Modelling daily return variations in developing market currencies
- Authors: Howarth, Grant
- Date: 2013-07-12
- Subjects: Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1076 , http://hdl.handle.net/10962/d1008365 , Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Description: This study examines the American Dollar (USD) denominated currency returns of five developing market currencies for the presence of the day-of-the-week effect. Daily data from January 1995 to February 2008 is examined, and is split into two subperiods, SP1 (1995 - 2002) and SP2 (2003 - February 2008). Currency returns are non-normally distributed across the full data set and SP1 , but tend towards normality in SP2. As such non-parametric tests are used to test the equality of the first four moments across days of the week. Tests on the first moment show that two of the currencies do not show any evidence of the day-of-the-week effect. However, evidence of the day-of-the-week effect is found in the other three currencies in SP1, although the effect disappears or weakens significantly in SP2. Little evidence of the day-of-the-week effect is found in tests on the second moment. The hypothesis of equal higher moments across currency returns is rejected for almost all of the weekday pairs for all five currencies in SP1 , but in SP2 the hypothesis of equal higher moments can only be rejected for a single pair of weekdays for one currency. This indicates the disappearance of the day-of-the-week effect across higher moments in SP2. Thus, the study finds that the day-of-the-week effect is present across the first moment and higher moments in the returns to most currencies in SP1 , but has disappeared for all five currencies in SP2. , KMBT_363 , Adobe Acrobat 9.54 Paper Capture Plug-in
- Full Text:
- Authors: Howarth, Grant
- Date: 2013-07-12
- Subjects: Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1076 , http://hdl.handle.net/10962/d1008365 , Dollar, American , Currency questions , Foreign exchange market , Foreign exchange rates , Rate of return -- Developing countries , Money market , Prices
- Description: This study examines the American Dollar (USD) denominated currency returns of five developing market currencies for the presence of the day-of-the-week effect. Daily data from January 1995 to February 2008 is examined, and is split into two subperiods, SP1 (1995 - 2002) and SP2 (2003 - February 2008). Currency returns are non-normally distributed across the full data set and SP1 , but tend towards normality in SP2. As such non-parametric tests are used to test the equality of the first four moments across days of the week. Tests on the first moment show that two of the currencies do not show any evidence of the day-of-the-week effect. However, evidence of the day-of-the-week effect is found in the other three currencies in SP1, although the effect disappears or weakens significantly in SP2. Little evidence of the day-of-the-week effect is found in tests on the second moment. The hypothesis of equal higher moments across currency returns is rejected for almost all of the weekday pairs for all five currencies in SP1 , but in SP2 the hypothesis of equal higher moments can only be rejected for a single pair of weekdays for one currency. This indicates the disappearance of the day-of-the-week effect across higher moments in SP2. Thus, the study finds that the day-of-the-week effect is present across the first moment and higher moments in the returns to most currencies in SP1 , but has disappeared for all five currencies in SP2. , KMBT_363 , Adobe Acrobat 9.54 Paper Capture Plug-in
- Full Text:
A comparative analysis of the divisia index and the simple sum monetary aggregates for South Africa
- Authors: Moyo, Solomon Simbarashe
- Date: 2009
- Subjects: Monetary policy -- South Africa , Money supply -- South Africa , Inflation finance -- South Africa , Index numbers (Economics)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:945 , http://hdl.handle.net/10962/d1002679 , Monetary policy -- South Africa , Money supply -- South Africa , Inflation finance -- South Africa , Index numbers (Economics)
- Description: The effectiveness of monetary policy in achieving its macroeconomic objectives such as price stability and economic growth depend on the monetary policy tools that are implemented by the Central Bank. Monetary aggregates are one of the tools that have been used as indicators of economic activity and as intermediate targets to achieve these economic objectives. Until recently, monetary aggregates have been questioned and criticised on their usefulness in monetary policy. This has been attributed to the economic, financial and technological developments that have distorted the relationship between monetary aggregates and major macroeconomic variables. This study investigates the relevance of monetary aggregation by comparing the traditional simple sum and Divisia index monetary aggregates which was constructed for the first time for South Africa using the Tornquist-Theil method. The Polynomial Distributed Lag model is employed to compare the performance of these monetary aggregates using their relationship with inflation and manufacturing index. Furthermore, the aggregates are compared in terms of their controllability and information content. Overall, the study found a very strong relationship between inflation and all the monetary aggregates. However, more specifically the results suggested that the Divisia indices are superior to the simple sum in terms of predicting inflation. The evidence further suggests that the Divisia aggregates provide higher information about inflation than the simple sum aggregates. Regarding the controllability of the monetary aggregates, the findings suggest that the monetary authorities can hardly control the monetary aggregates using monetary base. Finally, the relationship between manufacturing index and all the monetary aggregates was very weak.
- Full Text:
- Date Issued: 2009
- Authors: Moyo, Solomon Simbarashe
- Date: 2009
- Subjects: Monetary policy -- South Africa , Money supply -- South Africa , Inflation finance -- South Africa , Index numbers (Economics)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:945 , http://hdl.handle.net/10962/d1002679 , Monetary policy -- South Africa , Money supply -- South Africa , Inflation finance -- South Africa , Index numbers (Economics)
- Description: The effectiveness of monetary policy in achieving its macroeconomic objectives such as price stability and economic growth depend on the monetary policy tools that are implemented by the Central Bank. Monetary aggregates are one of the tools that have been used as indicators of economic activity and as intermediate targets to achieve these economic objectives. Until recently, monetary aggregates have been questioned and criticised on their usefulness in monetary policy. This has been attributed to the economic, financial and technological developments that have distorted the relationship between monetary aggregates and major macroeconomic variables. This study investigates the relevance of monetary aggregation by comparing the traditional simple sum and Divisia index monetary aggregates which was constructed for the first time for South Africa using the Tornquist-Theil method. The Polynomial Distributed Lag model is employed to compare the performance of these monetary aggregates using their relationship with inflation and manufacturing index. Furthermore, the aggregates are compared in terms of their controllability and information content. Overall, the study found a very strong relationship between inflation and all the monetary aggregates. However, more specifically the results suggested that the Divisia indices are superior to the simple sum in terms of predicting inflation. The evidence further suggests that the Divisia aggregates provide higher information about inflation than the simple sum aggregates. Regarding the controllability of the monetary aggregates, the findings suggest that the monetary authorities can hardly control the monetary aggregates using monetary base. Finally, the relationship between manufacturing index and all the monetary aggregates was very weak.
- Full Text:
- Date Issued: 2009
A critical analysis of South Africa's general anti avoidance provisions in income tax legislation
- Authors: Haffejee, Yaasir
- Date: 2009
- Subjects: Tax evasion -- South Africa , Tax planning -- South Africa , Income tax -- Law and legislation -- South Africa , Rule of law -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:8956 , http://hdl.handle.net/10948/1243 , Tax evasion -- South Africa , Tax planning -- South Africa , Income tax -- Law and legislation -- South Africa , Rule of law -- South Africa
- Description: This treatise was undertaken to critically analyse the new general anti avoidance rules (new GAAR) as set out in sections 80A to 80L of the Income Tax Act1. A discussion on the difference between tax evasion and tax avoidance was performed in the first chapter. The goals of this treatise were then set out. An analysis of the requirements for the application of the new GAAR was performed in the second chapter. The courts have historically reviewed the circumstances surrounding an arrangement when determining whether tax avoidance has occurred. The new GAAR requires the individual steps of an arrangement to be reviewed in isolation. Secondly, the courts have historically held that the purpose test, when determining the taxpayer‘s purpose, was subjective. The wording of the new GAAR indicates that this test is now objective. Thirdly, the courts have historically viewed the abnormality of an arrangement based of the surrounding circumstances. The wording of the new GAAR requires an objective view of the arrangement. An analysis of the secondary provisions contained in sections 80I, 80B and 80J of the new GAAR was performed in the third chapter. With regards to section 80B, it was submitted that the Commissioner should issue an Interpretation Note detailing all the methods ―he deems appropriate.
- Full Text:
- Date Issued: 2009
- Authors: Haffejee, Yaasir
- Date: 2009
- Subjects: Tax evasion -- South Africa , Tax planning -- South Africa , Income tax -- Law and legislation -- South Africa , Rule of law -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:8956 , http://hdl.handle.net/10948/1243 , Tax evasion -- South Africa , Tax planning -- South Africa , Income tax -- Law and legislation -- South Africa , Rule of law -- South Africa
- Description: This treatise was undertaken to critically analyse the new general anti avoidance rules (new GAAR) as set out in sections 80A to 80L of the Income Tax Act1. A discussion on the difference between tax evasion and tax avoidance was performed in the first chapter. The goals of this treatise were then set out. An analysis of the requirements for the application of the new GAAR was performed in the second chapter. The courts have historically reviewed the circumstances surrounding an arrangement when determining whether tax avoidance has occurred. The new GAAR requires the individual steps of an arrangement to be reviewed in isolation. Secondly, the courts have historically held that the purpose test, when determining the taxpayer‘s purpose, was subjective. The wording of the new GAAR indicates that this test is now objective. Thirdly, the courts have historically viewed the abnormality of an arrangement based of the surrounding circumstances. The wording of the new GAAR requires an objective view of the arrangement. An analysis of the secondary provisions contained in sections 80I, 80B and 80J of the new GAAR was performed in the third chapter. With regards to section 80B, it was submitted that the Commissioner should issue an Interpretation Note detailing all the methods ―he deems appropriate.
