scholarly journals A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

2021 ◽  
Vol 26 (1) ◽  
pp. 189-200
Author(s):  
Abdullah Ejaz ◽  
Petr Polak ◽  
Zulfiqar Ali Amran
Keyword(s):  
South Africa ◽  
Normal Distribution ◽  
Stock Returns ◽  
Portfolio Diversification ◽  
Leverage Effect ◽  
African Countries ◽  
Share Prices ◽  
Arch Effect ◽  
Symmetrical Model ◽  
Stock Information

This paper investigates the leverage effect in African countries by applying normal and non-normal distribution densities. Furthermore, we investigate the possible opportunities for portfolio diversification in South Africa, Nigeria, and Egypt. We find that negative stock returns do not generate higher volatility in further returns than past positive returns. All three countries are subject to the ARCH effect, where past stock information (volatility) influence the current stock returns (volatility). We also find that Gaussian distribution produces a better estimate as compared to non-normal distribution. In terms of portfolio diversification, returns are also subject to the ARCH effect, however, the leverage effect does not determine that past negative returns influence the current stock returns asymmetrically.

scholarly journals Forecasting the conditional heteroscedasticity of stock returns usingasymmetric models based on empirical evidence from Eastern Europeancountries: Will there be an impact on other industries?

2021 ◽  
Vol 72 (03) ◽  
pp. 324-330
Author(s):  
ELIZABETH COKER-FARRELL ◽  
ZULFIQAR ALI IMRAN ◽  
CRISTI SPULBAR ◽  
ABDULLAH EJAZ ◽  
RAMONA BIRAU ◽  
...  
Keyword(s):  
Stock Returns ◽  
Automotive Industry ◽  
Selection Criteria ◽  
Clothing Industry ◽  
Leverage Effect ◽  
Eastern European ◽  
Arch Effect ◽  
Daily Stock Returns ◽  
Eastern European Countries ◽  
The Impact

This empirical study investigates the leverage effect in six Eastern European countries under normal and non-normaldistribution densities for the sample period from January 2020 to August 2020. We find three countries, Bulgaria, CzechRepublic and Russia which are subject to ARCH effect whereas Poland, Romania and Hungary do not exhibit ARCHeffect in daily stock returns. Further, our study finds leverage effect, where past bad news affects is asymmetrical, pastnegative returns cause more volatility in current stock returns as compared to past positive returns, in three EasternEuropean countries. Based on the AIC and BIC model selection criteria we find that the non-normal student t-distributionand GED produce reliable estimates for Bulgaria, Czech Republic and Poland, respectively. The autocorrelation functionQ1 statistic confirms the insignificance of autocorrelation in residuals of TGARCH model. The impact of stock marketdynamics on other industries, such as pharmaceutical industry, textile and clothing industry, automotive industry issignificant, especially in the conditions of COVID-19 pandemic

scholarly journals Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets

2017 ◽  
Vol 8 (6(J)) ◽  
pp. 237-245
Author(s):  
Priviledge Cheteni
Keyword(s):  
South Africa ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Market Volatility ◽  
Johannesburg Stock Exchange ◽  
Arch Effect ◽  
Show Evidence ◽  
High Volatility

Abstract: This study looks into the relationship between stock returns and volatility in South Africa and China stock markets. A Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to estimate volatility of the stock returns, namely, the Johannesburg Stock Exchange FTSE/JSE Albi index and the Shanghai Stock Exchange Composite Index. The sample period is from January 1998 to October 2014. Empirical results show evidence of high volatility in both the JSE market, and the Shanghai Stock Exchange. Furthermore, the analysis reveals that volatility is persistent in both exchange markets and resembles the same movement in returns. Consistent with most stock return studies, we find that movements of both markets seem to take a similar trajectory.Keywords: GARCH, ARCH effect, JSE index, Shanghai Stock Exchange Composite Index

