scholarly journals The relationship between βeta and stock returns in the JSE securities exchange in South Africa

2011 ◽  
Vol 9 (1) ◽  
pp. 558-566
Author(s):  
Raphael Tabani Mpofu
Keyword(s):  
South Africa ◽  
Time Series ◽  
Regression Analysis ◽  
Financial Markets ◽  
Stock Returns ◽  
South African ◽  
Time Series Data ◽  
Series Data ◽  
The South ◽  
The Relationship

The purpose of this study was is to examine the relationship between stock βeta and returns in the JSE Securities Exchange. If the model is applicable in its entirety or can explain the beta-stock returns relationship, it raises an important academic question, mainly, how should the South African financial market be viewed by investors and portfolio managers, given the political-social-economical classifications that South Africa finds itself in, sometimes referred to as developing, emerging or underdeveloped? The time-series data used was from Sharenet as well as from the South African Reserve Bank macro-economic time series data. The sample period consisted of 10 years of monthly time series data between January 2001 and December 2010. Regression analysis was applied using the conditional approach. When using the conditional capital asset pricing model (CAPM) and cross-sectional regression analysis, the findings strongly supported the significant relationship between stock excess returns and βeta. However, the results do not provide strong evidence of a CAPM relation between risks and realized return trade-off in the South African financial markets. These results demonstrate that the South African financial markets are complex and financial tools, such as the CAPM can be used to explain complex financial phenomenon as in other developed markets, although complete reliance on the CAPM should be relied upon.

scholarly journals How applicable is export-led growth and import-led growth hypotheses to South African economy?

2015 ◽  
Vol 4 (2) ◽  
pp. 15-24
Author(s):  
Ntebogang Dinah Moroke ◽  
Molebogeng Manoto
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Adverse Effect ◽  
Time Series ◽  
South African ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
Reserve Bank ◽  
Equilibrium Relationship

This paper investigated exports, imports and the economic growth nexus in the context of South Africa. The paper sets out to examine if long-run and causal relationships exist between these variables. Quarterly time series data ranging between 1998 and 2013 obtained from the South African Reserve Bank and Quantec databases was employed. Initial data analysis proved that the variables are integrated at their levels. The results further indicated that exports, imports and economic growth are co-integrated, confirming an existence of a long-run equilibrium relationship. Granger causal results were shown running from exports and imports to GDP and from imports to exports, validating export-led and import-led growth hypotheses in South Africa. A significant causality running from imports to exports, suggests that South Africa imported finished goods in excess. If this is not avoided, lots of problems could be caused. A suggestion was made to avoid such problematic issues as they may lead to replaced domestic output and displacement of employees. Another dreadful ramification may be an adverse effect on the economy which may further be experienced in the long-run.

scholarly journals Macroeconomic Immigration Determinants: an Analysis of ‘Pull’ Factors of International Migration to South Africa

2015 ◽  
Vol 1 (1) ◽  
Author(s):  
Mulugeta Dinbabo ◽  
◽  
Themba Nyasulu
Keyword(s):  
South Africa ◽  
South African ◽  
International Migration ◽  
Time Series Data ◽  
Least Square ◽  
Annual Reports ◽  
Series Data ◽  
The South ◽  
Skilled Worker ◽  
Pull Factors

This research empirically examines the macroeconomic determinants of ‘pull’ factors of international migration in South Africa. Using the neoclassical economic model of international migration, an Ordinary Least Square (OLS) regression was run on time-series data from the World Bank data base for the period 1990-2012. Relevant data from the South African Department of Home Affairs’ Annual Reports were also used. GDP per capita, inflation rate, real interest rate, employment rate and public health expenditure were found to be the key determinants which entice migrants away from their countries and direct them to “better off” destinations. The country’s public education system, on the other hand, is not a significant attraction for foreign migrants. The study concludes that the South African government urgently needs to implement not only skilled worker-attractive immigration policies but also appropriate fiscal and monetary restructuring policies aimed at growing the economy and creating employment opportunities.

scholarly journals The risk of global financial markets: The case of China in a developing country

2017 ◽  
Vol 7 (1) ◽  
pp. 46-53
Author(s):  
Philemon Nji Kum ◽  
Chux Gervase Iwu ◽  
Samuel Augustine Umezurike
Keyword(s):  
South Africa ◽  
Financial Markets ◽  
South African ◽  
South African Government ◽  
The South ◽  
African Government ◽  
Secondary Sources ◽  
The Impact ◽  
The Relationship ◽  
Liberal Policy