- Full Text:
- Date Issued: 2009
Adaptive interfaces for mobile preference-based searching
- Authors: Hill, Ryan Tebbutt
- Date: 2009
- Subjects: User interfaces (Computer systems) -- South Africa , Mobile computing -- South Africa , Global Positioning System , Global system for mobile communications -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9259 , http://hdl.handle.net/10948/1248 , User interfaces (Computer systems) -- South Africa , Mobile computing -- South Africa , Global Positioning System , Global system for mobile communications -- South Africa
- Description: Today's mobile computing devices provide a convenient means to search for points-of-interest (POIs) such as restaurants and accommodation. Mobile Preference-Based Search Tools (PBSTs) allow users to identify POIs such as restaurants or accommodation most suited to their needs and constraints using a mobile device. These devices however, have several design constraints including limited screen space and hardware capabilities. Adaptive User Interfaces (AUIs) have been proposed to address these issues but have not been extensively applied to mobile PBSTs such as mobile tourist guides. In addition, AUIs possess several benefits and advantages over static (traditional) interfaces, which do not take a user's preferences, skill set and experience into account. Little research, however, has been conducted into identifying the potential benefits of AUIs for mobile preference-based searching (PBS). The aim of this research was to determine the extent to which an AUI could improve the effectiveness and user satisfaction of mobile PBS. A literature study was conducted to determine the benefits and limitations of existing mobile PBSTs and determine how these could be improved. The potential benefits of AUIs for mobile PBSTs and a mobile map-based visualisation system were identified. A suitable model for incorporating an AUI into a mobile PBST was identified. The requirements for a mobile PBST were combined with the potentially adaptable objects of a Mobile Map-based Visualisation (MMV) system to provide adaptation suggestions for POInter, an existing mobile tourist guide. A field study using POInter was conducted in order to measure the extent to which participants agreed with suggestions provided for adapting the information, interaction and visualisation aspects of the system. These results were used to derive adaptation requirements for A-POInter, an adaptive version of POInter. Using a model-based design approach, an AUI was designed and implemented for A-POInter. An extensive field study was then conducted to evaluate the usability of the adaptations provided by A-POInter. The quantitative and qualitative data collected from the evaluations allowed the usability of A-POInter to be determined. The results of the field study showed that the participants were highly satisfied with the usability and the usefulness of the adaptations provided by A-POInter. Conclusions and recommendations for future work based on the results of the research were then outlined to conclude the dissertation.
- Full Text:
- Date Issued: 2009
- Authors: Hill, Ryan Tebbutt
- Date: 2009
- Subjects: User interfaces (Computer systems) -- South Africa , Mobile computing -- South Africa , Global Positioning System , Global system for mobile communications -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9259 , http://hdl.handle.net/10948/1248 , User interfaces (Computer systems) -- South Africa , Mobile computing -- South Africa , Global Positioning System , Global system for mobile communications -- South Africa
- Description: Today's mobile computing devices provide a convenient means to search for points-of-interest (POIs) such as restaurants and accommodation. Mobile Preference-Based Search Tools (PBSTs) allow users to identify POIs such as restaurants or accommodation most suited to their needs and constraints using a mobile device. These devices however, have several design constraints including limited screen space and hardware capabilities. Adaptive User Interfaces (AUIs) have been proposed to address these issues but have not been extensively applied to mobile PBSTs such as mobile tourist guides. In addition, AUIs possess several benefits and advantages over static (traditional) interfaces, which do not take a user's preferences, skill set and experience into account. Little research, however, has been conducted into identifying the potential benefits of AUIs for mobile preference-based searching (PBS). The aim of this research was to determine the extent to which an AUI could improve the effectiveness and user satisfaction of mobile PBS. A literature study was conducted to determine the benefits and limitations of existing mobile PBSTs and determine how these could be improved. The potential benefits of AUIs for mobile PBSTs and a mobile map-based visualisation system were identified. A suitable model for incorporating an AUI into a mobile PBST was identified. The requirements for a mobile PBST were combined with the potentially adaptable objects of a Mobile Map-based Visualisation (MMV) system to provide adaptation suggestions for POInter, an existing mobile tourist guide. A field study using POInter was conducted in order to measure the extent to which participants agreed with suggestions provided for adapting the information, interaction and visualisation aspects of the system. These results were used to derive adaptation requirements for A-POInter, an adaptive version of POInter. Using a model-based design approach, an AUI was designed and implemented for A-POInter. An extensive field study was then conducted to evaluate the usability of the adaptations provided by A-POInter. The quantitative and qualitative data collected from the evaluations allowed the usability of A-POInter to be determined. The results of the field study showed that the participants were highly satisfied with the usability and the usefulness of the adaptations provided by A-POInter. Conclusions and recommendations for future work based on the results of the research were then outlined to conclude the dissertation.
- Full Text:
- Date Issued: 2009
An analysis of the money market linkages between South Africa and selected major world economies
- Authors: Barnor, Joel A
- Date: 2009
- Subjects: South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:956 , http://hdl.handle.net/10962/d1002690 , South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Description: Globalisation and financial liberalisation has increased the linkages across countries in recent times. The existence of money market links has important implications for both domestic monetary policy and for investment decisions. This study examines the linkages between South Africa’s money market and selected major international money markets. The objectives of the study are firstly to examine the links between the repo rate of South Africa and the central bank rates of the EU, Japan, UK and US. Secondly, is to compare the influence of domestic and foreign monetary policy decisions on South Africa’s money market. The third objective is to examine the long run relationship between the South African money market and the money markets of its major trading partners. Three estimation techniques are used to examine the different links. Principal components analysis, four tests of cointegration, and stationarity tests of the spreads/risk premium between South Africa’s interest rates and the interest rates of the other countries. All three techniques show that there is no long-run link between South Africa’s central bank rates and the central bank rates of the other countries. This shows that the repo rate does not depend on movements in other central bank rates. Domestic money market interest rates respond strongly to changes in the repo rate whilst showing no dependence on central bank rates of the other countries. This confirms the autonomy of the South African Reserve Bank in carrying out policy objectives. When the risk premium is accounted for under the third technique, evidence of integration is found. This indicates that the risk premium plays a crucial part in the level of integration between South Africa and the countries included in the study.
- Full Text:
- Date Issued: 2009
- Authors: Barnor, Joel A
- Date: 2009
- Subjects: South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:956 , http://hdl.handle.net/10962/d1002690 , South African Reserve Bank , Banks and banking, Central -- South Africa , Money market -- South Africa , Monetary policy -- South Africa , Foreign exchange rates -- South Africa , International economic relations , Interest rates -- South Africa , Financial institutions -- South Africa
- Description: Globalisation and financial liberalisation has increased the linkages across countries in recent times. The existence of money market links has important implications for both domestic monetary policy and for investment decisions. This study examines the linkages between South Africa’s money market and selected major international money markets. The objectives of the study are firstly to examine the links between the repo rate of South Africa and the central bank rates of the EU, Japan, UK and US. Secondly, is to compare the influence of domestic and foreign monetary policy decisions on South Africa’s money market. The third objective is to examine the long run relationship between the South African money market and the money markets of its major trading partners. Three estimation techniques are used to examine the different links. Principal components analysis, four tests of cointegration, and stationarity tests of the spreads/risk premium between South Africa’s interest rates and the interest rates of the other countries. All three techniques show that there is no long-run link between South Africa’s central bank rates and the central bank rates of the other countries. This shows that the repo rate does not depend on movements in other central bank rates. Domestic money market interest rates respond strongly to changes in the repo rate whilst showing no dependence on central bank rates of the other countries. This confirms the autonomy of the South African Reserve Bank in carrying out policy objectives. When the risk premium is accounted for under the third technique, evidence of integration is found. This indicates that the risk premium plays a crucial part in the level of integration between South Africa and the countries included in the study.
