4. Electronic Theses and Dissertations (ETDs) - Faculties submissions

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    Diversification benefits of SA REITs in a mixed asset portfolio: one decade and a pandemic later
    (2023) Mphaho, Masilo; Kodongo, Odongo
    Volatility spillover between financial markets causes inefficiency of diversification. Therefore, other investment alternatives are required to build an optimal portfolio, one of them being Real Estate Investment Trusts (REITs). The low correlation between REITs and stocks implies an advantage of diversification in an investment portfolio containing both assets. An important implication of this finding is that if stocks and REITs are incorporated into an investment portfolio, the investor will have better diversification benefits. This paper looks at the diversification benefits of having REITs in a mixed asset portfolio by conducting an empirical study from when the REIT regime came into effect in South Africa 10 years ago, particularly focusing on the period between 2013 and 2023. The econometric tools used in this regard include cointegration and, time series models (VAR and VECM) for forecasting. The paper also considers how the COVID-19 pandemic has affected this relationship by conducting a mean-variance spanning test to see if the inclusion of REITs in an existing portfolio dominates it. Other measures such as Sharpe ratios and Efficient Frontiers are included for analysing portfolio performance. Therefore, providing a mature analysis of REITs continuing from current literature and assisting Fund Managers in understanding the impact of including the asset class in a portfolio with a long-term investment horizon. This study affirms the low correlation between REITs and other stocks and further shows that they are not affected by shocks in the bond and stock markets respectively while also having the potential to improve the risk-adjusted returns of a Portfolio. Therefore, Fund Managers can consider REITs for their portfolio diversification strategies.
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    Assessing livelihood vulnerability and adaptation to climate variability and change among farming households in Plateau State, north-central Nigeria
    (University of the Witwatersrand, Johannesburg, 2024) Hassan, Buhari; Knight, Jasper
    It has been projected that sub-Saharan Africa would be severely affected by climate change in form of persistent and increasing climate variability. Nigeria’s situation as a developing country coupled with the fact that agricultural activities are primarily rainfed, provides a suitable case study in which to assess the vulnerability of farming households to climate variability and change. Lack of data on the nature and extent of vulnerability to climate variability (particularly annual changes in rainfall and temperature patterns) on food production systems and livelihoods in Nigeria hinders the development of effective policies to mitigate the adverse impacts of climate change and variability. The study aims to improve understanding of the socio-economic, institutional, biological and physical factors that contribute to vulnerability of farming households to climate change and variability in Nigeria. By combining descriptive, participatory and statistical analysis as well as field observations, this research develops a holistic approach to assess the level of exposure, sensitivity and adaptive capacity of farming households. Multistage sampling was used to purposely select communities in Bokkos Local Government Area, Plateau State, for the study, while farming households were randomly selected for the household questionnaire survey within four communities. Purposive sampling was used to identify key informants for interviews. Observation and taking photographs of farmers’ activities were used to complement the other data collection methods. Qualitative data was analysed using descriptive and content analysis, while the quantitative data was analysed using the Statistical Package for Social Sciences (SPSS) (v 27) and Microsoft Excel (v2020). The level of vulnerability of farming households was determined using the Sustainable Livelihood Approach. Results show that farmers are exposed to climate variability in form of changing rainfall patterns which includes late onset of rains, dry spells, and early cessation of rains and crop loss due to pests and disease infestation. Results show that the vulnerability of farming households can be linked to access to household livelihood capital assets and that households are characterised by low levels of financial, social and physical capital. Smallholder farming households adopt a range of on-farm and off-farm adaptation strategies including changing planting time, crop diversification, engaging in irrigation farming, intensifying the use of fertilizers, manure and agro-chemicals to boost crop yield, and planting of disease-resistant and drought-tolerant crop varieties. Farming households experience a number of challenges which include a lack of financial resources which has a strong influence on enhancing other capital assets such as physical and natural capitals; poor access to mechanised agricultural equipment, lack of training on how to deal with climate change and variability, limited access to improved crop varieties as well as a lack of institutional support, which constitute serious barriers to adaptation to climate variability. In applying these results to climate change adaptation it is recommended that policymakers need to institute specific and implementable climate change adaptation policies that will enable farmers to utilize their capital assets on effective adaptation measures and also engage in viable alternative livelihood diversification strategies, enhance agricultural productivity and resilience and improve institutional support including access to information and training
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    Modelling the dependence structures among international stock markets using copulas: Evidence from South Africa and advanced economies
    (niversity of the Witwatersrand, Johannesburg, 2023) Foresto, Anis; Farell, Gregory
    Growth in financial linkages has led to similar movements between financial markets. This increase in financial market interdependence or comovement raises questions about the transmission of risk through conventional channels (balance sheet, trade dependence and portfolio flows), particularly the methods policymakers and institutional investors use to measure the strength and intensity of these transmission channels. This study will add to the literature by empirically assessing the dependence structure between South Africa and Advanced Economies (AE) stock prices, to determine if diversification is still possible. These are represented by the Johannesburg Securities Exchange (JSE TOP 40 index for South Africa, the Standard and Poor’s 500 (S&P 500) for the United States, Financial Times Stock Exchange 100 (FTSE 100) for the UK, and the Deutscher Aktienindex for Germany. This study will model the dependence structure using both static and time-varying copula methods. The time-varying copula model specification is adapted from the Generalized Autoregressive Score (GAS) model of Creal et al (2013). This study finds little evidence to support the benefit of diversification between South Africa’s stock market and advanced economies. The results are consistent with the stylised facts in the literature: asset returns are asymmetric and leptokurtic and the dependence between markets intensifies during crisis periods. The findings of this study are consistent with prior literature on African markets (Mensah and Alagidede, 2017, Bello et al, 2022)