3. Electronic Theses and Dissertations (ETDs) - All submissions
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Item Does idiosyncratic risk derive price momentum and long term reversal :evidence from the Johannesburg Stock Exchange(2019) Mahsayanyika, RichThis study examines if the idiosyncratic risk is the main source behind the persistence of price momentum and reversal effects. Idiosyncratic risk limits arbitrage, regardless of the arbitrageur’s diversification. Price momentum is prevalent only in high idiosyncratic risk stocks, highlighting that idiosyncratic risk limits arbitrage in price momentum mispricing. Long-term reversal is not related to idiosyncratic risk. Long term reversal stocks generates a smaller aggregate return than price momentum stocks, so the findings along with those in related studies suggest that underreaction and overreaction might be the main driving force behind long term reversal returns. The findings of this study are consistent with some of South African literature which suggest that momentum is a more persistent investing strategy than long term reversal on the Johannesburg Stock Exchange (JSE).Item Banking the un-bankable: an empirical study of risk and risk management by micro-financial institutions in Ghana(2013-08-02) Mawuko-Yevugah, YvonneThis research work explores the risks that microfinance institutions (MFIs) face in their operations and the risk management strategies they adopt to mitigate their risks. Microfinance institutions serve some of the world’s most financially challenged population who otherwise would not have access to banking services. Risk management within the context of microfinance banking has gained importance within the last decade due partly to the fact that most MFIs are adopting business/profitability principles in their operations. Also, due to the recent financial crisis, MFI cannot afford to be indifferent to risk management practices in the battle for survival, financial sustainability and self-sufficiency. The data for this study is from both secondary and primary sources; 48 MFIs in Ghana responded to a questionnaire made up of 25 questions. Analysis of the responses obtained was done using Chi-Square test of equal proportions, P-values and other descriptive statistics. The Analysis found that the microfinance institutions surveyed are aware of the types of risk inherent in their line of business and do in varying ways employ some form of risk management strategies to mitigate losses and enhance profitability. Since credit granting stands at the core of the operations of MFIs, the management of risk as a result of the credits extended is crucial for their survival and profitability.Item Evaluation of gold as an investment asset: the South African context(2013-07-26) Pule, Barrend PuleThis study examines potential benefits of investing in various gold investment vehicles in terms of risk and return from a typical South African investor’s perspective. Furthermore, the study examines the relationship between gold price and South African macroeconomic variables. Data used in the study comprises of monthly closing share price data of JSE listed gold mining companies, gold price, Krugerrand coin, NewGold ETF, FTSE/JSE all share index, gold mining index, unit trust index (gold & precious metals), real GDP, rand/dollar exchange rate, repo rate and CPI. It was found that gold bullion produced superior abnormal returns and yielded greater capital growth compared to the JSE all share index. However, the JSE all share index exhibit lower volatility compared to gold bullion. Abnormal returns for JSE listed gold mining companies tend to differ substantially from gold bullion abnormal returns. Gold mining companies exhibit added risk which cannot be attributed to the gold bullion. Gold has a potential to reduce systematic risk when added to a portfolio of stocks. A multiple regression model was estimated which relates gold price to South African macroeconomic variables. It was found that gold price depends on real GDP and rand/dollar exchange rate.Item The impact of macroeconomic factors on the risk of default: the case of residential mortgages(2013-06-03) Mkukwana, Koleka KukuweDefaulted retail mortgage loans as a percentage of retail mortgage loans and advances averaged 9 percent over 2010 as reported in the SARB Bank Supervision Annual report. Banks are in the business of risk taking and as a result need to constantly evaluate and review credit risk management to attain sustained profitability. In credit risk modelling, default risk is associated with client-specific factors particularly the client’s credit rating. However, Brent, Kelly, Lindsey-Taliefero, and Price (2011), have shown that variation in mortgage delinquencies reflect changes in general macroeconomic conditions. This study aims to provide evidence of whether macroeconomic factors such as the house price index, CPI, credit growth, debt to income ratio, prime interest rates, and unemployment, are key drivers of residential mortgage delinquencies and default in South Africa. In this study, data from an undisclosed bank is used to estimate three models that are supposed to capture the influence of several macroeconomic variables on 30 day, 60 day, and 90 day delinquency rates over the 2006-2010 period. In order to eliminate the potential bias introduced by those observations, a fourth model was estimated using aggregated banking industry published by the SARB. However, due to data constraints, only the severe mortgage delinquency state, that is the 90 day delinquency rate was modelled using this aggregate data. The SARB sample covers the period between 2008 and 2010. The choice of the date 2008 coincides with the introduction of the Basel 2 regulatory framework. Prior to 2008, the big four South African banks were governed by the Basel 1 framework, and measured their credit risk using the so-called Standardised Approach which has different loan categories and different default definitions compared to the Basel 2 Advanced Internal Ratings Approach adopted in 2008. The findings suggest that the two samples (i.e. the data from the individual bank and the SARB data) imply different explanatory macroeconomic factors. Prime interest rates were found to be the only important variable in determining 30 day and 60 day delinquency rates for the individual bank. The house price index, CPI, credit growth, and prime interest rates were found to be the main determinants of the 90 day delinquency rates for the undisclosed bank, while the house price index, CPI, and credit growth, determine the 90 day delinquency rates for the big four banks.Item An empirical investigation of the conditional risk-return trade-off in South Africa.