- Full Text:
- Date Issued: 2009
An investigation of social computing
- Authors: Schlenkrich, Lara
- Date: 2009
- Subjects: Online social networks , Online social networks -- Law and legislation , Interpersonal communication , Internet in education , Education -- Communication system , Education -- Data processing
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1149 , http://hdl.handle.net/10962/d1006194 , Online social networks , Online social networks -- Law and legislation , Interpersonal communication , Internet in education , Education -- Communication system , Education -- Data processing
- Description: Social network sites have recently become extremely popular online destinations as they offer users easy ways to build and maintain their relationships with each other. Consequently, students, lecturers, teachers, parents and businesses are using these tools to communicate with each other in a fast and cost-effective manner. However, literature suggests that the full potential of social network sites has not yet been revealed since users are still battling to overcome the various negative characteristics surrounding these sites. A framework for appropriate use of these sites is needed so that users are able to overcome these negative aspects, allowing them to be more effective and use the sites successfully. The goal of this research is to construct a framework for perceived successful use of social computing tools in educational institutions. This framework will include critical success factors that need to be adopted by users in order to develop the positive aspects of social computing, while at the same time overcoming the disadvantages experienced by users. Factors for successful use were derived from the literature and consolidated into a theoretical framework in order to understand the factors that drive successful use of social network sites. Measures used to test successful use of social network sites were also derived from these sources and were included in the same theoretical framework; these measures allow users to evaluate the extent of perceived successful use of social network sites. This framework was tested empirically by means of a pilot study and online survey, and revised according to the results of the survey. The factors were identified using Cronbach alpha coefficients (in the pilot study) and exploratory factor analysis to confirm the reliability of the scales developed. Pearson product-moment correlation coefficient analysis, t-tests and Pearson Chi-Square tests were used to measure the relationships amongst the variables in the framework proposed in this research. The factors influencing perceived successful use of social network sites were identified by the empirical study as: • Privacy and Security Settings need to be enabled. These are split into: - Settings: content that users allow others to see - Viewers: people who are allowed onto a user's profile • It is necessary for users to practise Legal and Acceptable Activities when using social network sites • Suspect Information needs to be checked before sharing it with others • Personal and Professional Time needs to be separated to ensure that work is completed before social activities occur • Users need to practise Professional and Ethical Behaviour • Users need to have a Positive Attitude when using social network sites • Usability of sites affects their success. This includes: - technical capacity (broadband) - ease of use - functionality (range of features and functions) • Current and Controversial Issues need to be discussed on social network sites. The extent to which social network sites are being used successfully can be evaluated by the presence of the following measures: • Range of Content must be available to users. This includes: - Content displayed on profiles - Viewers able to visit profiles • Visitors Behaviour is monitored and no unwanted visitors are present users' profiles • Social Contracts found on sites are followed by users • Critical Thinking Skills and Accurate Information are displayed by users • Work is completed before social activities occur on sites • A Variety of Users is present on sites • Collaboration between people as well as variety of opinions exist on sites • Social Capital (well-being) is present after users have been on sites • Learning and Advising Skills are enhanced on sites. The framework developed provides users with a useful instrument to overcome the negative characteristics associated with social network sites. If used successfully, social network sites can offer lecturers and students a unique method to develop their relationship, creating a positive learning experience.
- Full Text:
- Date Issued: 2009
- Authors: Schlenkrich, Lara
- Date: 2009
- Subjects: Online social networks , Online social networks -- Law and legislation , Interpersonal communication , Internet in education , Education -- Communication system , Education -- Data processing
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1149 , http://hdl.handle.net/10962/d1006194 , Online social networks , Online social networks -- Law and legislation , Interpersonal communication , Internet in education , Education -- Communication system , Education -- Data processing
- Description: Social network sites have recently become extremely popular online destinations as they offer users easy ways to build and maintain their relationships with each other. Consequently, students, lecturers, teachers, parents and businesses are using these tools to communicate with each other in a fast and cost-effective manner. However, literature suggests that the full potential of social network sites has not yet been revealed since users are still battling to overcome the various negative characteristics surrounding these sites. A framework for appropriate use of these sites is needed so that users are able to overcome these negative aspects, allowing them to be more effective and use the sites successfully. The goal of this research is to construct a framework for perceived successful use of social computing tools in educational institutions. This framework will include critical success factors that need to be adopted by users in order to develop the positive aspects of social computing, while at the same time overcoming the disadvantages experienced by users. Factors for successful use were derived from the literature and consolidated into a theoretical framework in order to understand the factors that drive successful use of social network sites. Measures used to test successful use of social network sites were also derived from these sources and were included in the same theoretical framework; these measures allow users to evaluate the extent of perceived successful use of social network sites. This framework was tested empirically by means of a pilot study and online survey, and revised according to the results of the survey. The factors were identified using Cronbach alpha coefficients (in the pilot study) and exploratory factor analysis to confirm the reliability of the scales developed. Pearson product-moment correlation coefficient analysis, t-tests and Pearson Chi-Square tests were used to measure the relationships amongst the variables in the framework proposed in this research. The factors influencing perceived successful use of social network sites were identified by the empirical study as: • Privacy and Security Settings need to be enabled. These are split into: - Settings: content that users allow others to see - Viewers: people who are allowed onto a user's profile • It is necessary for users to practise Legal and Acceptable Activities when using social network sites • Suspect Information needs to be checked before sharing it with others • Personal and Professional Time needs to be separated to ensure that work is completed before social activities occur • Users need to practise Professional and Ethical Behaviour • Users need to have a Positive Attitude when using social network sites • Usability of sites affects their success. This includes: - technical capacity (broadband) - ease of use - functionality (range of features and functions) • Current and Controversial Issues need to be discussed on social network sites. The extent to which social network sites are being used successfully can be evaluated by the presence of the following measures: • Range of Content must be available to users. This includes: - Content displayed on profiles - Viewers able to visit profiles • Visitors Behaviour is monitored and no unwanted visitors are present users' profiles • Social Contracts found on sites are followed by users • Critical Thinking Skills and Accurate Information are displayed by users • Work is completed before social activities occur on sites • A Variety of Users is present on sites • Collaboration between people as well as variety of opinions exist on sites • Social Capital (well-being) is present after users have been on sites • Learning and Advising Skills are enhanced on sites. The framework developed provides users with a useful instrument to overcome the negative characteristics associated with social network sites. If used successfully, social network sites can offer lecturers and students a unique method to develop their relationship, creating a positive learning experience.
- Full Text:
- Date Issued: 2009
Attitudes and perceptions towards TB in Grahamstown East in a time of HIV/AIDS
- Authors: Ndoro, Tinashe T. R
- Date: 2009
- Subjects: Tuberculosis -- South Africa -- Grahamstown , AIDS (Disease) -- Social aspects -- South Africa -- Grahamstown , HIV (Viruses) -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Prevention -- South Africa -- Grahamstown , AIDS (Disease) -- South Africa -- Grahamstown -- Public opinion , Tuberculosis -- South Africa -- Grahamstown -- Public opinion , Health surveys -- South Africa -- Grahamstown
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:3030 , http://hdl.handle.net/10962/d1002539 , Tuberculosis -- South Africa -- Grahamstown , AIDS (Disease) -- Social aspects -- South Africa -- Grahamstown , HIV (Viruses) -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Prevention -- South Africa -- Grahamstown , AIDS (Disease) -- South Africa -- Grahamstown -- Public opinion , Tuberculosis -- South Africa -- Grahamstown -- Public opinion , Health surveys -- South Africa -- Grahamstown
- Description: Tuberculosis (TB) has become a serious South African health problem because it is the most common opportunistic disease that leads to death in people with HIV/AIDS. Due to the airborne nature of the disease it can easily be spread to anyone including healthy people. A lack of compliance to treatment by TB patients explains why prevalence rates of the disease are high and why there is an emergence of drug resistant strains such as XDR-TB and MDR-TB. Information on existing knowledge, attitudes and perceptions regarding TB can provide a crucial foundation for the development of educational programmes and interventions aimed at reducing the further spread of the disease. This study aimed at understanding the knowledge, attitudes and perceptions towards TB and relating these to the current prevalence of HIV/AIDS. A face-to-face interview survey was conducted among adult Grahamstown East residents (n=1020). The Health Belief Model (Rosenstock et al., 1994) and Bandura’s (1986) Social Cognitive Theory formed the theoretical framework of the data collection and analysis. The data generated from the field work was first descriptively analysed providing frequency tables. Thereafter cross tabulations were calculated for relevant items using independent variables, namely gender, level of education, and experience of dealing with TB. The results of the study show that, in general, knowledge concerning TB was sufficient to provide a foundation for the adoption of healthier behaviours in the female respondents. Few of the respondents reported feeling personally susceptible although the majority of the respondents acknowledged the severity of the disease. The cues to action lacked the influence to persuade people to adopt positive health related behaviours. The perceived benefits of adopting preventative behaviour were not very influential in the adoption of healthier behavioural changes in the respondents. Disease stigma regarding the dual association of TB and HIV/AIDS was the main barrier for the adoption of healthier behavioural attitudes. Perceived self-efficacy in preventative behaviours was generally low in the less educated respondents. Recommendations regarding areas for future research and change interventions are provided.
- Full Text:
- Date Issued: 2009
- Authors: Ndoro, Tinashe T. R
- Date: 2009
- Subjects: Tuberculosis -- South Africa -- Grahamstown , AIDS (Disease) -- Social aspects -- South Africa -- Grahamstown , HIV (Viruses) -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Prevention -- South Africa -- Grahamstown , AIDS (Disease) -- South Africa -- Grahamstown -- Public opinion , Tuberculosis -- South Africa -- Grahamstown -- Public opinion , Health surveys -- South Africa -- Grahamstown
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:3030 , http://hdl.handle.net/10962/d1002539 , Tuberculosis -- South Africa -- Grahamstown , AIDS (Disease) -- Social aspects -- South Africa -- Grahamstown , HIV (Viruses) -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Social aspects -- South Africa -- Grahamstown , Tuberculosis -- Prevention -- South Africa -- Grahamstown , AIDS (Disease) -- South Africa -- Grahamstown -- Public opinion , Tuberculosis -- South Africa -- Grahamstown -- Public opinion , Health surveys -- South Africa -- Grahamstown
- Description: Tuberculosis (TB) has become a serious South African health problem because it is the most common opportunistic disease that leads to death in people with HIV/AIDS. Due to the airborne nature of the disease it can easily be spread to anyone including healthy people. A lack of compliance to treatment by TB patients explains why prevalence rates of the disease are high and why there is an emergence of drug resistant strains such as XDR-TB and MDR-TB. Information on existing knowledge, attitudes and perceptions regarding TB can provide a crucial foundation for the development of educational programmes and interventions aimed at reducing the further spread of the disease. This study aimed at understanding the knowledge, attitudes and perceptions towards TB and relating these to the current prevalence of HIV/AIDS. A face-to-face interview survey was conducted among adult Grahamstown East residents (n=1020). The Health Belief Model (Rosenstock et al., 1994) and Bandura’s (1986) Social Cognitive Theory formed the theoretical framework of the data collection and analysis. The data generated from the field work was first descriptively analysed providing frequency tables. Thereafter cross tabulations were calculated for relevant items using independent variables, namely gender, level of education, and experience of dealing with TB. The results of the study show that, in general, knowledge concerning TB was sufficient to provide a foundation for the adoption of healthier behaviours in the female respondents. Few of the respondents reported feeling personally susceptible although the majority of the respondents acknowledged the severity of the disease. The cues to action lacked the influence to persuade people to adopt positive health related behaviours. The perceived benefits of adopting preventative behaviour were not very influential in the adoption of healthier behavioural changes in the respondents. Disease stigma regarding the dual association of TB and HIV/AIDS was the main barrier for the adoption of healthier behavioural attitudes. Perceived self-efficacy in preventative behaviours was generally low in the less educated respondents. Recommendations regarding areas for future research and change interventions are provided.
