On the modelling of ultra high frequency financial data on the Johannesburg Stock Exchange
- Authors: Van Rooy, Herculaas Frederik
- Date: 2008-07-07T09:27:52Z
- Subjects: Finance , Time and economic reactions , Johannesburg Stock Exchange , Mathematical models
- Type: Thesis
- Identifier: uj:10238 , http://hdl.handle.net/10210/760
- Description: This thesis considers the modelling of ultra high frequency (UHF) nancial data from South African markets. The approach to be taken is that such irregularly spaced data can be viewed as a realization of a marked point process. We propose a statistical model that incorporates both the unequally spaced transaction times (the points) as well as the movements of the associated returns (the marks). In all data sets investigated, no change in the value of the mark accounts for more that half the observations. If no change is considered as the censoring of some underlying process, we can explicitly model both the censoring of marks and the underlying process by utilizing methods for Markov chains and missing values. All models considered hitherto in the literature assume homogeneity of structure within a UHF data set. Data analyses indicate strongly that such an assumption is not justi ed. The proposed model aims to exploit this observation. The diurnal (time of day) e¤ect is a form of non-stationarity commonly found in UHF data sets. We show that the method currently considered standard practice is inadequate and we will propose modi cations of it. Consideration is given to the classi cation of heterogeneous subsets that arises naturally in UHF data, for instance daily subsets of a UHF data set. We nd evidence in support of some market microstructure theories, but no theory is supported by all data sets considered. We pay attention to technical issues surrounding the application of certain tests to large samples. As large samples are common in UHF data sets methods that are sensitive to large sample size, for example the Ljung-Box test, are not suitable. , Professor Freek Lombard
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The impact of bank intermediation on economic growth in South Africa, 1981-2007
- Authors: Mashele, Shighughudwana
- Date: 2010-11-09T06:26:59Z
- Subjects: Economic development , Banks and banking , Finance
- Type: Thesis
- Identifier: uj:6958 , http://hdl.handle.net/10210/3467
- Description: D.Litt. et Phil. , This study essentially is about the correlation between finance and economic growth. The research hypothesis postulates a direct causal correlation between bank-intermediated finance and economic growth in South Africa (SA) during the reference period. International research findings give mixed signals on the role, if any, that finance plays in economic growth. In the past, many economic commentators ignored the role of finance in economic growth, or argued that finance had no direct role in economic growth. However, contemporary research tends to assign a positive role for finance in economic growth. This has implications for economic policy-making, because policies which promote bank intermediation indirectly contribute towards enhancing prospects for economic growth, and vice versa. An innovative dimension in the discourse on the finance-economic growth nexus is introduced in this study by means of qualitatively linking bank regulation to economic growth. It is argued in this thesis that bank regulation influences the intensity and scope of the mobilisation and allocation of loanable funds in an economy. If the financial regulatory regime restricts banks from optimising their mobilisation of surplus funds, and the subsequent allocation of credit for productive investment, then the prospects for economic growth will be diminished. On the contrary, financial regulatory policies that promote bank intermediation are also likely to enhance prospects for economic growth. Moreover, financial regulation that unwittingly triggers financial crises, such as bank runs, will be harmful to the performance of the economy. This emphasises that financial regulation should be designed to create an environment in which stability reigns in the financial markets.
