African Finance Journal - Special issue 1, January 2010
Volumes & issues
Special issue 1, January 2010
Source: African Finance Journal 2010, pp 1 –26 (2010)More Less
The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that none of the markets are characterised by random walks with the exception of the South African stock market. On the other hand, this study aims to detect the presence of the day of the week effects of these African stock markets. Results show the existence of day of the week effects, that is, the typical negative Monday and Friday positive effects in several stock markets.
Source: African Finance Journal 2010, pp 27 –43 (2010)More Less
This study attempts to examine the risk-adjusted returns of listed mutual funds over a ten-year period from January 1996 to December 2005 using daily, weekly and monthly data on the Stock Exchange of Mauritius (SEM). Using daily data, the Jensen's Alpha, the modified Jensen alpha, the Treynor's and Sharpe Indices seem to indicate that few funds perform better than the market. However, analysis from weekly and monthly data reveals that it becomes more difficult to beat the market or even perform as well as the SEM. Thus when daily data are used, the Stock Exchange of Mauritius seems to deviate a little from strong form market efficiency. However, this last result must be viewed with caution given the findings when using weekly and monthly data.
Source: African Finance Journal 2010, pp 44 –57 (2010)More Less
This paper sets out to establish possible causes of inflation in Namibia. These are : growth in Namibia's money supply, aggregate demand and domestic costs of production; and pass-through of South Africa's prices and costs to domestic prices in Namibia. This paper argues that inflation in Namibia is caused by a combination of monetary and structural factors. The paper recommends the following strategies : optimal mix of monetary and fiscal policy measures; exploration of Namibia's import substitution possibilities; reduction of monopolistic and oligopolistic powers in manufacturing and trade; and increase labour productivity, as a means of reducing average cost of production.
Author Ellinami J. MinjaSource: African Finance Journal 2010, pp 58 –74 (2010)More Less
The discriminatory auction system elicits some behaviors from the bidders. While bidders quoting high prices are prone to suffer the winner's curse, low prices can signal bid shedding or even collusion among bidders. Based on 8-year weekly observations of auction results of treasury securities in Tanzania, we use cointegration to establish the behavior of yields obtained (or quoted) by different bidder categories. The results not only suggest Granger-causality among the lowest, lowest successful and highest bid price series but also that they are generated by similar processes. Lowering of the bid size also led to better cointegration of the yields.
Source: African Finance Journal 2010, pp 75 –97 (2010)More Less
This study investigates the impact of including frontier market equities in a diversified equity portfolio consisting of emerging and developed markets equities. It is found that while emerging market equity indices have been highly correlated with those of developed markets, correlations between the investable frontier market indices and both the emerging and the developed market indices have been significantly lower. The paper shows that the inclusion of equities from frontier markets in an internationally diversified equity portfolio is significantly advantageous, leading to portfolios with superior risk-return characteristics. However, both, the choice of the frontier market index and of the period of study affect the results.
Author Irrshad KaseeramSource: African Finance Journal 2010, pp 98 –109 (2010)More Less
This paper analyses the interest-rate decision-making behaviour of the South African Reserve Bank (SARB) since the of the adoption of the Inflation Targeting Monetary Policy Framework (ITMPF). The general method of moments (GMM) technique is used to model hybrid Taylor type rules, employing monthly revised data from the period January 2000 to February 2008. This study successfully demonstrates that policy responses are best described by a closed-economy reaction function that incorporates twelve months ahead-expected inflation together with the output gap. However, an open economy specification that includes deviations of real effective exchange rates from its reference value also gives plausible results.