(2013-03-20) Limberis, AndrewOne of the fundamental tenets of finance is the relationship between risk and return. This research report contributes to the debate by testing the conditional risk-return relationship of shares on the Johannesburg Stock Exchange (JSE) for the period 2001 to 2011. More specifically, the extent to which beta, standard deviation, semi-deviation and value-at-risk (VaR) are individually able to explain total share return, taking into account the conditional framework of up and down markets and sub-periods, is investigated. Portfolios based on these risk measures have been tracked and regressed. The robustness of the relationships are tested by using value and equal weighted portfolios. The study indicates that standard deviation was able to explain the risk-return relationship across all scenarios (overall, up/down markets and sub-periods), while beta proved to be an ineffective measure of risk under all scenarios. The testing of downside risk measures revealed that semi-deviation produced weak results under all scenarios, while value-at-risk proved to be an effective measure of risk both during poor market conditions and on an overall basis.Item Foreign exchange risk and the flow of international portfolio capital: evidence from Africa's capital markets(2012-03-14) Kodongo, Christopher OdongoThis dissertation addresses two major issues. First, it investigates whether currency risk commands a significant premium in representative equity markets in Africa. The International Arbitrage Pricing Theory and the Stochastic Discount Factor model respectively provide the analytical frameworks for the unconditional and the conditional asset pricing models used to investigate currency risk pricing. Empirical data analysis uses the Generalized Method of Moments estimation technique. Second, it examines the nexus between real foreign exchange rates and net international portfolio flows in representative capital markets in Africa. Time series and panel data techniques are employed to this end. The study covers seven major African countries: Botswana, Egypt, Ghana, Kenya, Morocco, Nigeria, and South Africa over the period January 1997 through December 2009. Foreign exchange risk is found to be non-priced unconditionally when returns are measured in the US dollar; weakly priced unconditionally when returns are measured in the euro; and priced with time-varying risk premia in the conditional sense. Africa’s equity markets are found to be partially integrated with the rest of the world. Monthly international portfolio flows to Africa are found to be low, non-persistent and relatively volatile. Using monthly data, Granger causality tests and innovation accounting from vector autoregressions (VARs), the study shows that the dynamic relationship between the real exchange rates and net portfolio flows is both country-dependent and time-varying. The findings are robust to alternative VAR specifications. However, annual data exhibit strong causality moving from real exchange rates to net portfolio flows, suggesting that fluctuations in real exchange rates inform the investment decisions of foreign investors in Africa’s capital markets. Among the key policy implications, it is recommended that, in addition to the US dollar and precious metals, Africa’s monetary authorities should regard the euro as an important reserve currency; that policies be put in place to expedite the development of private fixed income securities and derivatives markets; that sound monetary policies be instituted to ensure that interest rate changes are market-determined and inflationary pressures are well-managed; and that regional markets integration and financial sector development policies be pursued more meticulously by governments in Africa.Item What constitutes a 'risky' identity? : the social representation of the risk of contracting HIV among South African students.(2011-04-04) Stadler, Sarah LouiseThis research aimed to explore the social representation of a ‘risky identity’ with regard to HIV. 12 students participated in the research and these participants were required to take photographs regarding their perceptions of a ‘risky identity’. Each participant also took part in a semi-structured interview that prompted discussion of the photographs and the different factors perceived to influence the risk of HIV infection. These interviews were audiorecorded and transcribed. Discourse analysis was used to analyse the data and how the participants position the ‘other’ as more at risk of HIV infection than the self. The analysis also revealed that the most common factor perceived to influence the risk of HIV infection is substance use. Other factors include: gender, race, age, and socio-economic status. Interestingly, the participants found it easier to attribute risk to behavioural and environmental factors, whereas they were more reluctant to associate risk with factors such as race and gender. In fact, when doing so, many of the participants emphasised the impact of environmental and behavioural factors as a means to justify their perceptions. The risk of justifying social representations in such a manner is that prejudiced attitudes remain, just in a seemingly more socially acceptable form. Subsequently, it is recommended that HIV prevention programs go beyond education to critical discussions about issues of identity and the social representations and risk perceptions influencing sexual behaviour.