- Full Text:
- Date Issued: 2009
Bank credit extension to the private sector and inflation in South Africa
- Authors: Dlamini, Samuel Nkosinathi
- Date: 2009
- Subjects: Bank loans -- South Africa , Inflation (Finance) -- South Africa , Money supply -- South Africa , Interest rates -- South Africa , Banks and banking -- South Africa , Foreign exchange rates -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:959 , http://hdl.handle.net/10962/d1002693 , Bank loans -- South Africa , Inflation (Finance) -- South Africa , Money supply -- South Africa , Interest rates -- South Africa , Banks and banking -- South Africa , Foreign exchange rates -- South Africa
- Description: This study investigates the contribution of bank credit extension to the private sector to inflation in South Africa, covering the period 1970:1-2006:4. The long-run impact of bank credit on inflation is investigated by means of the Johansen co integration model. The short-run ynamics of the inflation is subsequently modelled by means of the Vector Error Correction Model (VECM). Using the Johansen methodology, the study identifies two co integrating equations linking inflation and its eterminants. The results suggest that the long-run relationship between inflation and bank credit to the private sector is negative and statistically significant at 10% level. The determinants that are significant at 5% level are: money supply, real gross domestic product, the money market rate, rand/dollar exchange rate and imports. The results are consistent with previous findings. The speed of adjustment in response to deviation from the equilibrium path was found to be negative at 10.56% per quarter, which is consistent with findings by Ohnsorge and Oomes (2003) for Russia. Both the signs and the magnitude of the coefficients suggest that the co integrating vector describes a long-run inflation equation. The impulse response functions confirm the theoretical expectations except for the import prices. The most persistent and significant shocks observed are on impulse response functions of money supply and bank credit to the private sector. The variance decomposition results also suggest that inflation responds quicker to innovations from money supply and the money market rate. The overall results provide evidence that the surge in inflation is associated with an increase in money supply as well as the instability in exchange rate. The effects of exchange rate fluctuation on inflation are reflected through changes in import prices. Based on the results we conclude that an increase in bank credit during the period 1970:1-2006:4 had a negative mpact on inflation in South Africa.
- Full Text:
- Date Issued: 2009
- Authors: Dlamini, Samuel Nkosinathi
- Date: 2009
- Subjects: Bank loans -- South Africa , Inflation (Finance) -- South Africa , Money supply -- South Africa , Interest rates -- South Africa , Banks and banking -- South Africa , Foreign exchange rates -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:959 , http://hdl.handle.net/10962/d1002693 , Bank loans -- South Africa , Inflation (Finance) -- South Africa , Money supply -- South Africa , Interest rates -- South Africa , Banks and banking -- South Africa , Foreign exchange rates -- South Africa
- Description: This study investigates the contribution of bank credit extension to the private sector to inflation in South Africa, covering the period 1970:1-2006:4. The long-run impact of bank credit on inflation is investigated by means of the Johansen co integration model. The short-run ynamics of the inflation is subsequently modelled by means of the Vector Error Correction Model (VECM). Using the Johansen methodology, the study identifies two co integrating equations linking inflation and its eterminants. The results suggest that the long-run relationship between inflation and bank credit to the private sector is negative and statistically significant at 10% level. The determinants that are significant at 5% level are: money supply, real gross domestic product, the money market rate, rand/dollar exchange rate and imports. The results are consistent with previous findings. The speed of adjustment in response to deviation from the equilibrium path was found to be negative at 10.56% per quarter, which is consistent with findings by Ohnsorge and Oomes (2003) for Russia. Both the signs and the magnitude of the coefficients suggest that the co integrating vector describes a long-run inflation equation. The impulse response functions confirm the theoretical expectations except for the import prices. The most persistent and significant shocks observed are on impulse response functions of money supply and bank credit to the private sector. The variance decomposition results also suggest that inflation responds quicker to innovations from money supply and the money market rate. The overall results provide evidence that the surge in inflation is associated with an increase in money supply as well as the instability in exchange rate. The effects of exchange rate fluctuation on inflation are reflected through changes in import prices. Based on the results we conclude that an increase in bank credit during the period 1970:1-2006:4 had a negative mpact on inflation in South Africa.
- Full Text:
- Date Issued: 2009
Bond market development in emerging economies: a case study of the Bond Exchange of South Africa (BESA)
- Authors: Hove, Tagara
- Date: 2009
- Subjects: Bond Exchange of South Africa , Bond market -- South Africa , Foreign exchange rates -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:961 , http://hdl.handle.net/10962/d1002695 , Bond Exchange of South Africa , Bond market -- South Africa , Foreign exchange rates -- South Africa
- Description: This study looks at the development of bond markets in emerging economies and focuses on the development of the Bond Exchange of South Africa (BESA). It explores the history, structure, performance and key issues related to the development of this market within the broader context of domestic, regional and global bond market development. BESA's experience provides valuable lessons for other emerging market economies also seeking to build bond markets. The sophistication of the local bond market is not enough to make it appealing to foreign borrowers. Market development demands an enabling market infrastructure and a background of macroeconomic stability, diversified market participants, deregulation of capital flows and an appropriate regulatory and supervisory environment.
- Full Text:
- Date Issued: 2009
- Authors: Hove, Tagara
- Date: 2009
- Subjects: Bond Exchange of South Africa , Bond market -- South Africa , Foreign exchange rates -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:961 , http://hdl.handle.net/10962/d1002695 , Bond Exchange of South Africa , Bond market -- South Africa , Foreign exchange rates -- South Africa
- Description: This study looks at the development of bond markets in emerging economies and focuses on the development of the Bond Exchange of South Africa (BESA). It explores the history, structure, performance and key issues related to the development of this market within the broader context of domestic, regional and global bond market development. BESA's experience provides valuable lessons for other emerging market economies also seeking to build bond markets. The sophistication of the local bond market is not enough to make it appealing to foreign borrowers. Market development demands an enabling market infrastructure and a background of macroeconomic stability, diversified market participants, deregulation of capital flows and an appropriate regulatory and supervisory environment.
- Full Text:
- Date Issued: 2009
Exploring job search and the causes of endogenous unemployment: evidence from Duncan Village, South Africa
- Authors: Duff, Patrick Alexander
- Date: 2009
- Subjects: Unemployment , Unemployment -- Social aspects -- South Africa -- East London -- Duncan Village , Job hunting -- South Africa -- East London -- Duncan Village , Labor market -- South Africa
- Language: English
- Type: text , Thesis , Masters , MCom
- Identifier: vital:1026
- Description: Despite high rates of unemployment in South Africa, there is little consensus about its origins and solutions to the problem. Job search (how and when people search for work)is one aspect of the unemployment problem. Job search is shown to be a complex process strongly linked to the endogenous structure of the labour market. The flaws in traditional methods (theoretical and measurement) highlight this. Using data from a tailor-made survey in Duncan Village (a peri-urban area in Buffalo City, South Africa) the research examines factors that influence the effectiveness of job search. The results show that mode of search (how people look for work) is used as a signal by employers. Degrees of success are stratified amongst searchers using either ‘word of mouth’, place-to-place or formal modes of search. The thesis provides a method-test to reveal a complex body of evidence that has yet to be fully explored by practitioners in this field.
- Full Text:
- Date Issued: 2009
- Authors: Duff, Patrick Alexander
- Date: 2009
- Subjects: Unemployment , Unemployment -- Social aspects -- South Africa -- East London -- Duncan Village , Job hunting -- South Africa -- East London -- Duncan Village , Labor market -- South Africa
- Language: English
- Type: text , Thesis , Masters , MCom
- Identifier: vital:1026
- Description: Despite high rates of unemployment in South Africa, there is little consensus about its origins and solutions to the problem. Job search (how and when people search for work)is one aspect of the unemployment problem. Job search is shown to be a complex process strongly linked to the endogenous structure of the labour market. The flaws in traditional methods (theoretical and measurement) highlight this. Using data from a tailor-made survey in Duncan Village (a peri-urban area in Buffalo City, South Africa) the research examines factors that influence the effectiveness of job search. The results show that mode of search (how people look for work) is used as a signal by employers. Degrees of success are stratified amongst searchers using either ‘word of mouth’, place-to-place or formal modes of search. The thesis provides a method-test to reveal a complex body of evidence that has yet to be fully explored by practitioners in this field.
