scholarly journals The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

2021 ◽  
Vol 14 (3) ◽  
pp. 122
Author(s):  
Maud Korley ◽  
Evangelos Giouvris
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Regime Switching ◽  
Markov Switching ◽  
Sub Saharan Africa ◽  
Var Model ◽  
High Volatility ◽  
Sub Saharan ◽  
The Relationship ◽  
Fx Market

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

scholarly journals A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

2018 ◽  
Vol 22 (3) ◽  
Author(s):  
Markus Haas ◽  
Ji-Chun Liu
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Regime Switching ◽  
Markov Switching ◽  
Garch Model ◽  
Equity Returns ◽  
Out Of Sample ◽  
High Volatility ◽  
Simple Recursion ◽  
Global Stock

AbstractWe consider a multivariate Markov-switching GARCH model which allows for regime-specific volatility dynamics, leverage effects, and correlation structures. Conditions for stationarity and expressions for the moments of the process are derived. A Lagrange Multiplier test against misspecification of the within-regime correlation dynamics is proposed, and a simple recursion for multi-step-ahead conditional covariance matrices is deduced. We use this methodology to model the dynamics of the joint distribution of global stock market and real estate equity returns. The empirical analysis highlights the importance of the conditional distribution in Markov-switching time series models. Specifications with Student’stinnovations dominate their Gaussian counterparts both in- and out-of-sample. The dominating specification appears to be a two-regime Student’stprocess with correlations which are higher in the turbulent (high-volatility) regime.

scholarly journals Reconciling Macroeconomic Determinants with Stock Market Performance in Selected Sub-Saharan African Countries: an ARDL Approach

2020 ◽  
Vol 1/2020 (13) ◽  
pp. 23-39
Author(s):  
Kareem Abidemi Arikewuyo ◽  
◽  
Akeem Adekunle Adeyemi ◽  
Eunice Titilayo Omodara ◽  
Lateef Adewale Yunusa ◽  
...  
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Market Performance ◽  
Sub Saharan Africa ◽  
African Countries ◽  
Macroeconomic Factors ◽  
Stock Market Performance ◽  
Sub Saharan ◽  
Macroeconomic Determinants

Prior studies have adduced unstable macroeconomic factors to stock price movement overtime but the relationship between the duo remained unsettled. Autoregressive Distributed Lag (ARDL) technique was used to reconcile the macroeconomic determinants with performance of stock markets in selected Sub-Saharan Africa (SSA) covering the period of 1999:1–2017:4. It was found that macroeconomic indicators were essential in determining stock market performance in Nigeria while South African stock market did not show any predictable linkage but the contemporaneous effect of oil price changes on stock market performance in selected SSA. The study, therefore, recommended that countries in SSA should reduce overdependence on oil to minimize external influence in order to promote stability of the stock markets.

scholarly journals Active portfolio management in the Andean countries’ stock markets with Markov-Switching GARCH models

2019 ◽  
Vol 14 (PNEA) ◽  
pp. 601-616 ◽  
Author(s):  
Oscar V. De la Torre-Torres ◽  
Dora Aguilasocho-Montoya ◽  
José Álvarez-García
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Markov Switching ◽  
Investment Strategy ◽  
Garch Models ◽  
Stock Market Index ◽  
Active Portfolio Management ◽  
High Volatility ◽  
Andean Countries

In the present paper we test the benefits of using two-regime Markov-Switching (MS) models in the stock markets of the MSCI Andean index (Chile, Colombia and Perú). We tested this with either, constant, ARCH or GARCH variances and Gaussian or t-Student log-likelihood functions. By performing 996 weekly simulations from January 2000 to January 2019 with each MS model, we tested the next investment strategy for a U.S. dollar based investor: 1) to invest in the risk-free asset if the probability of being in the high-volatility regime at t+1 is higher than 50 % or 2) to do it in the stock market index otherwise. Our results suggest that the Gaussian MS-GARCH models are the most suitable to generate alpha in the Chilean stock market and the Gaussian MS-ARCH in the Colombian one. For the Peruvian case, we found that is preferable to perform passive investing instead of active trading.

scholarly journals HIV and cardiovascular disease in sub-Saharan Africa: Demographic and Health Survey data for 4 countries

