Relationship between oil price changes and the South African stock market returns: a nonlinear ARDL analysis
- Authors: Habana, Athenkosi
- Date: 2024-10-11
- Subjects: Stock market index South Africa , Stock exchanges South Africa , Petroleum products Prices South Africa , Autoregression (Statistics) , JSE Securities Exchange South Africa
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462713 , vital:76328
- Description: Understanding the factors that influence oil price volatility and how they affect the stock market is crucial for decision-making, planning, and forecasting by governments, companies, and individuals. The aim of this study is to analyze the relationship between oil prices and stock market returns of selected JSE stock indices. A nonlinear ARDL model is used to study the interaction between changes in oil prices and the South African stock market. Monthly data covering the period from January 2010 to December 2022 is utilized in the study. The main findings of the study show that in the short run negative changes in oil prices have a statistically significant positive impact that on stock returns of the All-Share, Financials and Resources indices, while it is insignificant for the Industrials index stock returns. On the other hand, positive changes in oil prices have a negative and insignificant impact on all the stock returns of the indices. Therefore, in the short-run there is no nonlinear relationship between oil prices and the stock returns of the indices. In the long-run, the impact of oil prices on stock returns of the All Share, Financials and Resources indices is nonlinear or asymmetric. The impact of oil price changes on the stock indices varies across the indices. An increase in oil prices has a negative and statistically significant impact on stock returns of the All Share, Financials and Resources index. Conversely, a decrease in oil prices has a positive and significant impact on All Share, Financials and Resources index stock returns in the long-run. The impact of positive and negative changes in oil prices is insignificant for the Industrials index stock returns. Therefore, these finding makes it possible for investors or portfolio managers to better mitigate the negative consequences of unforeseen events and adapt their investment plans to hedge against variations in the price of oil. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-10-11
- Authors: Habana, Athenkosi
- Date: 2024-10-11
- Subjects: Stock market index South Africa , Stock exchanges South Africa , Petroleum products Prices South Africa , Autoregression (Statistics) , JSE Securities Exchange South Africa
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/462713 , vital:76328
- Description: Understanding the factors that influence oil price volatility and how they affect the stock market is crucial for decision-making, planning, and forecasting by governments, companies, and individuals. The aim of this study is to analyze the relationship between oil prices and stock market returns of selected JSE stock indices. A nonlinear ARDL model is used to study the interaction between changes in oil prices and the South African stock market. Monthly data covering the period from January 2010 to December 2022 is utilized in the study. The main findings of the study show that in the short run negative changes in oil prices have a statistically significant positive impact that on stock returns of the All-Share, Financials and Resources indices, while it is insignificant for the Industrials index stock returns. On the other hand, positive changes in oil prices have a negative and insignificant impact on all the stock returns of the indices. Therefore, in the short-run there is no nonlinear relationship between oil prices and the stock returns of the indices. In the long-run, the impact of oil prices on stock returns of the All Share, Financials and Resources indices is nonlinear or asymmetric. The impact of oil price changes on the stock indices varies across the indices. An increase in oil prices has a negative and statistically significant impact on stock returns of the All Share, Financials and Resources index. Conversely, a decrease in oil prices has a positive and significant impact on All Share, Financials and Resources index stock returns in the long-run. The impact of positive and negative changes in oil prices is insignificant for the Industrials index stock returns. Therefore, these finding makes it possible for investors or portfolio managers to better mitigate the negative consequences of unforeseen events and adapt their investment plans to hedge against variations in the price of oil. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2024
- Full Text:
- Date Issued: 2024-10-11
Liquidity shocks and capital market efficiency in South Africa
- Matapuri, Dexter Tinotenda Kushinga
- Authors: Matapuri, Dexter Tinotenda Kushinga
- Date: 2023-10-13
- Subjects: Liquidity (Economics) , Stock exchanges South Africa , Insolvency , Securities South Africa , Capital market South Africa , Investments, Foreign
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/419610 , vital:71659
- Description: Financial markets are dynamic in nature. As such, one way to keep up with their plethora of variables is to conduct research and seek understanding on how they all work together. Understanding financial market mechanics is the key to achieving and maintaining efficient capital markets. The goal of many economies is to have efficient capital markets mainly because they entail economic growth. One of the common avenues here being foreign direct investments. Therefore, over the years, a lot of financial economics research has been conducted on how best to attain financial market development which ultimately yields capital market efficiency. The opposite is also true. This research therefore set out to study the impact of liquidity shocks on capital market efficiency, more specifically stock market efficiency. As such, the overarching research goal was to determine the link between liquidity shocks and stock market efficiency in South Africa. Furthermore, the research also tested whether there is a homogenous impact exerted by liquidity shocks on the JSE Financial 15, JSE Industrial 25 and JSE Resource 20 indices. The arguments and thus conclusions of the research were constructed based on existing theories such as the Efficient Market hypothesis, Behavioural Finance and the Adaptive Market Hypothesis. Literature and existing empirical evidence related to the topic were also analysed and used for the same purpose. Econometric methods used to achieve these research goals include the time series and panel ARDL, impulse response and variance decomposition tests and the Granger Causality tests. The research found that liquidity shocks do impact stock market efficiency in South Africa in both the short run and long run. The direction of the impact was noted to vary with time and dependent on the liquidity shock proxy. Key findings here were that liquidity shocks lower JSE All-Share index efficiency in the short run thus allowing market participants to beat the market in the initial phases of a liquidity shock. Adding on, it was also found that illiquidity shocks lower efficiency for the JSE Financial 15 and Industrial 25 indices in the short run. In the long run, stock market efficiency is enhanced no matter the source of the shock. As such, the research recommended that regulatory policies should focus on liquidity shocks in the short run for the JSE All-Share index and on illiquidity shocks in the short run for the Financial 15 and Industrial 25 indices. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2023