- Full Text:
- Date Issued: 2009
Gains derived from illegal activities :an analysis of the taxation consequences
- Mtshawulana, Lungiswa Bukeka
- Authors: Mtshawulana, Lungiswa Bukeka
- Date: 2009
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:886 , http://hdl.handle.net/10962/d1001640
- Description: Income Tax in South Africa is levied in terms of the Income Tax Act 58 of 1962 on taxable income, which, by definition, is arrived at by deducting from "gross income" receipts and accruals that are exempt from tax as well as deductions and allowances provided for in the Act. The Income Tax Act provides no guidance with regard to the taxation of illegal activities, except to prohibit the deduction of expenditure incurred in paying fines or in relation to corrupt activities, as defined. An analysis of the taxation of income derived from theft, fraud and prostitution and the deductibility of expenses relating to that income, is the question addressed in this thesis. In this thesis, an analysis was made of relevant case law in relation to the provisions of the Income Tax Act in an attempt to provide clarity. A brief comparison was also macie of American, United Kingdom and South African tax law. Similarities were found between the American, United Kingdom and South African tax regimes in relation to the taxation of income, but there appeared to be more certainty in America and the United Kingdom in relation to the deduction of expenses. The thesis concludes that recent case decisions have provided certainty in relation to income from illegal activities, but the tax status of the deduction of expenses remains uncertain.
- Full Text:
- Date Issued: 2009
- Authors: Mtshawulana, Lungiswa Bukeka
- Date: 2009
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:886 , http://hdl.handle.net/10962/d1001640
- Description: Income Tax in South Africa is levied in terms of the Income Tax Act 58 of 1962 on taxable income, which, by definition, is arrived at by deducting from "gross income" receipts and accruals that are exempt from tax as well as deductions and allowances provided for in the Act. The Income Tax Act provides no guidance with regard to the taxation of illegal activities, except to prohibit the deduction of expenditure incurred in paying fines or in relation to corrupt activities, as defined. An analysis of the taxation of income derived from theft, fraud and prostitution and the deductibility of expenses relating to that income, is the question addressed in this thesis. In this thesis, an analysis was made of relevant case law in relation to the provisions of the Income Tax Act in an attempt to provide clarity. A brief comparison was also macie of American, United Kingdom and South African tax law. Similarities were found between the American, United Kingdom and South African tax regimes in relation to the taxation of income, but there appeared to be more certainty in America and the United Kingdom in relation to the deduction of expenses. The thesis concludes that recent case decisions have provided certainty in relation to income from illegal activities, but the tax status of the deduction of expenses remains uncertain.
- Full Text:
- Date Issued: 2009
Improving the strategic management of employee job performance and organisational commitment at merged higher education institutions in South Africa
- Authors: Stofile, Regina Ntongolozi
- Date: 2009
- Subjects: Strategic planning -- Universities , Strategic planning -- Universities and colleges -- South Africa , Mergers -- Universities and colleges -- South Africa , Strategic planning -- Education (Higher)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9311 , http://hdl.handle.net/10948/d1018798
- Description: In reaction to intense global competition and increased customer demands, business firms are continuously engaged in activities to increase the effectiveness of their businesses. To be effective business firms must reduce costs, improve the quality of their products and respond quickly to the new opportunities in the market place. These activities often require the restructuring of such businesses. The restructuring of businesses often takes the form of strategic alliances, outsourcing, vertical integration, mergers or acquisitions. It is not only businesses that undergo restructuring, but recently also higher education institutions. The South African higher education system has undergone a complex restructuring process of merging universities, technikons, colleges and technical schools. This transformation of higher education in South Africa has been regulated by the Higher Education Act (101 of 1997). This restructuring took form of mergers between technikons and universities to form new higher education institutions and has been directed at correcting past educational discrimination and at ensuring equal opportunities for higher education. High levels of negativity, demoralization, demotivation and disempowerment due to higher-education restructuring have been reported, not only in South Africa, but also in other countries. Despite the above-mentioned problems identified in the restructuring of higher education world-wide, a lack of quantitative research appears to exist on the human dimension involved in the process. The main objective of the study is to improve the strategic management of the post-merger process at higher education institutions in South Africa by investigating what influence the present restructuring process exerts on the motivation, organisational commitment and job performance of their staff. The sample consisted of three hundred and twenty-nine (329) staff members from the three merged universities in South Africa. The empirical results revealed the following: To improve the strategic management of the post-merger process at universities, management needs to focus on the managing of organisational commitment, as it is the strongest determinant of the employees’ performance intent; To manage organisation commitment, management must manage especially the employees’ identification with the organisational culture of the new institutions; after organisational commitment, management must focus on employee motivation which includes increasing the employees’ satisfaction with their remuneration packages, their peer relations and their growth factors; and, To manage the employees’ identification with the organisational culture of the new institutions, management must manage employees’ perceptions about increased student access, successes in merger goal achievement and fairness of workload dispensations. The main contribution of the study is the empirical support produced for elements which should be focused upon in strategy execution, namely the interplay among employee job performance, organizational commitment, organizational culture identification and motivational rewards. By doing so, the study provided the empirical foundation for a model that could be used to strategically manage the post-merger process at universities.
- Full Text:
- Date Issued: 2009
- Authors: Stofile, Regina Ntongolozi
- Date: 2009
- Subjects: Strategic planning -- Universities , Strategic planning -- Universities and colleges -- South Africa , Mergers -- Universities and colleges -- South Africa , Strategic planning -- Education (Higher)
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9311 , http://hdl.handle.net/10948/d1018798
- Description: In reaction to intense global competition and increased customer demands, business firms are continuously engaged in activities to increase the effectiveness of their businesses. To be effective business firms must reduce costs, improve the quality of their products and respond quickly to the new opportunities in the market place. These activities often require the restructuring of such businesses. The restructuring of businesses often takes the form of strategic alliances, outsourcing, vertical integration, mergers or acquisitions. It is not only businesses that undergo restructuring, but recently also higher education institutions. The South African higher education system has undergone a complex restructuring process of merging universities, technikons, colleges and technical schools. This transformation of higher education in South Africa has been regulated by the Higher Education Act (101 of 1997). This restructuring took form of mergers between technikons and universities to form new higher education institutions and has been directed at correcting past educational discrimination and at ensuring equal opportunities for higher education. High levels of negativity, demoralization, demotivation and disempowerment due to higher-education restructuring have been reported, not only in South Africa, but also in other countries. Despite the above-mentioned problems identified in the restructuring of higher education world-wide, a lack of quantitative research appears to exist on the human dimension involved in the process. The main objective of the study is to improve the strategic management of the post-merger process at higher education institutions in South Africa by investigating what influence the present restructuring process exerts on the motivation, organisational commitment and job performance of their staff. The sample consisted of three hundred and twenty-nine (329) staff members from the three merged universities in South Africa. The empirical results revealed the following: To improve the strategic management of the post-merger process at universities, management needs to focus on the managing of organisational commitment, as it is the strongest determinant of the employees’ performance intent; To manage organisation commitment, management must manage especially the employees’ identification with the organisational culture of the new institutions; after organisational commitment, management must focus on employee motivation which includes increasing the employees’ satisfaction with their remuneration packages, their peer relations and their growth factors; and, To manage the employees’ identification with the organisational culture of the new institutions, management must manage employees’ perceptions about increased student access, successes in merger goal achievement and fairness of workload dispensations. The main contribution of the study is the empirical support produced for elements which should be focused upon in strategy execution, namely the interplay among employee job performance, organizational commitment, organizational culture identification and motivational rewards. By doing so, the study provided the empirical foundation for a model that could be used to strategically manage the post-merger process at universities.
- Full Text:
- Date Issued: 2009
Integration between the South African and international bond markets : implications for portfolio diversification
- Authors: Rabana, Phomolo
- Date: 2009
- Subjects: Bond market , Bond market -- South Africa , Principal components analysis , International finance , Foreign exchange rates -- South Africa , Investments -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:947 , http://hdl.handle.net/10962/d1002681 , Bond market , Bond market -- South Africa , Principal components analysis , International finance , Foreign exchange rates -- South Africa , Investments -- South Africa
- Description: International bond market linkages are examined using monthly bond yield data and total return indices on government bonds with ten years to maturity. The bond yield data covers a nineteen-year period from January 1990 to July 2008, while the bond total return index data covers a nine-year period from August 2000 to July 2008. The international bond markets included in the study are Australia, Canada, Germany, Japan, the United Kingdom, and the United States. The examination of international bond market linkages across these markets has important implications for the formulation of effective portfolio diversification strategies. The empirical analysis is carried out in three phases: the preliminary analysis, the principal component analysis (PCA), and the cointegration analysis. For each analysis and for each set of data the full sample period is first analysed and subsequently a five-year rolling window approach is implemented. Accordingly, this makes it possible to capture the time-varying nature of international bond market linkages. The preliminary analysis examines the bond market trends over the sample period, provides descriptive statistics, and reports the correlation coefficients between the selected bond markets. The PCA investigates the interrelationships among the bond markets according to their common sources of movement and identifies which markets tend to move together. The cointegration analysis is carried out using the Johansen cointegration procedure and investigates whether there is long-run comovement between South Africa and the selected bond markets. Where cointegration is found, Vector Error-Correction Models (VECMs) are estimated in order to examine the long-run equilibrium relationships in addition to their short-run adjustments over time. The empirical analysis results were robust, and overall integration between SA and the selected major bond markets remained weak and sporadic. In addition, the results showed that even after accounting for exchange rate differentials, international bond market diversification remained beneficial for a South African investor; and since international bond market linkages remained weak with no observable trend, international bond market diversification will remain beneficial for some time to come for a South African investor.