2021 ◽  
Vol 21 (1) ◽  
Author(s):  
Leonard E. Egede ◽  
Rebekah J. Walker ◽  
Patricia Monroe ◽  
Joni S. Williams ◽  
Jennifer A. Campbell ◽  
...  
Keyword(s):  
South Africa ◽  
Cardiovascular Disease ◽  
Health Survey ◽  
Survey Design ◽  
Logistic Models ◽  
Population Data ◽  
Demographic And Health Survey ◽  
Sub Saharan Africa ◽  
Sub Saharan ◽  
The Relationship

Abstract Background Investigate the relationship between two common cardiovascular diseases and HIV in adults living in sub-Saharan Africa using population data provided through the Demographic and Health Survey. Methods Data for four sub-Saharan countries were used. All adults asked questions regarding diagnosis of HIV, diabetes, and hypertension were included in the sample totaling 5356 in Lesotho, 3294 in Namibia, 9917 in Senegal, and 1051 in South Africa. Logistic models were run for each country separately, with self-reported diabetes as the first outcome and self-reported hypertension as the second outcome and HIV status as the primary independent variable. Models were adjusted for age, gender, rural/urban residence and BMI. Complex survey design allowed weighting to the population. Results Prevalence of self-reported diabetes ranged from 3.8% in Namibia to 0.5% in Senegal. Prevalence of self-reported hypertension ranged from 22.9% in Namibia to 0.6% in Senegal. In unadjusted models, individuals with HIV in Lesotho were 2 times more likely to have self-reported diabetes (OR = 2.01, 95% CI 1.08–3.73), however the relationship lost significance after adjustment. Individuals with HIV were less likely to have self-reported diabetes after adjustment in Namibia (OR = 0.29, 95% CI 0.12–0.72) and less likely to have self-reported hypertension after adjustment in Lesotho (OR = 0.63, 95% CI 0.47–0.83). Relationships were not significant for Senegal or South Africa. Discussion HIV did not serve as a risk factor for self-reported cardiovascular disease in sub-Saharan Africa during the years included in this study. However, given the growing prevalence of diabetes and hypertension in the region, and the high prevalence of undiagnosed cardiovascular disease, it will be important to continue to track and monitor cardiovascular disease at the population level and in individuals with and without HIV. Conclusions The odds of self-reported diabetes in individuals with HIV was high in Lesotho and low in Namibia, while the odds of self-reported hypertension in individuals with HIV was low across all 4 countries included in this study. Programs are needed to target individuals that need to manage multiple diseases at once and should consider increasing access to cardiovascular disease management programs for older adults, individuals with high BMI, women, and those living in urban settings.

The Relationship between Theatre and Ritual in the Sogo bò of the Bamana from Mali

2009 ◽  
Vol 25 (3) ◽  
pp. 233-240
Author(s):  
Marie Kruger
Keyword(s):  
Oral Tradition ◽  
Associate Professor ◽  
Sub Saharan Africa ◽  
Structural Elements ◽  
Repetitive Nature ◽  
Sub Saharan ◽  
Metaphorical Expression ◽  
The University ◽  
Shifting Boundaries ◽  
The Relationship

The Sogo bò, primarily an animal masquerade, can be distinguished from Western theatre through its use of a fluid space with shifting boundaries between spectator and performer. An oral tradition dictates the characterization, scenario, and content. The resemblance to ritual can be found in structural elements such as its repetitive nature and the use of non-realistic performance objects and motions. As in ritual, there is a clear sense of order, an evocative presentational style, and a strong collective dimension. The functional resemblance lies in the complex metaphorical expression through which relationships and values are symbolized, objectified, and embodied in a highly artistic way. Marie Kruger is an associate professor and the Chair of the Department of Drama at the University of Stellenbosch, South Africa, where puppetry is offered as a performance and research option. Her research is focused on masquerades in Africa and the various contemporary applications of puppetry in sub-Saharan Africa.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

scholarly journals Cohort profile: internal migration in sub-Saharan Africa—The Migration and Health in Malawi (MHM) study

BMJ Open ◽  
2017 ◽  
Vol 7 (5) ◽  
pp. e014799 ◽  
Author(s):  
Philip Anglewicz ◽  
Mark VanLandingham ◽  
Lucinda Manda-Taylor ◽  
Hans-Peter Kohler
Keyword(s):  
Health Outcomes ◽  
Reference Group ◽  
Sub Saharan Africa ◽  
Extensive Information ◽  
Sub Saharan ◽  
The Relationship ◽  
Mental And Physical Health ◽  
Use Of Health Services ◽  
Migration And Health ◽  
Selection Of