- Full Text:
- Date Issued: 2023-10-13
- Authors: Matapuri, Dexter Tinotenda Kushinga
- Date: 2023-10-13
- Subjects: Liquidity (Economics) , Stock exchanges South Africa , Insolvency , Securities South Africa , Capital market South Africa , Investments, Foreign
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/419610 , vital:71659
- Description: Financial markets are dynamic in nature. As such, one way to keep up with their plethora of variables is to conduct research and seek understanding on how they all work together. Understanding financial market mechanics is the key to achieving and maintaining efficient capital markets. The goal of many economies is to have efficient capital markets mainly because they entail economic growth. One of the common avenues here being foreign direct investments. Therefore, over the years, a lot of financial economics research has been conducted on how best to attain financial market development which ultimately yields capital market efficiency. The opposite is also true. This research therefore set out to study the impact of liquidity shocks on capital market efficiency, more specifically stock market efficiency. As such, the overarching research goal was to determine the link between liquidity shocks and stock market efficiency in South Africa. Furthermore, the research also tested whether there is a homogenous impact exerted by liquidity shocks on the JSE Financial 15, JSE Industrial 25 and JSE Resource 20 indices. The arguments and thus conclusions of the research were constructed based on existing theories such as the Efficient Market hypothesis, Behavioural Finance and the Adaptive Market Hypothesis. Literature and existing empirical evidence related to the topic were also analysed and used for the same purpose. Econometric methods used to achieve these research goals include the time series and panel ARDL, impulse response and variance decomposition tests and the Granger Causality tests. The research found that liquidity shocks do impact stock market efficiency in South Africa in both the short run and long run. The direction of the impact was noted to vary with time and dependent on the liquidity shock proxy. Key findings here were that liquidity shocks lower JSE All-Share index efficiency in the short run thus allowing market participants to beat the market in the initial phases of a liquidity shock. Adding on, it was also found that illiquidity shocks lower efficiency for the JSE Financial 15 and Industrial 25 indices in the short run. In the long run, stock market efficiency is enhanced no matter the source of the shock. As such, the research recommended that regulatory policies should focus on liquidity shocks in the short run for the JSE All-Share index and on illiquidity shocks in the short run for the Financial 15 and Industrial 25 indices. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2023
- Full Text:
- Date Issued: 2023-10-13
Is there an inverse-u relationship between financialisation and investment?: South Africa’s stock market capitalisation in comparative perspective
- Authors: Owen, Michael Robert
- Date: 2021-10
- Subjects: Monetary policy South Africa , Globalization , Economics South Africa , Capital movements South Africa , Stock exchanges South Africa , Investments South Africa , Economic development South Africa , South Africa Economic conditions 1991-
- Language: English
- Type: Master's theses , text
- Identifier: http://hdl.handle.net/10962/191084 , vital:45058
- Description: In recent decades, the growth and fluctuations in the financial sector have become increasingly disjointed from events in the real economy. There has been a dramatic increase in global market integration and globalisation since the 2008 financial crisis. The argument presented in the thesis shows perspective from the two general debates in Economics. The Orthodox view, which suggests there is an efficient flow of resources between people and institutions over time, supports the argument that there is a positive relationship between financialisation and economic growth. Alternatively, the Heterodox view argues that financial liberalisation fails to anticipate market effects and requires intervention in order to limit negative consequences. More recent studies have proposed an inverse-U theory between financialisation and investment, which suggests that there is a threshold, above which further financial development and financial globalisation has detrimental effects on the real economy. With South Africa being a developing country that is highly reliant on capital inflows to finance the economy, there is space for more acute research to investigate whether South Africa has surpassed this threshold. This study focusses on one aspect of this relationship, namely the relationship between Stock Market Capitalisation and Investment. It uses panel data analysis and other methods to explore whether such an inverse-U relationship exists internationally, and whether South Africa is suffering from the effects of financialisation. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2021
- Full Text:
- Date Issued: 2021-10
- Authors: Owen, Michael Robert
- Date: 2021-10
- Subjects: Monetary policy South Africa , Globalization , Economics South Africa , Capital movements South Africa , Stock exchanges South Africa , Investments South Africa , Economic development South Africa , South Africa Economic conditions 1991-
- Language: English
- Type: Master's theses , text
- Identifier: http://hdl.handle.net/10962/191084 , vital:45058
- Description: In recent decades, the growth and fluctuations in the financial sector have become increasingly disjointed from events in the real economy. There has been a dramatic increase in global market integration and globalisation since the 2008 financial crisis. The argument presented in the thesis shows perspective from the two general debates in Economics. The Orthodox view, which suggests there is an efficient flow of resources between people and institutions over time, supports the argument that there is a positive relationship between financialisation and economic growth. Alternatively, the Heterodox view argues that financial liberalisation fails to anticipate market effects and requires intervention in order to limit negative consequences. More recent studies have proposed an inverse-U theory between financialisation and investment, which suggests that there is a threshold, above which further financial development and financial globalisation has detrimental effects on the real economy. With South Africa being a developing country that is highly reliant on capital inflows to finance the economy, there is space for more acute research to investigate whether South Africa has surpassed this threshold. This study focusses on one aspect of this relationship, namely the relationship between Stock Market Capitalisation and Investment. It uses panel data analysis and other methods to explore whether such an inverse-U relationship exists internationally, and whether South Africa is suffering from the effects of financialisation. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2021
- Full Text:
- Date Issued: 2021-10
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