- Full Text:
- Date Issued: 2009
- Authors: Rabana, Phomolo
- Date: 2009
- Subjects: Bond market , Bond market -- South Africa , Principal components analysis , International finance , Foreign exchange rates -- South Africa , Investments -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:947 , http://hdl.handle.net/10962/d1002681 , Bond market , Bond market -- South Africa , Principal components analysis , International finance , Foreign exchange rates -- South Africa , Investments -- South Africa
- Description: International bond market linkages are examined using monthly bond yield data and total return indices on government bonds with ten years to maturity. The bond yield data covers a nineteen-year period from January 1990 to July 2008, while the bond total return index data covers a nine-year period from August 2000 to July 2008. The international bond markets included in the study are Australia, Canada, Germany, Japan, the United Kingdom, and the United States. The examination of international bond market linkages across these markets has important implications for the formulation of effective portfolio diversification strategies. The empirical analysis is carried out in three phases: the preliminary analysis, the principal component analysis (PCA), and the cointegration analysis. For each analysis and for each set of data the full sample period is first analysed and subsequently a five-year rolling window approach is implemented. Accordingly, this makes it possible to capture the time-varying nature of international bond market linkages. The preliminary analysis examines the bond market trends over the sample period, provides descriptive statistics, and reports the correlation coefficients between the selected bond markets. The PCA investigates the interrelationships among the bond markets according to their common sources of movement and identifies which markets tend to move together. The cointegration analysis is carried out using the Johansen cointegration procedure and investigates whether there is long-run comovement between South Africa and the selected bond markets. Where cointegration is found, Vector Error-Correction Models (VECMs) are estimated in order to examine the long-run equilibrium relationships in addition to their short-run adjustments over time. The empirical analysis results were robust, and overall integration between SA and the selected major bond markets remained weak and sporadic. In addition, the results showed that even after accounting for exchange rate differentials, international bond market diversification remained beneficial for a South African investor; and since international bond market linkages remained weak with no observable trend, international bond market diversification will remain beneficial for some time to come for a South African investor.
- Full Text:
- Date Issued: 2009
Interdependence and business cycle transmission between South Africa and the USA, UK, Japan and Germany
- Authors: Mugova, Terrence Tafadzwa
- Date: 2009
- Subjects: International economic relations -- Developing countries , Business cycles -- Developing countries , Economic development -- Developing countries , Industrial policy -- Developing countries , International finance
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:946 , http://hdl.handle.net/10962/d1002680 , International economic relations -- Developing countries , Business cycles -- Developing countries , Economic development -- Developing countries , Industrial policy -- Developing countries , International finance
- Description: The process of globalisation has had a large impact on the world economy over the past three decades. Economic globalisation has manifested itself in the increasing integration of goods and services through international trade and the integration of financial markets. As a consequence the existence of co-movements in economic variables of different countries has become more evident. The extent to which globalisation causes a country’s economy to move together with the rest of the world concerns policy-makers. When such co-movement is significant, the influence of policy-makers on their respective domestic economies is significantly reduced. South Africa re-entered the international economy in the early 1990s when the forces of globalisation, especially for developing countries, seemed to gain momentum. Empirical research such as Kabundi and Loots (2005) found strong evidence of international co-movement between the world business cycle and the South African business cycle, particularly following South Africa’s integration into the global economy. This study examines the relationship and interdependence between South Africa and four of its major developed trading partners. More particularly, the study examines the question of whether business cycles are transmitted from Germany, Japan, US and UK to South Africa, and/or from South Africa to Germany, Japan, the US and UK. The study employs structural vector autoregressive (SVARs) models to analyse monthly data from 1980:01–2008:04 on industrial production, producer prices, short-term interest rates and real effective exchange rates. The results show that South Africa benefits from economic growth in both the UK and US. They also indicate significant price transmission from Germany and Japan to South Africa, with transmission in the opposite direction being statistically insignificant. The impulse response graphs show that a positive one standard deviation shock to both German and Japanese producer prices has a negative impact on South African output (industrial production) growth. Furthermore, South African monetary policy is relatively unresponsive to international monetary policy stances. The findings of this study indicate that South African policymakers need to take into consideration economic performance of the country’s major trading partners, with particular emphasis on the UK and US economies.
- Full Text:
- Date Issued: 2009
- Authors: Mugova, Terrence Tafadzwa
- Date: 2009
- Subjects: International economic relations -- Developing countries , Business cycles -- Developing countries , Economic development -- Developing countries , Industrial policy -- Developing countries , International finance
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:946 , http://hdl.handle.net/10962/d1002680 , International economic relations -- Developing countries , Business cycles -- Developing countries , Economic development -- Developing countries , Industrial policy -- Developing countries , International finance
- Description: The process of globalisation has had a large impact on the world economy over the past three decades. Economic globalisation has manifested itself in the increasing integration of goods and services through international trade and the integration of financial markets. As a consequence the existence of co-movements in economic variables of different countries has become more evident. The extent to which globalisation causes a country’s economy to move together with the rest of the world concerns policy-makers. When such co-movement is significant, the influence of policy-makers on their respective domestic economies is significantly reduced. South Africa re-entered the international economy in the early 1990s when the forces of globalisation, especially for developing countries, seemed to gain momentum. Empirical research such as Kabundi and Loots (2005) found strong evidence of international co-movement between the world business cycle and the South African business cycle, particularly following South Africa’s integration into the global economy. This study examines the relationship and interdependence between South Africa and four of its major developed trading partners. More particularly, the study examines the question of whether business cycles are transmitted from Germany, Japan, US and UK to South Africa, and/or from South Africa to Germany, Japan, the US and UK. The study employs structural vector autoregressive (SVARs) models to analyse monthly data from 1980:01–2008:04 on industrial production, producer prices, short-term interest rates and real effective exchange rates. The results show that South Africa benefits from economic growth in both the UK and US. They also indicate significant price transmission from Germany and Japan to South Africa, with transmission in the opposite direction being statistically insignificant. The impulse response graphs show that a positive one standard deviation shock to both German and Japanese producer prices has a negative impact on South African output (industrial production) growth. Furthermore, South African monetary policy is relatively unresponsive to international monetary policy stances. The findings of this study indicate that South African policymakers need to take into consideration economic performance of the country’s major trading partners, with particular emphasis on the UK and US economies.
- Full Text:
- Date Issued: 2009
Is inflation targeting a viable option for a developing country?: the case of Malawi
- Hompashe, Dumisani MacDonald
- Authors: Hompashe, Dumisani MacDonald
- Date: 2009
- Subjects: Inflation (Finance) -- Malawi -- Case studies , Banks and banking, Central -- Malawi , Monetary policy -- Malawi , Finance -- Developing countries , Debts, External -- Developing countries
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:943 , http://hdl.handle.net/10962/d1002676 , Inflation (Finance) -- Malawi -- Case studies , Banks and banking, Central -- Malawi , Monetary policy -- Malawi , Finance -- Developing countries , Debts, External -- Developing countries
- Description: The distinctive features of inflation targeting include the publishing of the formal (official) target band or point target for the rate of inflation at one or more time horizons and the explicit confirmation that low and steady inflation is the long-run objective of monetary policy. There are four main preconditions of inflation targeting: 1) an independent central bank that is free from fiscal and political pressures; 2) a central bank that has both the ability to forecast inflation and the capability to model inflation data; 3) the presence of fully deregulated prices and an economy that is affected by changes of commodity prices, as well as exchange rates; and 4) the presence of sound banking system and well developed capital markets. In most developing countries, the use of seigniorage revenues as a source of financing government debts, the lack of commitment by monetary authorities to low inflation as a primary goal, the absence of the central bank’s functional independence, and of powerful models to make domestic inflation forecasts, prevent the satisfaction of these preconditions. This dissertation investigates the extent to which Malawi meets the preconditions for inflation targeting by comparing the situation in that country to other developing countries, which have already adopted the framework. Malawi is committed to the central bank’s functional independence as well as the pursuit of prudent fiscal policy measures for the attainment of low inflation. Despite the failure to meet all the preconditions, this study recommends that Malawi should adopt an inflation targeting framework due to the strength of commitment of the monetary authorities in satisfying these preconditions.
- Full Text:
- Date Issued: 2009
- Authors: Hompashe, Dumisani MacDonald
- Date: 2009
- Subjects: Inflation (Finance) -- Malawi -- Case studies , Banks and banking, Central -- Malawi , Monetary policy -- Malawi , Finance -- Developing countries , Debts, External -- Developing countries
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:943 , http://hdl.handle.net/10962/d1002676 , Inflation (Finance) -- Malawi -- Case studies , Banks and banking, Central -- Malawi , Monetary policy -- Malawi , Finance -- Developing countries , Debts, External -- Developing countries
- Description: The distinctive features of inflation targeting include the publishing of the formal (official) target band or point target for the rate of inflation at one or more time horizons and the explicit confirmation that low and steady inflation is the long-run objective of monetary policy. There are four main preconditions of inflation targeting: 1) an independent central bank that is free from fiscal and political pressures; 2) a central bank that has both the ability to forecast inflation and the capability to model inflation data; 3) the presence of fully deregulated prices and an economy that is affected by changes of commodity prices, as well as exchange rates; and 4) the presence of sound banking system and well developed capital markets. In most developing countries, the use of seigniorage revenues as a source of financing government debts, the lack of commitment by monetary authorities to low inflation as a primary goal, the absence of the central bank’s functional independence, and of powerful models to make domestic inflation forecasts, prevent the satisfaction of these preconditions. This dissertation investigates the extent to which Malawi meets the preconditions for inflation targeting by comparing the situation in that country to other developing countries, which have already adopted the framework. Malawi is committed to the central bank’s functional independence as well as the pursuit of prudent fiscal policy measures for the attainment of low inflation. Despite the failure to meet all the preconditions, this study recommends that Malawi should adopt an inflation targeting framework due to the strength of commitment of the monetary authorities in satisfying these preconditions.
