scholarly journals Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic

2021 ◽  
pp. 102000
Author(s):  
Bernard Njindan Iyke ◽  
Sin-Yu Ho
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
South African ◽  
The South ◽  
Exchange Rate Exposure

scholarly journals Revisiting the risk-return relation in the South African stock market

2012 ◽  
Vol 6 (46) ◽  
pp. 11411-11415
Author(s):  
F Darrat Ali ◽  
Li Bin ◽  
Wu Leqin
Keyword(s):  
Stock Market ◽  
South African ◽  
The South ◽  
Risk Return

scholarly journals Covered interest arbitrage opportunities in the South African foreign exchange market

1987 ◽  
Vol 18 (4) ◽  
pp. 209-214
Author(s):  
C. De J. Correia ◽  
R. F. Knight
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
South African ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
The South ◽  
Dollar Exchange Rate ◽  
Interest Parity ◽  
Interest Differential

The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interest Arbitrage transactions will be eliminated quickly. The fall in the Rand/Dollar exchange rate resulted in many South African companies reporting substantial foreign exchange losses on offshore loans. Companies were attracted to foreign sources of finance because of lower foreign interest rates. The authors conclude, on the basis of empirical tests, that the forward Rand/Dollar exchange rate followed its interest parity value very closely over the period August 1983 - August 1985. Opportunities to engage in risk-free arbitrage activities were offset by related transaction costs. The South African foreign exchange market is efficient to the extent that risk-free profit opportunities did not exist for the period under review and therefore there was no benefit, after adjusting for risk, for South African management to borrow from offshore sources of finance.

Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market

2015 ◽  
Vol 14 (4) ◽  
pp. 413-430 ◽  
Author(s):  
Nicholas Addai Boamah
Keyword(s):  
Stock Market ◽  
South African ◽  
Design Methodology ◽  
The South ◽  
Gross Domestic Product Growth ◽  
Content Type ◽  
The Past ◽  
Three Factor ◽  
Future Growth ◽  
French Model

Purpose – The purpose of this study is to explore the applicability of the Fama–French and Carhart models on the South African stock market (SASM). It examines the ability of the models to capture size, book-to-market (BM) and momentum effects on the SASM. The paper, additionally, explores the ability of the Fama–French–Carhart factors to predict the future growth of the South African economy. Design/methodology/approach – The paper relies on data of 848 firms from January 1996 to April 2012 to examine the size, BM and momentum effects on the SASM. The paper constructs the test assets from a 3 × 3 sort on size and BM and a 3 × 3 sort on size and momentum. The paper estimates momentum as the past six-months’ cumulative return. The momentum portfolios are monthly rebalanced. Additionally, the size and BM portfolios are formed annually at the end of each June. Findings – Evidence is provided that size, BM and momentum effects exist on the SASM; also, the small- and high-BM firm portfolios, respectively, appear riskier than the big- and low-BM firm portfolios. The paper provides evidence of past winners outperforming past losers aside from the small-firm group. Additionally, the models only partially capture the size and value effects on the SASM. The Carhart model partly captures the momentum effects, but the Fama–French model is unable to describe the returns to the momentum-sorted portfolios. The evidence shows that the models’ factors predict future gross domestic product growth. Originality/value – The models do not fully describe returns on the SASM; any application of the models on the SASM should be done with caution. The Carhart model better describes returns than the Fama–French model on the SASM. The Fama–French–Carhart factors may relate to the underlying economic risk of the South African economy.

Stages of growth in the South African economy: The role of agriculture

1998 ◽  
Vol 1 (2) ◽  
pp. 204-218 ◽  
Author(s):  
R. F. Townsend ◽  
J. Van Zyl
Keyword(s):  
Exchange Rate ◽  
South African ◽  
Agricultural Sector ◽  
Agricultural Product ◽  
The South ◽  
Agricultural Industry ◽  
Stages Of Growth ◽  
Net Exports ◽  
Causality Tests

This paper identifies the stages of growth in the South African economy with particular reference to agriculture. Simple a-matrix causality tests are used to determine the direction of causality between the gross sectoral products of the economy and the gross agricultural product. The percentage share of the agricultural industry in the South African economy is relatively small and continues to decline as the economy grows. However, there has been a greater integration of agriculture within the economy during the 1990s as a result of the liberalisation of many aspects of the economy. Agriculture may have played a passive role in the economy, but has provided foreign exchange revenue from net exports to facilitate growth in other sectors of the economy. In a more decontrolled environment, the agricultural sector will become increasingly susceptible to the changes in the macroeconomy, particularly the exchange rate.

Eswatini (formerly Swaziland)

2020 ◽  
Author(s):  
Marius Schneider ◽  
Vanessa Ferguson
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
South African ◽  
Southern Africa ◽  
The South ◽  
The Common ◽  
One To One ◽  
South African Rand

Eswatini, formally known as the Kingdom of Eswatini, is a landlocked country in Southern Africa and one of the smallest countries in Africa with a total area of 17,364 square kilometres (km) and a population of 1,367 (2017). It is bordered by Mozambique and South Africa. The capital and main business centre of Eswatini is Mbabane. The working week is from Monday to Friday from 0800 to 1300 and 1400 to 1700. The Swaziland Lilangeni (SZL/ E) is the official currency of Eswatini. The Lilangeni was introduced in 1974 to compete with the South African rand through the Common Monetary Area, to which it remains tied at a one-to-one exchange rate.

Stock Market Over-reaction: The South African Evidence

1992 ◽  
Vol 21 (36) ◽  
pp. 35-49 ◽  
Author(s):  
M.J. Page ◽  
C.V. Way
Keyword(s):  
Stock Market ◽  
South African ◽  
The South
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