Price discovery, price behaviour, and efficiency of selected grain commodities traded on the agricultural products division of the JSE securities exchange
- Authors: Viljoen, Christo
- Date: 2004
- Subjects: Johannesburg Stock Exchange Stock exchanges -- South Africa International economic relations Primary commodities -- South Africa Grain trade -- South Africa Financial futures -- South Africa Price regulation -- South Africa
- Language: English
- Type: Thesis , Doctoral , PhD
- Identifier: vital:952 , http://hdl.handle.net/10962/d1002686
- Description: Agricultural commodity derivatives were first introduced in South Africa in 1996 after the deregulation of the former marketing system. In the context of its proposed functions, namely price discovery and risk management, the question arose as to whether the futures market developed over time to performed its role efficiently. According to the Efficient Markets Hypothesis (EMH) an efficient market is one that accurately incorporates all information available at any point in time. The purpose of the research was to address the issue of price discovery efficiency, firstly, focusing on the weak-form methodology. Secondly, considering the behaviour of futures prices over time, the study addressed the concern of anomalies in daily returns – phenomena contradictory to the EMH by implication. Thirdly, as a means of defining the sources of inefficiency, the role of scheduled public information and its impact on futures prices was examined. Therefore, the primary objective of the research was to investigate and identify the main components of agricultural futures market inefficiency within the unique price formation structure of South African grain markets. The assessment of this problem is important in terms of evaluating the growth and development of the futures market for different grain commodities to date. The Exchange needs to review rules and regulations on a frequent basis in order to ensure proper functioning at all times especially in the case of a relatively new and fast growing market. The study contributed to the knowledge of understanding the price adjustment process and its implications for market efficiency in the context of the three grain markets considered. The weak-form efficiency was tested using a co-integration based model. Analysing daily spot and futures prices of white maize, yellow maize, and wheat, results indicated that all three markets were efficient and unbiased. Non-parametric tests revealed the significant presence of day-of-the-week and turn-of-the-month effects in the futures returns of the three commodities. Further non-parametric analyses suggested a high degree of uncertainty in futures returns around scheduled agricultural and macroeconomic information release dates also contributing significantly to the identified anomalies. It was concluded that (1) the markets’ ability to anticipate the contents of future information to be released, (2) the current skewed size distribution of broking members, (3) the significant role of the R/$ exchange rate in the price formation process of South African grains and, therefore, (4) the relationship to and influence of the broader economy enhanced the return effects (anomalies) creating opportunity for profitable arbitrage. This conclusion was mainly attributed to South Africa’s status as a price-taker in the world grain complex as well as the relatively short existence of the local agricultural futures markets.
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- Date Issued: 2004
Designing an evaluation instrument for South African intermediate phase school textbooks
- Authors: Vosloo, Barend Jacobus
- Date: 2004
- Subjects: Textbooks -- South Africa -- Evaluation , Curriculum change -- South Africa -- Evaluation
- Language: English
- Type: Thesis , Doctoral , DEd
- Identifier: vital:11014 , http://hdl.handle.net/10948/324 , Textbooks -- South Africa -- Evaluation , Curriculum change -- South Africa -- Evaluation
- Description: No coherent theory about the practice of South African intermediate phase school textbook evaluation has been forthcoming since the advent of a new South African school curriculum in 1998. This deficiency has had an adverse effect on the quality of intermediate phase school textbooks, as well as on the capacity to assess their value. This research project, therefore, had two aims. The first was to articulate a theory about the practice of textbook evaluation. The second was to develop a procedure for evaluating South African intermediate phase school textbooks in terms of the theory. The research method was underpinned by the interpretive research paradigm in terms of which relevant data were analysed and interpreted. The data emanated from a literature review, an analysis of the national Department of Education’s Revised National Curriculum Statement and its draft policy for the evaluation of learning support material, and two surveys. The first survey comprised a sample of intermediate phase teachers and the second a sample of intermediate phase textbook authors. Sufficient evidence was found to conclude that the capabilities of the authoring team, the authors’ rationale and their observance of the process of learning and instruction, the accessibility of the textbook, the availability of teacher support, meeting the requirements of the Revised National Curriculum Statement, and certain key notions about textbook evaluation play a role in articulating a theory about textbook evaluation in order to guide the process of determining the effectiveness of South African intermediate phase school textbooks. Based on the above-mentioned theory, this study proposes a procedure to assist teachers and textbook evaluators to assess the worth of South African intermediate phase school textbooks in a brief, systematic, thorough, rigorous, and practical manner.
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- Date Issued: 2004