Bond market integration in the Common Monetary Area (CMA)
- Ramoriting, Retšelisitsoe Silvia
- Authors: Ramoriting, Retšelisitsoe Silvia
- Date: 2022-04-06
- Subjects: Globalization , Globalization Economic aspects , Bond market , Rand area , Africa, Southern Economic integration , Autoregressive distributed lag (ARDL) model
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/284592 , vital:56077
- Description: The study reviews the phenomenon of financial integration. During the late 1980s and 1990s, financial market integration around the world increased due to globalisation of investments and the need for higher returns and international risk diversification. The increase was accompanied by a significant increase in private capital flows into developing countries from developed countries. The main goal of the study is to examine bond market integration in the common monetary area The study therefore investigates the co-movement of government bond returns within the CMA using data from Eswatini, Namibia, and South Africa. The study attempts to find the short-run and long-run relationship of these government bond returns using the ARDL cointegration technique. The study uses daily data of 10-year government bond yields spanning from August 2014 to September 2019. The empirical results reveal that there exists a short-run and long-run relationship between South Africa and Eswatini. Between South Africa and Namibia, there only exist a short-run relationship. Just like the previously mentioned studies, the short-run relationship is a result of policy convergence. The lack of long-run relationship between South and Namibia was due to poor institutional developments and limited investment opportunities. In this case, policy measures (or reforms) and a review of the union are necessary to increase integration of these bond markets. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2022
- Full Text:
- Date Issued: 2022-04-06
- Authors: Ramoriting, Retšelisitsoe Silvia
- Date: 2022-04-06
- Subjects: Globalization , Globalization Economic aspects , Bond market , Rand area , Africa, Southern Economic integration , Autoregressive distributed lag (ARDL) model
- Language: English
- Type: Academic theses , Master's theses , text
- Identifier: http://hdl.handle.net/10962/284592 , vital:56077
- Description: The study reviews the phenomenon of financial integration. During the late 1980s and 1990s, financial market integration around the world increased due to globalisation of investments and the need for higher returns and international risk diversification. The increase was accompanied by a significant increase in private capital flows into developing countries from developed countries. The main goal of the study is to examine bond market integration in the common monetary area The study therefore investigates the co-movement of government bond returns within the CMA using data from Eswatini, Namibia, and South Africa. The study attempts to find the short-run and long-run relationship of these government bond returns using the ARDL cointegration technique. The study uses daily data of 10-year government bond yields spanning from August 2014 to September 2019. The empirical results reveal that there exists a short-run and long-run relationship between South Africa and Eswatini. Between South Africa and Namibia, there only exist a short-run relationship. Just like the previously mentioned studies, the short-run relationship is a result of policy convergence. The lack of long-run relationship between South and Namibia was due to poor institutional developments and limited investment opportunities. In this case, policy measures (or reforms) and a review of the union are necessary to increase integration of these bond markets. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2022
- Full Text:
- Date Issued: 2022-04-06
Impact of sovereign credit ratings on emerging bond and stock market returns
- Authors: Mkhonto, Zoyisile
- Date: 2021-04
- Subjects: Rating agencies (Finance) , Credit ratings , Bond market
- Language: English
- Type: thesis , text , Masters , MCom
- Identifier: http://hdl.handle.net/10962/177170 , vital:42796
- Description: The primary role of credit rating agencies is to reduce asymmetric information between the parties in a lending relationship. The three major rating agencies have received extensive criticism over the years. These rating agencies have been accused of providing inaccurate ratings which ultimately led to various financial calamities. Late rating action has also been blamed for exacerbating financial and economic cycles. Moreover, there is an argument that emerging markets are unfairly rated in comparison to developed economies. Hence, the reliability and informational value of the assessments provided by credit rating agencies is met with scepticism. Despite these criticisms, rating agencies are characterised as gatekeepers to capital and credit ratings remain essential financial market indicators. Albeit, the literature regarding the impact of sovereign credit ratings on bond and stock markets is inconclusive. This study aims to add to the body of literature and provide insights into the informational value of sovereign credit ratings in emerging markets. More specifically to estimate the relationship between various sovereign credit rating announcements, and bond and stock market returns. Also, to examine whether sovereign credit ratings have a differential impact between bond and stock markets. As well as address the question does it matter who provides the rating? Using an event study, abnormal returns surrounding rating announcements from 2009 to 2019 for 24 emerging markets were analyzed. Firstly, this study concluded that sovereign credit ratings are informative. Secondly, the degree of informativeness differs between the bond and stock markets. Thirdly, an asymmetrical impact was observed between the types of rating announcements. Lastly, that it does matter which rating agency provides the rating because each agency has a unique reputation. The findings of this research have implications on how investors and portfolio managers decide on asset allocation. Furthermore, policymakers may find our investment grade analysis of value when evaluating regulatory reform. It’s recommended that future research refines the event methodology and examines country specific characteristics within each of the emerging markets. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2021
- Full Text:
- Date Issued: 2021-04
- Authors: Mkhonto, Zoyisile
- Date: 2021-04
- Subjects: Rating agencies (Finance) , Credit ratings , Bond market
- Language: English
- Type: thesis , text , Masters , MCom
- Identifier: http://hdl.handle.net/10962/177170 , vital:42796