PurposeThe Migration and Health in Malawi (MHM) study focuses on a key challenge in migration research: although it has long been established that migration and health are closely linked, identifying the effect of migration on various health outcomes is complicated by methodological challenges. The MHM study uses a longitudinal panel premigration and postmigration study design (with a non-migrant comparison group) to measure and/or control for important characteristics that affect both migration and health outcomes.ParticipantsData are available for two waves. The MHM interviewed 398 of 715 migrants in 2007 (55.7%) and 722 of 1013 in 2013 (71.3%); as well as 604 of 751 (80.4%) for a non-migrant reference group in 2013. The total interviewed sample size for the MHM in both waves is 1809. These data include extensive information on lifetime migration, socioeconomic and demographic characteristics, sexual behaviours, marriage, household/family structure, social networks and social capital, HIV/AIDS biomarkers and other dimensions of health.Findings to dateOur result for the relationship between migration and health differs by health measure and analytic approach. Migrants in Malawi have a significantly higher HIV prevalence than non-migrants, which is primarily due to the selection of HIV-positive individuals into migration. We find evidence for health selection; physically healthier men and women are more likely to move, partly because migration selects younger individuals. However, we do not find differences in physical or mental health between migrants and non-migrants after moving.Future plansWe are preparing a third round of data collection for these (and any new) migrants, which will take place in 2018. This cohort will be used to examine the effect of migration on various health measures and behaviours, including general mental and physical health, smoking and alcohol use, access to and use of health services and use of antiretroviral therapy.

Innovation, institutions and economic growth in sub-Saharan Africa – an IV estimation of a panel threshold model

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Joseph Ato Forson ◽  
Rosemary Afrakomah Opoku ◽  
Michael Owusu Appiah ◽  
Evans Kyeremeh ◽  
Ibrahim Anyass Ahmed ◽  
...  
Keyword(s):  
Economic Growth ◽  
Developing Economies ◽  
Innovation Policy ◽  
Threshold Model ◽  
Sub Saharan Africa ◽  
Content Type ◽  
Panel Regressions ◽  
Sub Saharan ◽  
The Impact ◽  
The Relationship

PurposeThe significant impact of innovation in stimulating economic growth cannot be overemphasized, more importantly from policy perspective. For this reason, the relationship between innovation and economic growth in developing economies such as the ones in Africa has remained topical. Yet, innovation as a concept is multi-dimensional and cannot be measured by just one single variable. With hindsight of the traditional measures of innovation in literature, we augment it with the number of scientific journals published in the region to enrich this discourse.Design/methodology/approachWe focus on an approach that explores innovation policy qualitatively from various policy documents of selected countries in the region from three policy perspectives (i.e. institutional framework, financing and diffusion and interaction). We further investigate whether innovation as perceived differently is important for economic growth in 25 economies in sub-Saharan Africa over the period 1990–2016. Instrumental variable estimation of a threshold regression is used to capture the contributions of innovation as a multi-dimensional concept on economic growth, while dealing with endogeneity between the regressors and error term.FindingsThe results from both traditional panel regressions and IV panel threshold regressions show a positive relationship between innovation and economic growth, although the impact seems negligible. Institutional quality dampens innovation among low-regime economies, and the relation is persistent regardless of when the focus is on aggregate or decomposed institutional factors. The impact of innovation on economic growth in most regressions is robust to different dimensions of innovation. Yet, the coefficients of the innovation variables in the two regimes are quite dissimilar. While most countries in the region have offered financial support in the form of budgetary allocations to strengthen institutions, barriers to the design and implementation of innovation policies may be responsible for the sluggish contribution of innovation to the growth pattern of the region.Originality/valueSegregating economies of Africa into two distinct regimes based on a threshold of investment in education as a share of GDP in order to understand the relationship between innovation and economic growth is quite novel. This lends credence to the fact that innovation as a multifaceted concept does not take place by chance – it is carefully planned. We have enriched the discourse of innovation and thus helped in deepening understanding on this contentious subject.

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