3. Electronic Theses and Dissertations (ETDs) - All submissions

Permanent URI for this communityhttps://wiredspace.wits.ac.za/handle/10539/45

Browse

Subject: search.filters.subject.Liquidity

Search Results

Now showing 1 - 4 of 4
  • No Thumbnail Available
    Item
    Excess liquidity in the financial sector of Lesotho : main drivers and policy options
    (2014-07-10) Thamae, Matsabisa
    This study investigates the main drivers of excess liquidity in the financial sector of Lesotho using Vector Auto Regression (VAR) analysis. The study also undertakes a comparative analysis of Lesotho and CMA economies for economic and financial sector characteristics to benchmark and assist policy recommendation. The results of the study suggest that excess liquidity in Lesotho’s financial sector is driven by undeveloped financial sector as reflected by significant private sector credit to GDP ratio in the results, government expenditure and central bank activities in the open market operations, together with past levels of excess liquidity in the model. Compared to CMA, financial intermediary in Lesotho is relatively undeveloped with government dominating economic activity. The banking sector is observed to be non-competitive for deposits as hinted by the wide intermediation margin compared to other CMA countries.
  • No Thumbnail Available
    Item
    African frontier markets: extent of illiquidity and inherent private equity investment opportunities
    (2013-08-27) Du Toit, Willem Johannes
    This study investigates the current private equity market in African frontier markets as well as inherent investment opportunities in these African frontier markets. The research includes an analysis of, inter-alia, the following: the development of capital markets in Africa, the classification of African frontier markets, the measurement of liquidity, the relationship between liquidity and asset prices and the history of private equity. This study will highlight to policymakers both in African and in donor capitals the need to implement strategies that will support investment (especially private equity investment) into the continent. The research carried out in this study should contribute to a better understanding of illiquidity risks of African frontier markets and show how these can be mitigated. This study will also provide key information on African frontier markets to investors and fund managers in order for them to understand that a typical investment strategy for investing in developed markets cannot be applied to frontier markets. The study analyses data of listed stocks on selected African stock exchanges and compares this to data for similar stocks listed on developed world stock markets to examine the relationship between liquidity, earnings multiples and market capitalisations for these stocks. Interestingly, results show that, while there is no relationship between the liquidity of stocks and the Price Earnings (PE) multiples of stocks, there is strong evidence to suggest that a relationship exists between the liquidity of stocks and the Enterprise Value to EBITDA (EV/EBITDA) multiples of stocks. Furthermore, we find strong evidence that African frontier market stocks are significantly less liquid and have lower earnings multiples than stocks with similar market capitalisations listed on stock exchanges in the developed world.
  • No Thumbnail Available
    Item
    Earning news on stock liquidity and post earnings announcement drift in France, USA and South Africa.
    (2013-08-27) Oyebanji, Busayo Funke
    This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between information asymmetry cost component and Post Earnings Announcement Drift in different equity markets. The scope of this research includes 426 firms from three countries in capital trading, the United States of America, South Africa and France. The first part of empirical work, shows that price reaction and liquidity effect are profound during short term event window length and reduce over time when the news ceases, The second part, a multivariate regression analysis which uses Generalised Method of Movement to capture both the problems of a likely presence of endogeneity between the explanatory variables and cross-stock heterogeneity, shows that the impact of earnings announcement on stock liquidity can split in two directions. The immediate effect is the shock after the news, causing stock liquidity to decrease immediately by lifting the illiquidity function upward. After the event, from the new increased position of illiquidity function, stock liquidity improves over time due to the trading volume increases and shifts the slope of illiquidity function downward. The overall effects at a point of time will be the total impact of the two side effects. And as shown in the results, the overall impact on the US and SA markets are that stock liquidity decreases while that of Euronext Paris, the stock liquidity increases. There are two types of Accounting law systems of which the common law system is used in the US and SA equity markets and the code law system used in France, the difference between the two law systems is that the information asymmetry component dominates the bid-ask spread in common law countries as in the US and SA markets while the cost of trading dominates the bid-ask spreads in code law countries such as France equity market. Finally, it is shown that there are several determinants of the PEAD, of which stock liquidity is one. Earnings news changes the stock liquidity, and therefore stock liquidity plays a role in the market response. When earnings news is released, it initially creates a gap between the informed traders and the uninformed traders, increasing the bid ask spread. Over time, this information gap decreases, however in the meantime more information on the market increases trading volume and reduces trading cost, leading to another part of the bid ask spread decreasing or stock liquidity improving. After decomposing bid ask spread into information asymmetry cost and cost of trading components, the final part of empirical iv analysis shows that information asymmetry cost component provides a partial explanation for PEAD in the Johannesburg stock exchange and Euronext Paris.
  • No Thumbnail Available
    Item
    Liquidity risk management in the banking book: a practical framework approach to Basel III regulations
    (2013-08-26) Nkou Mananga, Pierre Celestin
    The recent market turmoil caused by the subprime crisis highlighted the fact that an inappropriate liquidity risk management process may strongly affect the capacity of banks to maintain their financial equilibrium and economic performance under stress conditions. In addition, it has been observed that the most significant challenge facing banks when they are adopting new regulations such as Basel I, Basel II and now Basel III is the imminent threat of imbalances between the interests of the shareholders and those of the regulator (Chabanel, 2011). This thesis proposes a framework on liquidity risk management in the banking book that a bank may adopt so as to improve the way in it could manage the anticipated changes within tits regulatory environment.
Copyright Ownership Is Guided By The University's

Intellectual Property policy

Students submitting a Thesis or Dissertation must be aware of current copyright issues. Both for the protection of your original work as well as the protection of another's copyrighted work, you should follow all current copyright law.