- Full Text:
- Date Issued: 2009
Labour hire: the impact of labour broking on employee job satisfaction and commitment in a number of Namibian organizations
- Shivangulula, Shirley Euginia
- Authors: Shivangulula, Shirley Euginia
- Date: 2009
- Subjects: Temporary employment -- Namibia , Industrial relations -- Namibia , Employee motivation , Labor market -- Namibia , Labor policy -- Namibia
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:3054 , http://hdl.handle.net/10962/d1002563 , Temporary employment -- Namibia , Industrial relations -- Namibia , Employee motivation , Labor market -- Namibia , Labor policy -- Namibia
- Description: Over decades, job satisfaction has generated active empirical research. Similarly, organizational commitment, another attitudinal variable in the work domain, strongly related to, but distinctly different from job satisfaction, received comparatively equal research scrutiny. However, research on the impact of labour broking on employees’ job satisfaction and organizational commitment is nonexistent in Namibia. Using a quantitative approach, within a positivist paradigm, the purpose of this thesis was to examine the impact of labour broking on employees’ job satisfaction and organizational commitment as well as to determine the dynamics that mediate such experiences. These experiences were examined through a 5-dimensional, 72-item Job Descriptive Index and a 3-dimensional, 12-item Organizational Commitment Questionnaire over a sample size of 108 temporary and permanent employees, drawn through random probability sampling in a number of Namibian organizations that make use of labour hire services. These experiences were further amplified by face-to-face interviews over a sub sample of 20 employees. Data analysis was carried out using the chi-square, correlation, t-tests and multiple regression techniques of the STATISTICA software. Drawing on the principles of the multi dimensional theory of organizational commitment, the Cornell dispositional theory of job satisfaction and the temporary employee stigmatization model, results revealed that variables of employment status, tenure, inadequate income, inappropriate supervision and fear of job losses ahead of a newly proposed piece of legislat st labour hire ractices significantly influenced job satisfaction and organizational commitment of employees. Estimates indicate that for a mere change in tenure, job satisfaction levels will significantly rise by 0.26 units, whereas organizational commitment will augment by 0.03 units. However, for every N$ fall in employees’ pay, we can expect job satisfaction levels to decrease by 26%, but with significant effects. The study recommends that organizations must adopt policies that grant permanent tenure to all their employees, position them in respected and challenging jobs in which they will grow skills and ensure that all employees are remunerated with pay that signals their contribution to the organizations. In doing so, the negative effects of labour broking will disappear and employees will be satisfied with their jobs and Tommitted to their organizations.
- Full Text:
- Date Issued: 2009
- Authors: Shivangulula, Shirley Euginia
- Date: 2009
- Subjects: Temporary employment -- Namibia , Industrial relations -- Namibia , Employee motivation , Labor market -- Namibia , Labor policy -- Namibia
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:3054 , http://hdl.handle.net/10962/d1002563 , Temporary employment -- Namibia , Industrial relations -- Namibia , Employee motivation , Labor market -- Namibia , Labor policy -- Namibia
- Description: Over decades, job satisfaction has generated active empirical research. Similarly, organizational commitment, another attitudinal variable in the work domain, strongly related to, but distinctly different from job satisfaction, received comparatively equal research scrutiny. However, research on the impact of labour broking on employees’ job satisfaction and organizational commitment is nonexistent in Namibia. Using a quantitative approach, within a positivist paradigm, the purpose of this thesis was to examine the impact of labour broking on employees’ job satisfaction and organizational commitment as well as to determine the dynamics that mediate such experiences. These experiences were examined through a 5-dimensional, 72-item Job Descriptive Index and a 3-dimensional, 12-item Organizational Commitment Questionnaire over a sample size of 108 temporary and permanent employees, drawn through random probability sampling in a number of Namibian organizations that make use of labour hire services. These experiences were further amplified by face-to-face interviews over a sub sample of 20 employees. Data analysis was carried out using the chi-square, correlation, t-tests and multiple regression techniques of the STATISTICA software. Drawing on the principles of the multi dimensional theory of organizational commitment, the Cornell dispositional theory of job satisfaction and the temporary employee stigmatization model, results revealed that variables of employment status, tenure, inadequate income, inappropriate supervision and fear of job losses ahead of a newly proposed piece of legislat st labour hire ractices significantly influenced job satisfaction and organizational commitment of employees. Estimates indicate that for a mere change in tenure, job satisfaction levels will significantly rise by 0.26 units, whereas organizational commitment will augment by 0.03 units. However, for every N$ fall in employees’ pay, we can expect job satisfaction levels to decrease by 26%, but with significant effects. The study recommends that organizations must adopt policies that grant permanent tenure to all their employees, position them in respected and challenging jobs in which they will grow skills and ensure that all employees are remunerated with pay that signals their contribution to the organizations. In doing so, the negative effects of labour broking will disappear and employees will be satisfied with their jobs and Tommitted to their organizations.
- Full Text:
- Date Issued: 2009
Land reform in South Africa: effects on land prices and productivity
- Authors: Van Rooyen, Jonathan
- Date: 2009
- Subjects: Right of property -- South Africa , Land reform -- South Africa , Agriculture and state -- South Africa , Agricultural prices -- South Africa , Land tenure -- Government policy -- South Africa , Land reform -- Economic aspects -- South Africa , Real property -- Prices -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:987 , http://hdl.handle.net/10962/d1002721
- Description: South Africa’s land redistribution policy (1994-2008) has been widely publicised, and has come under scrutiny of late from the public, private and government spheres, highlighting a need for research in this area. The research examines progress in South Africa’s land redistribution programme in two of KwaZulu-Natal’s district municipalities, Uthungulu and iLembe. Specifically the research investigates whether the government has paid above market prices when purchasing sugarcane farmland for redistribution in these districts. Moreover, it is illustrated how productivity on redistributed farms has been affected with the changes in ownership. To investigate the research questions, reviews of theories pertaining to property rights, land reform and market structures were conducted. Moreover, two cases studies were conducted in the districts of Uthungulu and iLembe, with assistance from the Department of Land Affairs, Inkezo Land Company and the South African Cane Growers Association. The case study data indicate that above ordinary market prices have been paid (2004-2006) by the government for sugarcane farmland in the districts concerned, and further that productivity has been negatively impacted ‘during’ and ‘post‘ transfer, in the majority of cases.
- Full Text:
- Date Issued: 2009
- Authors: Van Rooyen, Jonathan
- Date: 2009
- Subjects: Right of property -- South Africa , Land reform -- South Africa , Agriculture and state -- South Africa , Agricultural prices -- South Africa , Land tenure -- Government policy -- South Africa , Land reform -- Economic aspects -- South Africa , Real property -- Prices -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:987 , http://hdl.handle.net/10962/d1002721
- Description: South Africa’s land redistribution policy (1994-2008) has been widely publicised, and has come under scrutiny of late from the public, private and government spheres, highlighting a need for research in this area. The research examines progress in South Africa’s land redistribution programme in two of KwaZulu-Natal’s district municipalities, Uthungulu and iLembe. Specifically the research investigates whether the government has paid above market prices when purchasing sugarcane farmland for redistribution in these districts. Moreover, it is illustrated how productivity on redistributed farms has been affected with the changes in ownership. To investigate the research questions, reviews of theories pertaining to property rights, land reform and market structures were conducted. Moreover, two cases studies were conducted in the districts of Uthungulu and iLembe, with assistance from the Department of Land Affairs, Inkezo Land Company and the South African Cane Growers Association. The case study data indicate that above ordinary market prices have been paid (2004-2006) by the government for sugarcane farmland in the districts concerned, and further that productivity has been negatively impacted ‘during’ and ‘post‘ transfer, in the majority of cases.
- Full Text:
- Date Issued: 2009
Macroeconomic convergence within SADC : implications for the formation of a regional monetary union
- Authors: Johns, Michael Ryan
- Date: 2009
- Subjects: Southern African Development Community , Economic and Monetary Union , Common Monetary Area (Organization) , Economic policy -- Africa, Southern , Monetary policy -- Africa, Southern , Monetary unions , Macroeconomics
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1023 , http://hdl.handle.net/10962/d1002758 , Southern African Development Community , Economic and Monetary Union , Common Monetary Area (Organization) , Economic policy -- Africa, Southern , Monetary policy -- Africa, Southern , Monetary unions , Macroeconomics
- Description: Given the growing effect that globalisation and integration has had upon economies and regions, the process of monetary union has become an increasingly topical issue in economic policy debates. This has been driven in part by the experience and successes of the European Monetary Union (EMU), which is widely perceived as beneficial to member countries. The Southern African Development Community (SADC) is an example of a group of countries that has realised that there are benefits that may arise from economic integration. This paper makes use of an interest-rate pass through model to investigate whether the pass-through of monetary policy transmission in ten SADC countries has become more similar between January 1990 and December 2007 using monthly interest rate data. This is done to determine the extent of macroeconomic convergence that prevails within SADC, and consequently establish whether the formation of a regional monetary union is feasible. The results of the empirical pass-through model were robust and show that there are certain countries that have a more efficient and similar monetary transmission process than others. In particular, the countries that form the Common Monetary Area (CMA) and the Southern African Customs Union (SACU) tend to show evidence of convergence in monetary policy transmission, especially since 2000. In addition, from analysis of the long-run pass-through, the results reveal that there is evidence that Malawi and Zambia have shown signs of convergence toward the countries that form the CMA and SACU, in terms of monetary policy transmission. The study concludes that a SADC wide monetary union is currently not feasible based on the evidence provided from the results of the pass-through analysis. Despite this, it can be tentatively suggested that the CMA may be expanded to include Botswana, Malawi and Zambia.