Discretionary Risk Disclosures

2003 ◽  
Vol 78 (2) ◽  
pp. 449-469 ◽  
Author(s):  
Bjorn N. Jorgensen ◽  
Michael T. Kirschenheiter
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Voluntary Disclosure ◽  
Cash Flows ◽  
Share Price ◽  
Risk Disclosure ◽  
Share Prices ◽  
Ex Post ◽  
Partial Disclosure ◽  
Future Cash Flows

We model managers' equilibrium strategies for voluntarily disclosing information about their firm's risk. We consider a multifirm setting in which the variance of each firm's future cash flow is uncertain. A manager can disclose, at a cost, this variance before offering the firm for sale in a competitive stock market with risk-averse investors. In our partial disclosure equilibrium, managers voluntarily disclose if their firm has a low variance of future cash flows, but withhold the information if their firm has highly variable future cash flows. We establish how the manager's discretionary risk disclosure affects the firm's share price, expected stock returns, and beta, within the framework of the Capital Asset Pricing Model. We show that whereas one manager's discretionary disclosure of his firm's risk does not affect other firms' share prices, it does affect the other firms' betas. Also, we demonstrate that a disclosing firm has lower risk premium and beta ex post than a nondisclosing firm. Finally, we show that ex ante, the expected risk premium and expected beta of each firm are higher under a mandatory risk disclosure regime than in the partial disclosure equilibrium that arises under a voluntary disclosure regime.

Risk-Relevance of Fair-Value Income Measures for Commercial Banks

2006 ◽  
Vol 81 (2) ◽  
pp. 337-375 ◽  
Author(s):  
Leslie D. Hodder ◽  
Patrick E. Hopkins ◽  
James M. Wahlen
Keyword(s):  
Standard Deviation ◽  
Stock Returns ◽  
Commercial Banks ◽  
Fair Value ◽  
Net Income ◽  
Income Volatility ◽  
Expected Return ◽  
Market Pricing ◽  
Share Prices ◽  
Comprehensive Income

We investigate the risk relevance of the standard deviation of three performance measures: net income, comprehensive income, and a constructed measure of full-fair-value income for a sample of 202 U.S. commercial banks from 1996 to 2004. We find that, for the average sample bank, the volatility of full-fair-value income is more than three times that of comprehensive income and more than five times that of net income. We find that the incremental volatility in full-fair-value income (beyond the volatility of net income and comprehensive income) is positively related to marketmodel beta, the standard deviation in stock returns, and long-term interest-rate beta. Further, we predict and find that the incremental volatility in full-fair-value income (1) negatively moderates the relation between abnormal earnings and banks' share prices and (2) positively affects the expected return implicit in bank share prices. Our findings suggest full-fair-value income volatility reflects elements of risk that are not captured by volatility in net income or comprehensive income, and relates more closely to capital-market pricing of that risk than either net-income volatility or comprehensiveincome volatility.

scholarly journals Climate Change and Health Preparedness in Africa: Analysing Trends in Six African Countries

2021 ◽  
Vol 18 (9) ◽  
pp. 4672
Author(s):  
Samuel Kwasi Opoku ◽  
Walter Leal Filho ◽  
Fudjumdjum Hubert ◽  
Oluwabunmi Adejumo
Keyword(s):  
Public Health ◽  
Climate Change ◽  
South Africa ◽  
Human Health ◽  
Health Systems ◽  
Health Professionals ◽  
Health Problems ◽  
Sub Saharan Africa ◽  
Basic Knowledge ◽  
African Countries

