Electronic Theses and Dissertations (Masters/MBA)
Permanent URI for this collectionhttps://hdl.handle.net/10539/37942
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Item Testing assets pricing models on Africa’s mutual fund industry(University of the Witwatersrand, Johannesburg, 2022) Moola, Ahmed; Kodongo, OdongoThis paper concentrates on testing various asset pricing models on mutual fund returns in six African countries. The various asset pricing models include the CAPM, the Fama-French threefactor model, the Carhart four-factor model, the Fama-French five-factor model and the FamaFrench six-factor model. The models performances were evaluated using a range of performance measures and the best performing asset pricing model was identified in each country as well as across the African mutual fund industry as a whole. With the CAPM being deemed as unable to fully explain returns, it led to the development of new models including more factors that were thought to be vital in explaining returns. The top performing asset pricing model across the African mutual fund industry is the FamaFrench five-factor model as it outperforms both the CAPM and the Fama-French three-factor model. Diving deeper and looking at the performances of the models in each country, the results tend to differ. For South Africa, different models outperform the others across the different metrics, however, for the remaining sample countries, the Fama-French five-factor model outperforms the other models across most performance measures. Across all countries, except South Africa, the profitability factor, RMW, is the only nonredundant factor. All the other factors jointly explain one another. For South Africa, the momentum factor is non-redundant for both the Carhart four-factor model and the FamaFrench six-factor model.Item Relationship between financial deepening and economic growth for selected countries in Africa(2020) Musiyazviriyo, TafadzwaThe financial sectors of African countries are still underdeveloped relative to other regions, and there is little academic research on how this can be improved. Given the potential for economic growth, fuelled by further financial sector development, the call is for African policymakers to prioritise financial deepening policies to stimulate economic growth. The purpose of the study was to investigate the relationship between financial deepening and economic growth in 51 African countries. This research sought to achieve three objectives: (i) whether financial depth for the African countries between 1993 and 2017 had a significant impact on economic growth; (ii) whether the effect is positive or negative; and (iii) determining the size of the effect. The assumption was that financial depth in the African countries positively influences economic growth. The study also sought to ascertain whether the direction of causality is unidirectional or bi-directional. This study assumed that the direction of causality is bi-directional. Using the two-step generalised methods of moments (GMM), the study assessed the relationship between financial deepening and economic growth in 51 African countries from 1993 to 2017. The findings reveal that there is a significant negative relationship between financial deepening and economic growth. The Granger causality tests applied further show that there is a bi-directional relationship between financial deepening and economic growth. The main conclusion from the study is that there is a multidimensional approach opportunity for African countries to develop their financial sectors further to stimulate economic growth. Possible interventions in policy can be to create an environment that aims to encourage either a demand-following and/or a supply-leading approach to financial sector development. Both strategies will result in financial deepening and may stimulate economic growth since there is a bi-directional relationship between financial deepening and economic growth.