- Full Text:
- Date Issued: 2009
- Authors: Johns, Michael Ryan
- Date: 2009
- Subjects: Southern African Development Community , Economic and Monetary Union , Common Monetary Area (Organization) , Economic policy -- Africa, Southern , Monetary policy -- Africa, Southern , Monetary unions , Macroeconomics
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1023 , http://hdl.handle.net/10962/d1002758 , Southern African Development Community , Economic and Monetary Union , Common Monetary Area (Organization) , Economic policy -- Africa, Southern , Monetary policy -- Africa, Southern , Monetary unions , Macroeconomics
- Description: Given the growing effect that globalisation and integration has had upon economies and regions, the process of monetary union has become an increasingly topical issue in economic policy debates. This has been driven in part by the experience and successes of the European Monetary Union (EMU), which is widely perceived as beneficial to member countries. The Southern African Development Community (SADC) is an example of a group of countries that has realised that there are benefits that may arise from economic integration. This paper makes use of an interest-rate pass through model to investigate whether the pass-through of monetary policy transmission in ten SADC countries has become more similar between January 1990 and December 2007 using monthly interest rate data. This is done to determine the extent of macroeconomic convergence that prevails within SADC, and consequently establish whether the formation of a regional monetary union is feasible. The results of the empirical pass-through model were robust and show that there are certain countries that have a more efficient and similar monetary transmission process than others. In particular, the countries that form the Common Monetary Area (CMA) and the Southern African Customs Union (SACU) tend to show evidence of convergence in monetary policy transmission, especially since 2000. In addition, from analysis of the long-run pass-through, the results reveal that there is evidence that Malawi and Zambia have shown signs of convergence toward the countries that form the CMA and SACU, in terms of monetary policy transmission. The study concludes that a SADC wide monetary union is currently not feasible based on the evidence provided from the results of the pass-through analysis. Despite this, it can be tentatively suggested that the CMA may be expanded to include Botswana, Malawi and Zambia.
- Full Text:
- Date Issued: 2009
Modelling of size-based portfolios using a mixture of normal distributions
- Authors: Janse Van Rensburg, Stéfan
- Date: 2009
- Subjects: Capital assets pricing model
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:10569 , http://hdl.handle.net/10948/985 , Capital assets pricing model
- Description: From option pricing using the Black and Scholes model, to determining the signi cance of regression coe cients in a capital asset pricing model (CAPM), the assumption of normality was pervasive throughout the eld of nance. This was despite evidence that nancial returns were non-normal, skewed and heavy- tailed. In addition to non-normality, there remained questions about the e ect of rm size on returns. Studies examining these di erences were limited to ex- amining the mean return, with respect to an asset pricing model, and did not consider higher moments. Janse van Rensburg, Sharp and Friskin (in press) attempted to address both the problem of non-normality and size simultaneously. They (Janse van Rens- burg et al in press) tted a mixture of two normal distributions, with common mean but di erent variances, to a small capitalisation portfolio and a large cap- italisation portfolio. Comparison of the mixture distributions yielded valuable insight into the di erences between the small and large capitalisation portfolios' risk. Janse van Rensburg et al (in press), however, identi ed several shortcom- ings within their work. These included data problems, such as survivorship bias and the exclusion of dividends, and the questionable use of standard statistical tests in the presence of non-normality. This study sought to correct the problems noted in the paper by Janse van Rensburg et al (in press) and to expand upon their research. To this end survivorship bias was eliminated and an e ective dividend was included into the return calculations. Weekly data were used, rather than the monthly data of Janse van Rensburg et al (in press). More portfolios, over shorter holding periods, were considered. This allowed the authors to test whether Janse van Rensburg et al's (in press) ndings remained valid under conditions di erent to their original study. Inference was also based on bootstrapped statistics, in order to circumvent problems associated with non-normality. Additionally, several di erent speci cations of the normal mixture distribution were considered, as opposed to only the two-component scale mixture. In the following, Chapter 2 provided a literature review of previous studies on return distributions and size e ects. The data, data preparation and portfolio formation were discussed in Chapter 3. Chapter 4 gave an overview of the statistical methods and tests used throughout the study. The empirical results of these tests, prior to risk adjustment, were presented in Chapter 5. The impact of risk adjustment on the distribution of returns was documented in Chapter 6. The study ended, Chapter 7, with a summary of the results and suggestions for future research.
- Full Text:
- Date Issued: 2009
- Authors: Janse Van Rensburg, Stéfan
- Date: 2009
- Subjects: Capital assets pricing model
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:10569 , http://hdl.handle.net/10948/985 , Capital assets pricing model
- Description: From option pricing using the Black and Scholes model, to determining the signi cance of regression coe cients in a capital asset pricing model (CAPM), the assumption of normality was pervasive throughout the eld of nance. This was despite evidence that nancial returns were non-normal, skewed and heavy- tailed. In addition to non-normality, there remained questions about the e ect of rm size on returns. Studies examining these di erences were limited to ex- amining the mean return, with respect to an asset pricing model, and did not consider higher moments. Janse van Rensburg, Sharp and Friskin (in press) attempted to address both the problem of non-normality and size simultaneously. They (Janse van Rens- burg et al in press) tted a mixture of two normal distributions, with common mean but di erent variances, to a small capitalisation portfolio and a large cap- italisation portfolio. Comparison of the mixture distributions yielded valuable insight into the di erences between the small and large capitalisation portfolios' risk. Janse van Rensburg et al (in press), however, identi ed several shortcom- ings within their work. These included data problems, such as survivorship bias and the exclusion of dividends, and the questionable use of standard statistical tests in the presence of non-normality. This study sought to correct the problems noted in the paper by Janse van Rensburg et al (in press) and to expand upon their research. To this end survivorship bias was eliminated and an e ective dividend was included into the return calculations. Weekly data were used, rather than the monthly data of Janse van Rensburg et al (in press). More portfolios, over shorter holding periods, were considered. This allowed the authors to test whether Janse van Rensburg et al's (in press) ndings remained valid under conditions di erent to their original study. Inference was also based on bootstrapped statistics, in order to circumvent problems associated with non-normality. Additionally, several di erent speci cations of the normal mixture distribution were considered, as opposed to only the two-component scale mixture. In the following, Chapter 2 provided a literature review of previous studies on return distributions and size e ects. The data, data preparation and portfolio formation were discussed in Chapter 3. Chapter 4 gave an overview of the statistical methods and tests used throughout the study. The empirical results of these tests, prior to risk adjustment, were presented in Chapter 5. The impact of risk adjustment on the distribution of returns was documented in Chapter 6. The study ended, Chapter 7, with a summary of the results and suggestions for future research.
- Full Text:
- Date Issued: 2009
The covariation of South African and foreign equity returns during bull and bear runs : implications for portfolio diversification
- Authors: Mhlanga, Godfrey
- Date: 2009
- Subjects: Stock exchanges -- South Africa , Portfolio management -- South Africa , Investments -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:944 , http://hdl.handle.net/10962/d1002678
- Description: This study examines the pattern of covariation of the industrial index returns of South Africa and foreign industrial sectors. This follows recent increase in national equity correlations and increases in the influence of industry effects in portfolio diversification. The covariation pattern in returns across industries and countries during both bull and bear runs is examined using correlation analysis to determine if there is a difference between the two epochs. The study presents preliminary evidence of the covariation between sectors during a bear and a bull run. Return covariation among sectors is impelled to a greater extent by country-specific factors than by industry-specific factors, implying the segmentation of industrial sectors. Thus, South African investors can in general gain more if a portfolio comprising shares across industries and countries is held, even if these investors buy shares from similar industries.
- Full Text:
- Date Issued: 2009
- Authors: Mhlanga, Godfrey
- Date: 2009
- Subjects: Stock exchanges -- South Africa , Portfolio management -- South Africa , Investments -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:944 , http://hdl.handle.net/10962/d1002678
- Description: This study examines the pattern of covariation of the industrial index returns of South Africa and foreign industrial sectors. This follows recent increase in national equity correlations and increases in the influence of industry effects in portfolio diversification. The covariation pattern in returns across industries and countries during both bull and bear runs is examined using correlation analysis to determine if there is a difference between the two epochs. The study presents preliminary evidence of the covariation between sectors during a bear and a bull run. Return covariation among sectors is impelled to a greater extent by country-specific factors than by industry-specific factors, implying the segmentation of industrial sectors. Thus, South African investors can in general gain more if a portfolio comprising shares across industries and countries is held, even if these investors buy shares from similar industries.
- Full Text:
- Date Issued: 2009