021) Albert, Letting K.; Ojah, KaluEmerging market economies remain a valuable component for many investors due to existing diversification benefits within the risk-return framework. In return for their attractiveness, emerging market economies achieve affordable external financing which is critical for their growth. Most developing countries are trying to attract foreign investment because being deemed investable is analogous to be index-included. This paper sought to determine the stylized factors of investability in developing countries. The factors were estimated using a Logit model against 72 countries comprising of graduated countries appearing in the MSCI index and other economically similar countries, with potential for an upgrade. The study revealed that macroeconomic indicators such as GDP, taxation and unemployment rate were statistically significant while Government expenditure, inflation and trade openness had a negative impact on the probability of inclusion in the emerging market index. Government effectiveness, human capital development, production infrastructure and the level of private investment were found to positively impact investability. Institutional variables such as business climate, transparency and accountability, ease of doing business rank and depth of credit information were found to show a strong positive correlation to a country’s graduation into the index. It was observed that foreign investors prefer a large, transparent and liquid market wheresovereign credit ratings show the right signals. With respect to policy making, the arguments based on this study promote the view that index inclusion is a gradual process and is followed by increased investor awareness. The findings show that efforts by countries aiming for index inclusion can increase the likelihood by focusing on faster pace of fixing macroeconomic indicators. While efforts to improve on all fronts would be desirable, progress on physical infrastructure, human capital, financial market development, regulatory framework and political risk is likely to be gradual and not directly linked to macroeconomic policies. Simultaneously, a steady progress towards well-functioning financial markets and domestic policies is likely to have a greater impact on increasing the near-term investabilityItem Risk transmission of stock market movements: evidence from the us and selected African countries(2022) Chatukuta, Trevor TatendaRisk spillover and contagion studies have recently gathered momentum especially with the continuous recurrence of financial and economic crisis globally. Nonetheless, the financial world tends to lack unanimous view on how to properly define contagion. Many studies on risk transmission, spillover and contagion focused mainly on first and second order moments which does not fully consider market traits such as asymmetry. Moreover, the literature on spillover and contagion in Africa is relatively scanty despite the continent being home to only emerging market economies. This study sought to examine the sources and mechanisms of connectedness and risk propagation by applying a technique proposed by Baruník and Krehlík (2018) which advocates for the study of pairwise and inter-national higher order moments. In addition, the technique is based on the premise that innovations or shocks to a market impact variable at numerous frequencies with varying strengths and therefore short-, medium-, and long-term frequencies are used. An inherent merit of using frequencies is that they work on the premise that economic players operate using varying investment horizons which is captured by time-varying frequencies. By studying risk transmission between the United States of America (the US) and selected African markets (Egypt, Nigeria, Kenya and South Africa), this study observed that, except South Africa, these elected African markets were less impacted by the shocks that originated in the US. This was observed from the higher moment skewness based on the weekly data between 25 November 2001 and 30 December 2018. The conclusion is that stronger spillover of shocks is evident among these selected markets (pairwise spillover).