Globalization has forced many countries to rely on one another for products and services which they are unable to source locally. More so, trade is used as the channel to procure those. South Africa and China share very close relations which are boosted by South Africa’s neo-liberal policy, and its membership of the BRICS bloc. Often, this relationship has been subjected to different interpretations leading to the inability to reach a consensus on South Africa’s intention and exact benefits from neo-liberalization and membership of BRICS bloc. On this basis, we affirm that a notable gap exists in scholarly literature which has not provided the full-fledged understanding of the impact of Chinese manufactured goods into South Africa. We draw from the concepts of protectionism and free trade to expatiate the concerns raised by many with respect to the nature and benefits of the relationship. The paper relied extensively on secondary sources of data from which the authors then analyzed, interpreted and drew conclusions to provide a contextual explanation of the phenomenon of Chinese invasion of South African market. This method was useful for two reasons; namely its capacity to generate new insights and secondly, access to comparative studies. While the results show that South African clothing firms are increasingly shutting down because of lower prices from international competitors (especially China), and also due to structural issues of the present South African economy, we are equally aware of the extensive pressure from interest groups for the South African government to protect major local industries such as steel and textile. We argue anyway that the South African government is playing its cards carefully to avoid a backlash, especially considering its position within the BRICS bloc.

scholarly journals The Effect of PAD, DAU and DAK on Poverty Rates in Java

2021 ◽  
Vol 2 (5) ◽  
pp. 1668-1683
Author(s):  
Suryani Yuli Astuti ◽  
Muhammad Ali Basyah ◽  
Farokhah Muzayinatun Niswah
Keyword(s):  
Time Series ◽  
Regression Analysis ◽  
Time Series Data ◽  
Series Data ◽  
Analysis Method ◽  
Simultaneous Effect ◽  
Central Java ◽  
Negative Effect ◽  
The Relationship ◽  
Central Java Province

This study was made to determine the extent of the influence of Regional Original Income (PAD), General Allocation Funds (DAU) and Special Allocation Funds (DAK) on poverty through Regional Expenditures in Bitung City. Based on the time series data for 2016-2018 and processed based on the multiple regression analysis method for testing the path analysis used, it can be seen that the relationship between PAD, DAU, DAK and poverty rates on the island of Java. The results showed that the province of West Java on PAD, DAU and DAK had a partial effect on poverty rates and PAD, DAU and DAK had a simultaneous effect on poverty rates. Central Java Province on PAD has a negative effect on poverty rates, DAU and DAK have a partial effect on poverty rates and PAD, DAU and DAK have a simultaneous effect on poverty rates. DIY Province, although PAD has a negative effect on poverty rates, DAU has an effect on poverty and DAK has no partial effect on poverty rates and PAD, DAU and DAK have a simultaneous effect on poverty rates. East Java Province, Partially PAD has no effect on poverty rates, DAU has no effect on poverty rates and DAK has no effect on poverty rates and the influence of PAD, DAU and DAK simultaneously affects poverty rates.

scholarly journals Regression Factors of Rainfall, Humidity, and Rainy Day on Pepper Yield and Policy Alternatives in North Sumatra

2020 ◽  
Vol 3 (2) ◽  
pp. 25-35
Author(s):  
Fransisca Natalia Sihombing ◽  
Koko Tampubolon ◽  
Triara Juniarsih
Keyword(s):  
Time Series ◽  
Regression Analysis ◽  
Data Analysis ◽  
Time Series Data ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Series Data ◽  
Policy Alternatives ◽  
The Relationship ◽  
North Sumatra

Introduction: This research was aimed to determine the relationship pattern of rainfall, humidity, and rainy day on the increase in pepper yield in North Sumatra. Materials and Methods: This research used the time-series data on factors of rainfall, humidity, rainy day, and yield of pepper for 14 years (2005 until 2018). Data analysis used the multiple linear regression analysis with the Eviews 10 software. Results: The rainfall, humidity, and rainy day simultaneous significantly increased the pepper yield of 55.767% in North Sumatra. A 1% increase in humidity can increase the pepper yield by 0.455 ton, but a 1 mm.year-1 increase in rainfall and a 1 rainy day can decrease the pepper yield in North Sumatra by 0.503 and 1.866 ton, respectively. The humidity had the value positive, meanwhile rainfall and rainy day had the value negative in pepper yield.

scholarly journals Non-bank financial institutions and economic growth: Evidence from Africa’s three largest economies

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Ronald Rateiwa ◽  
Meshach J. Aziakpono
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Financial Institutions ◽  
Time Series Data ◽  
Bank Lending ◽  
Series Data ◽  
The Sustainable Development ◽  
Long Run ◽  
The Relationship

Background: In order for the post-2015 world development agenda – termed the sustainable development goals (SDGs) – to succeed, there is a pronounced need to ensure that available resources are used more effectively and additional financing is accessed from the private sector. Given that traditional bank lending has slowed down, the development of non-bank financing has become imperative. To this end, this article intends to empirically test the role of non-bank financial institutions (NBFIs) in stimulating economic growth.Aim: The aim of this article is to empirically test the existence of a long-run equilibrium relationship between economic growth and the development of NBFIs, and the causality thereof.Setting: The empirical assessment uses time-series data from Africa’s three largest economies, namely, Egypt, Nigeria and South Africa, over the period 1971–2013.Methods: This article uses the Johansen cointegration and vector error correction model within a country-specific setting.Results: The results showed that the long-run relationship between NBFI development and economic growth is relatively stronger in Egypt and South Africa, than in Nigeria. Evidence in respect of Nigeria shows that such a relationship is weak. The nature of the relationship between NBFI development and economic growth in Egypt is positive and significant, and predominantly bidirectional. This suggests that a virtuous relationship between NBFIs and economic growth exists in Egypt. In South Africa, the relationship is positive and significant and predominantly runs from NBFI development to economic growth, implying a supply-leading phenomenon. In Nigeria, the results are weak and mixed.Conclusion: The study concludes that in countries with more developed financial systems, the role of NBFIs and their importance to the economic growth process are more pronounced. Thus, there is need for developing policies targeted at developing the NBFI sector, given their potential to contribute to economic growth.