- Description: The primary role of credit rating agencies is to reduce asymmetric information between the parties in a lending relationship. The three major rating agencies have received extensive criticism over the years. These rating agencies have been accused of providing inaccurate ratings which ultimately led to various financial calamities. Late rating action has also been blamed for exacerbating financial and economic cycles. Moreover, there is an argument that emerging markets are unfairly rated in comparison to developed economies. Hence, the reliability and informational value of the assessments provided by credit rating agencies is met with scepticism. Despite these criticisms, rating agencies are characterised as gatekeepers to capital and credit ratings remain essential financial market indicators. Albeit, the literature regarding the impact of sovereign credit ratings on bond and stock markets is inconclusive. This study aims to add to the body of literature and provide insights into the informational value of sovereign credit ratings in emerging markets. More specifically to estimate the relationship between various sovereign credit rating announcements, and bond and stock market returns. Also, to examine whether sovereign credit ratings have a differential impact between bond and stock markets. As well as address the question does it matter who provides the rating? Using an event study, abnormal returns surrounding rating announcements from 2009 to 2019 for 24 emerging markets were analyzed. Firstly, this study concluded that sovereign credit ratings are informative. Secondly, the degree of informativeness differs between the bond and stock markets. Thirdly, an asymmetrical impact was observed between the types of rating announcements. Lastly, that it does matter which rating agency provides the rating because each agency has a unique reputation. The findings of this research have implications on how investors and portfolio managers decide on asset allocation. Furthermore, policymakers may find our investment grade analysis of value when evaluating regulatory reform. It’s recommended that future research refines the event methodology and examines country specific characteristics within each of the emerging markets. , Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2021
- Full Text:
- Date Issued: 2021-04
Econometric determinants of liquidity of the South African bond market
- Mingiri, Kapingura Forget https://orcid.org/0000-0002-5808-5612
- Authors: Mingiri, Kapingura Forget https://orcid.org/0000-0002-5808-5612
- Date: 2010
- Subjects: Economic indicators , Economic forecasting -- Africa , Bond market
- Language: English
- Type: Master's theses , text
- Identifier: http://hdl.handle.net/10353/26346 , vital:65243
- Description: The importance of the bond market to the financial system and broader economy of a country cannot be underestimated. It is important to analyse factors which determine liquidity in this essential market. This study seeks to establish the determinants of liquidity in the South African bond market using monthly data covering the period 1995 to 2009. It begins by providing an updated overview of the South African bond market and an analysis of the relevant literature. Two models linking bond market liquidity to its theoretical determinants were specified. In contrast to the available literature, this study analyses liquidity at both macroeconomic and market microstructure level using two measures of liquidity, volume and the bid-ask spread, applying the VAR approach and two-stage least squares for robust check. All macroeconomic variables (except stock market) were identified to have an impact on bond market liquidity in the long-run. As far as market microstructure factors are concerned, both volume and volatility were established to be important determinants of liquidity in the South African bond market. The study recommended that, as for macroeconomic factors, authorities should keep inflation at low and stables levels as well as a stable currency. Also, offering bond investors certain facilities and the removal of restrictions on foreign investor activities are other important conditions to improve bond market liquidity. As far as market microstructure factors are concerned, we suggest that, ways to safe-guard against excessive volatility include the creation of a vibrant derivative market, development of a more active and well-functioning repurchase market./ , Thesis (MCom) -- Faculty of Management and Commerce, 2010
- Full Text:
- Date Issued: 2010
- Authors: Mingiri, Kapingura Forget https://orcid.org/0000-0002-5808-5612
- Date: 2010
- Subjects: Economic indicators , Economic forecasting -- Africa , Bond market
- Language: English
- Type: Master's theses , text
- Identifier: http://hdl.handle.net/10353/26346 , vital:65243
- Description: The importance of the bond market to the financial system and broader economy of a country cannot be underestimated. It is important to analyse factors which determine liquidity in this essential market. This study seeks to establish the determinants of liquidity in the South African bond market using monthly data covering the period 1995 to 2009. It begins by providing an updated overview of the South African bond market and an analysis of the relevant literature. Two models linking bond market liquidity to its theoretical determinants were specified. In contrast to the available literature, this study analyses liquidity at both macroeconomic and market microstructure level using two measures of liquidity, volume and the bid-ask spread, applying the VAR approach and two-stage least squares for robust check. All macroeconomic variables (except stock market) were identified to have an impact on bond market liquidity in the long-run. As far as market microstructure factors are concerned, both volume and volatility were established to be important determinants of liquidity in the South African bond market. The study recommended that, as for macroeconomic factors, authorities should keep inflation at low and stables levels as well as a stable currency. Also, offering bond investors certain facilities and the removal of restrictions on foreign investor activities are other important conditions to improve bond market liquidity. As far as market microstructure factors are concerned, we suggest that, ways to safe-guard against excessive volatility include the creation of a vibrant derivative market, development of a more active and well-functioning repurchase market./ , Thesis (MCom) -- Faculty of Management and Commerce, 2010
- Full Text:
- Date Issued: 2010
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
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