Climate change is a global problem, which affects the various geographical regions at different levels. It is also associated with a wide range of human health problems, which pose a burden to health systems, especially in regions such as Africa. Indeed, across the African continent public health systems are under severe pressure, partly due to their fragile socioeconomic conditions. This paper reports on a cross-sectional study in six African countries (Ghana, Nigeria, South Africa, Namibia, Ethiopia, and Kenya) aimed at assessing their vulnerabilities to climate change, focusing on its impacts on human health. The study evaluated the levels of information, knowledge, and perceptions of public health professionals. It also examined the health systems’ preparedness to cope with these health hazards, the available resources, and those needed to build resilience to the country’s vulnerable population, as perceived by health professionals. The results revealed that 63.1% of the total respondents reported that climate change had been extensively experienced in the past years, while 32% claimed that the sampled countries had experienced them to some extent. Nigerian respondents recorded the highest levels (67.7%), followed by Kenya with 66.6%. South Africa had the lowest level of impact as perceived by the respondents (50.0%) when compared with the other sampled countries. All respondents from Ghana and Namibia reported that health problems caused by climate change are common in the two countries. As perceived by the health professionals, the inadequate resources reiterate the need for infrastructural resources, medical equipment, emergency response resources, and technical support. The study’s recommendations include the need to improve current policies at all levels (i.e., national, regional, and local) on climate change and public health and to strengthen health professionals’ skills. Improving the basic knowledge of health institutions to better respond to a changing climate is also recommended. The study provides valuable insights which may be helpful to other nations in Sub-Saharan Africa.

Stability and Governability the Benign Effects of Party Dominance in South Africa

2020 ◽  
Vol 13 (1) ◽  
pp. 56-75
Author(s):  
Ainara Mancebo
Keyword(s):  
South Africa ◽  
South African ◽  
Trade Unions ◽  
African National Congress ◽  
The Other ◽  
Democratic Transitions ◽  
African Countries ◽  
National Congress ◽  
Independence Era ◽  
Party Dominance

A tripartite alliance formed by the African National Congress, the South African Communist Party and the Congress of South African Trade Unions has been ruling the country with wide parliamentarian majorities. The country remains more consensual and politically inclusive than any of the other African countries in the post-independence era. This article examines three performance’s aspects of the party dominance systems: legitimacy, stability and violence. As we are living in a period in which an unprecedented number of countries have completed democratic transitions, it is politically and conceptually important that we understand the specific tasks of crafting democratic consolidation.

scholarly journals Trapped Between Two Pandemics: Domestic Violence Cases Under COVID-19 Pandemic Lockdown: A Scoping Review

2021 ◽  
pp. 0272684X2110221
Author(s):  
Endurance Uzobo ◽  
Aboluwaji D Ayinmoro
Keyword(s):  
South Africa ◽  
Domestic Violence ◽  
Scoping Review ◽  
Literature Search ◽  
Web Of Science ◽  
Biomed Central ◽  
Inclusion Criteria ◽  
African Countries ◽  
The World ◽  
The Government

Background As it is common with the most devastating events in the world, women always seem to be at the most disadvantage position. This situation manifested during the period of COVID-19 lockdown throughout the world and Africa in particular. The purpose of this study is to explore Domestic Violence (DV) cases in African during the COVID-19 lockdown. Methods Data for this study were gleaned from an electronic literature search using various databases PubMed and BioMed Central, Web of Science, etc. Key search words were gender DV during and after COVID-19. A total of 68 records were identified during the search. However, only 46 of these sources met the inclusion criteria. Results From the review done in selected African countries which include Egypt, South Africa, Kenya, Nigeria, Ghana and Zimbabwe; it was discovered that COVID-19 lockdown across these countries worsens the already existing cases of DV. The study also noted that generally, the response of the government has been very poor in terms of dealing with DV cases in the period of COVID-19 lockdown. Conclusion The study concluded that despite the failures of government in tackling the DV pandemics, NGOs have been very active in championing the cause of those violated while also trying to provide succour to victims. Thus, the study recommended that countries in Africa need to join international initiatives in prioritising DV cases while trying to deal with the virus itself. Thus, one disease should not be traded for another.

RESPONSE OF STOCK MARKET DURING COVID-19 AND 2008 FINANCIAL CRISIS: A COMPARATIVE EVIDENCE FROM BRICS NATIONS

2021 ◽  
pp. 1-24
Author(s):  
SANJEEV KUMAR ◽  
JASPREET KAUR ◽  
MOSAB I. TABASH ◽  
DANG K. TRAN ◽  
RAJ S DHANKAR
Keyword(s):  
South Africa ◽  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
2008 Financial Crisis ◽  
First Case ◽  
Egarch Model ◽  
The 2008 Financial Crisis ◽  
The Impact