scholarly journals PEMODELAN GENERALIZED SPACE TIME AUTOREGRESSIVE (GSTAR) SEASONAL PADA DATA CURAH HUJAN EMPAT KABUPATEN DI PROVINSI JAWA TENGAH

2019 ◽  
Vol 8 (4) ◽  
pp. 418-427
Author(s):  
Eko Siswanto ◽  
Hasbi Yasin ◽  
Sudarno Sudarno
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Space Time ◽  
Series Data ◽  
Inverse Distance Weighted ◽  
Modeling And Forecasting ◽  
Distance Weighted ◽  
The Relationship ◽  
Inverse Distance

In many applications, several time series data are recorded simultaneously at a number of locations. Time series data from nearby locations often to be related by spatial and time. This data is called spatial time series data. Generalized Space Time Autoregressive (GSTAR) model is one of space time models used to modeling and forecasting spatial time series data. This study applied GTSAR model to modeling volume of rainfall four locations in Jepara Regency, Kudus Regency, Pati Regency, and Grobogan Regency. Based on the smallest RMSE mean of forecasting result, the best model chosen by this study is GSTAR (11)-I(1)12 with the inverse distance weighted. Based on GSTAR(11)-I(1)12 with the inverse distance weighted, the relationship between the location shown on rainfall Pati Regency influenced by the rainfall in other regencies. Keywords: GSTAR, RMSE, Rainfall

scholarly journals The Contribution of Foreign Direct Investment (FDI) To Domestic Employment Levels in South Africa: A Vector Autoregressive Approach

2019 ◽  
Vol 11 (1(J)) ◽  
pp. 110-121
Author(s):  
Bongumusa Prince Makhoba, ◽  
Irrshad Kaseeram
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Least Squares ◽  
South African ◽  
Empirical Analysis ◽  
Negative Relationship ◽  
Ordinary Least Squares ◽  
Series Data ◽  
The South ◽  
Vector Autoregressive

Several empirical works have yielded mixed and controversial results with regard to the effects of FDI on employment and economic growth. The primary focus of this study is to investigate the contribution of FDI to domestic employment levels in the context of the South African economy. The analyses of the study were carried out using the annual time series data from 1980 to 2015. The macroeconomic variables employed in the empirical investigation include employment, FDI, GDP, inflation, trade openness and unit labour costs. The study used secondary data from the South African Reserve Bank and Statistics South Africa database. The study estimated a Vector Autoregressive/ Vector Error Correction Mechanism (VAR/VECM) approach to conduct empirical analysis. However, the study also employed single equation estimation techniques, including the Ordinary Least Squares (OLS), Fully Modified Ordinary Least Squares (FMOLS), Dynamic Ordinary Least Squares (DOLS) and Canonical Cointegrating Regression (CCR) models as supporting tools to verify the VAR/VECM results. This study provides strong evidence of a significant negative relationship between FDI and employment levels in the South African economy. Empirical analysis of the study suggests that the effect of economic growth on employment is highly positive and significant in South Africa’s economy. The study recommends that policymakers ought to invest more in productive sectors that aim to promote economic growth and development to boost employment opportunities in South Africa.

scholarly journals Capital structure and profitability: An empirical study of South African banks

2016 ◽  
Vol 14 (1) ◽  
pp. 8-19 ◽  
Author(s):  
Kudzai Raymond Marandu ◽  
Athenia Bongani Sibindi
Keyword(s):  
Capital Structure ◽  
Credit Risk ◽  
South African ◽  
Time Series Data ◽  
Emerging Market ◽  
Strong Relationship ◽  
Capital Adequacy ◽  
Series Data ◽  
Bank Capital ◽  
The Relationship

The bank capital structure debacle in the aftermath of the 2007-2009 financial crises continues to preoccupy the minds of regulators and scholars alike. In this paper we investigate the relationship between capital structure and profitability within the context of an emerging market of South Africa. We conduct multiple linear regressions on time series data of big South African banks for the period 2002 to 2013. We establish a strong relationship between the ROA (profitability measure) and the bank specific determinants of capital structure, namely capital adequacy, size, deposits and credit risk. The relationship exhibits sensitivity to macro-economic shocks (such as recessions), in the case of credit risk and capital but is persistent for the other determinants of capital structure.

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