Faculty of Commerce, Law and Management (ETDs)
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Item Currency Volatilities of BRICS Countries: The Impact of Commodity Prices, Interest Rates and Geopolitical Risks(University of the Witwatersrand, Johannesburg, 2024) Luo, Heng; Odei-Mensah, JonesCurrency volatility in emerging markets is an interesting topic for managers, investors, and regulators. This study investigated the currency volatility of the five BRICS nations, examined the risk sources of the BRICS currencies and observed the connectedness of their currency risks, in the context of the COVID-19 pandemic, Russia-Ukraine war and current interest rate hikes, using data spanning between September 2011 and September 2023. The ARDL model was the main econometrics approach applied for identifying the long run and short run currency volatility determinants. In addition, Quantile Regression was adopted to observe the currency markets’ tail behaviours. The research has three major findings. Firstly, the research confirmed that interest risk, commodity risks, geopolitical risk, and economic policy uncertainty are the risk sources of BRICS nations’ currencies, especially when volatilities are at high levels. Additionally, the research provided support for spillover of the commodity market, the USA’s geopolitical risks and economic policy risks to the BRICS’ currency markets, and the volatility spillover across BRICS currency markets. Finally, the study revealed the shock evolution trend of Chinese RMB, with accelerating impacts of US geopolitical risk, US and home economic policy risk, and oil price exposure on RMB’s volatility. Overall, the heterogeneity of BRICS nations’ currency markets responding to external shocks, and the asymmetry of the connectedness of BRICS currency markets, were important implications of the research. The findings are crucial for investors and policy makersItem The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance in South Africa(University of the Witwatersrand, Johannesburg, 2023) Mudau, Phathutshedzo; Godspower-Akpomiemie, EuphemiaThe relationship between commodity prices and the stock market has been an important focus in literature. This relationship is especially important for a rich mineral resource country with an export-based economy like South Africa. Fluctuating commodity prices create significant business challenges, impacting production costs,product pricing and profitability. Understanding factors that affect the stock market performance becomes important, since the performance of the stock market is associated with the economic condition. This study examined the sensitivity of stock market performance to fluctuations in commodity prices and macroeconomic factors, using monthly data that spans from January 2005 to December 2020. Crude oil and platinum were selected as commodities while interest rate and exchange rate were selected as macroeconomic factors for this study. Ordinary Least Square (OLS) regression method was deployed, together with quantile regression, in this study to achieve the objective. The resulting OLS regression model was also tested for goodness of fit and the residuals tested to validate the model. It was found that commodity price fluctuations affect stock market performance positively and macroeconomic factors affect it negatively. An increase in platinum price caused an increase in the stock market performance. This reflects the importance of palatinum as one of the most produced and exported minerals in South Africa. Crude oil price fluctuations had a positive impact on the stock market performance. The positive impact could be due to South Africa’s trade balance or the source of the crude oil price shock. Exchange rate showed the highest impact on the performance of the stock market. Cheaper imports shift demand from locally produced goods in favour of import, affecting their profitability. Interest rate had a negative but insignificant impact on stock market performance.Item The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance in South Africa(University of the Witwatersrand, Johannesburg, 2023) Mudau, Phathutshedzo; Godspower-Akpomiemie, EuphemiaThe relationship between commodity prices and the stock market has been an important focus in literature. This relationship is especially important for a rich mineral resource country with an export-based economy like South Africa. Fluctuating commodity prices create significant business challenges, impacting production costs, product pricing and profitability. Understanding factors that affect the stock market performance becomes important, since the performance of the stock market is associated with the economic condition. This study examined the sensitivity of stock market performance to fluctuations in commodity prices and macroeconomic factors, using monthly data that spans from January 2005 to December 2020. Crude oil and platinum were selected as commodities while interest rate and exchange rate were selected as macroeconomic factors for this study. Ordinary Least Square (OLS) regression method was deployed, together with quantile regression, in this study to achieve the objective. The resulting OLS regression model was also tested for goodness of fit and the residuals tested to validate the model. It was found that commodity price fluctuations affect stock market performance positively and macroeconomic factors affect it negatively. An increase in platinum price caused an increase in the stock market performance. This reflects the importance of platinum as one of the most produced and exported minerals in South Africa. Crude oil price fluctuations had a positive impact on the stock market performance. The positive impact could be due to South Africa’s trade balance or the source of the crude oil price shock. Exchange rate showed the highest impact on the performance of the stock market. Cheaper imports shift demand from locally produced goods in favour of import, affecting their profitability. Interest rate had a negative but insignificant impact on stock market performance