This study attempts to examine the response of stock markets amid the COVID-19 pandemic on prominent stock markets of the BRICS nation and compare it with the 2008 financial crisis by employing the GARCH and EGARCH model. First, average and variance of stock returns are tested for differences before and after the pandemic, t-test and F-test were applied. Further, OLS regression was applied to study the impact of COVID-19 on the standard deviation of returns using daily data of total cases, total deaths, and returns of the indices from the date on which the first case was reported till June 2020. Second, GARCH and EGARCH models are employed to compare the impact of COVID-19 and the 2008 financial crisis on the stock market volatility by using the data of respective stock indices for the period 2005–2020. The results suggest that the increasing number of COVID-19 cases and reported death cases hurt stock markets of the five countries except for South Africa in the latter case. The findings of the GARCH and EGARCH model indicate that for India and Russia, the financial crisis of 2008 has caused more stock volatility whereas stock markets of China, Brazil, and South Africa have been more volatile during the COVID-19 pandemic. The study has practical implications for investors, portfolio managers, institutional investors, regulatory institutions, and policymakers as it provides an understanding of stock market behavior in response to a major global crisis and helps them in taking decisions considering the risk of these events.

FINANCIAL INTEGRATION AND ENVIRONMENT IN AFRICA: THE ROLE OF OUTPUT GROWTH AND FOREIGN DIRECT INVESTMENT

2021 ◽  
pp. 2150002
Author(s):  
EKUNDAYO PETER MESAGAN ◽  
KAYODE ABIODUN AKINYEMI ◽  
ISMAILA AKANNI YUSUF
Keyword(s):  
South Africa ◽  
Foreign Direct Investment ◽  
Direct Investment ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Output Growth ◽  
Particulate Emissions ◽  
African Countries ◽  
Output Increase ◽  
Specific Emissions

As economies integrate financially and both investment and output increase, the environment may be affected depending on the nature of international financial resources attracted into the country. Hence, this study examines the effect of financial integration, output growth, and foreign direct investment (FDI) on the environment in selected African countries involving Nigeria, South Africa, Egypt, Algeria, and Angola between 1980 and 2017. The study uses carbon emissions and particulate emissions (PM) to proxy pollution and analyze the data through the fully modified ordinary least squares (FMOLS) technique. Empirical results show that financial integration worsens pollution in Egypt, Nigeria, Algeria, and in Africa; output growth deteriorates pollution in South Africa, Algeria, Angola, and in Africa; while FDI fuels environmental degradation in Egypt and South Africa. We recommend that African countries should strive to establish specific targets for lowering emissions even though the Kyoto Protocol did not set specific emissions reduction targets for them.

scholarly journals The End of the ANC Era: An Analysis of Corruption and Inequality in South Africa

2017 ◽  
Vol 10 (4) ◽  
pp. 55 ◽  
Author(s):  
Olivia Lannegren ◽  
Hiroshi Ito
Keyword(s):  
South Africa ◽  
Relevant Literature ◽  
African National Congress ◽  
African Countries ◽  
National Elections ◽  
Difficult Situation ◽  
South Africans ◽  
Clear Sign ◽  
National Congress ◽  
Political Turmoil

ANC would always rule in South Africa, the African National Congress (ANC), which has been governing the country since the end of apartheid in 1994, received the worst results ever recorded. The ANC with president Jacob Zuma received 54 percent of the votes, which is a considerable decrease from 62 percent in 2011. This election was a clear sign that the ANC is in trouble towards the 2019 elections. The party seriously needs to rethink its strategies and investigates why the votes are decreasing. Given South Africa being a key player in global governance and in particular a strong leader among the African countries, it is significant to understand this political turmoil, as it may influence the political directions of other countries in that area. With reviews of relevant literature, therefore, this paper analyzes the current political situation in South Africa, focusing on corruption and inequality. The paper suggests connections between corruption, Jacob Zuma, and the potential end of the ANC era. The issues of inequality describes more the difficult situation that South Africans are facing and can be connected to the desire for change. It would be interesting to further analyze whether South Africa would be ready for a multiparty democracy with a peaceful transition of power after the national elections in 2019.

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