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The use of cell captives to manage financial risks
- Authors: Bakker, Daniel
- Date: 2010-11-22T07:55:04Z
- Subjects: Risk management , Finance
- Type: Thesis
- Identifier: uj:7007 , http://hdl.handle.net/10210/3515
- Description: M.Comm. , Every modern-day company is faced with challenges on a daily basis to improve its performance. This challenge stretches further than the financial target that is received from the shareholders every year and boils right down to the day to day operations of a company. How does the company perform according to the market, does the company have a uniqueness that will allow for a competitive advantage, how can costs be reduced in order to create value in terms of shareholders and how to stay the blueprint company with its competitors seen as followers. The objective of this study is to determine the effect that financial risk management in terms of a cell captive insurance facility has on a company, especially the financial side and ultimately to provide a framework on the implementation of a cell captive insurance facility. A cell captive insurance facility stems from the self insurance principle and is tailored to a unique product offered by various insurance companies. It enables a company to insure its frequent losses at a lower premium than the insurance market and all surpluses resulting from the Captive can be regarded as profit to the owner of the captive or used to lower the following year's contribution. In order to obtain a Cell Captive's insurance facility, a company must purchase shares in an insurance company, known as a sponsor, and hereby receive certain insurance amenities. The captive that is now formed enables a company to insure all business related activities against possible risks with a further extension of the definition 'business related activities'. Due to the unlikely event to completely self insure, with regards to the cost implication and bearing the size of the captive in mind to cover all possible financial losses, an underwritten agreement between the cell captive owner and the sponsor insurance company should cater for all catastrophic risks which protects the captive from collapsing, due to a massive loss. With the creation of a cell captive insurance facility, the owner of the captive can extend on all its business related activities and offer insurance products to its employees and clients, with a reasonably reduce rate compared to the insurance market. The success of theses products can be so-good that the financial impact on the captive proofs the products to be self-reliant and even generates an income for the cell captive insurance facility. As a result of the objective to implement effective risk management via a cell captive insurance facility and to create profit by doing so, the results of the Vodacom Group was used in order to emphasize the successfulness of a cell captive insurance facility. Vodacom Group saved or rather refer to the term as "created" a net underwriting profit that amounts to R 3,385,275 in the first three months by using its Cell Captive Insurance Facility. Thats more than enough to prove the financial gain, but the company also benefited from the fact that it now has the ability to educate its managers and their management styles. The captive can no act as the focal point of the Group's risk management effort, by focusing the minds of senior management on the causes of claims and means to combat that.
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An assessment of infrastructure financing in South Africa : a theoretical assessment
- Authors: Chiloane, K.O. , Aigbavboa, C.O.
- Date: 2016
- Subjects: Infrastructure , Finance , South Africa
- Language: English
- Type: Conference proceedings
- Identifier: http://hdl.handle.net/10210/215197 , uj:21377 , Citation: Chiloane, K.O & Aigbavboa, C.O. 2016. An assessment of infrastructure financing in South Africa : a theoretical assessment.
- Description: Abstract: Infrastructure development in many countries is considered as the most important factor which contributes to production growth by encouraging economic activities, productivity and improving the quality of life. Infrastructure is considered to have a positive and significant effect on productivity growth in all sectors of the economy. Infrastructure development is a means of promoting economic growth and it is essential for any country to investment in infrastructure that will leads to economic growth. Infrastructure is categorized in different category namely: physical infrastructure (which includes water system, electricity, roads and transport, etc.) and social infrastructure (which includes education and health facilities). In simple words infrastructure development aid to stimulates economic growth and create jobs for citizens. This is the indication that government must invest in infrastructure development and enjoy the benefits their investments will stimulates and also to maintain service delivery to the public. The objective of this study is to assess the sources of infrastructure financing in South Africa. The study is conducted with reference to existing theoretical literature, published and unpublished researches in order to assess the sources of infrastructure financing in South Africa. Findings revealed that there are major sources of infrastructure financing which includes: tax revenues; lenders to government or enterprises (loans or guarantees); private investors (equity); development agencies (loans); donors (grants); tariffs and public-private partnerships. The study is conducted with reference to existing literature, unpublished and published research. Hence, this study assess the sources of infrastructure financing in South Africa and presented a robust background on the current sources of infrastructure financing. The findings of this study thus contribute to the body of knowledge on infrastructure financing and other available sources of infrastructure financing other than the use of taxation revenues to finance infrastructure. Furthermore, the findings provides a robust understanding of the need and importance of financing infrastructure.
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A recipe for national innovate entrepreneurial activity : finance and industry with a dose of self-confidence
- Authors: Reddy, C.D.
- Date: 2019
- Subjects: Innovation , Entrepreneurship , Finance
- Language: English
- Type: Conference proceedings
- Identifier: http://hdl.handle.net/10210/399506 , uj:33301 , Citation: Reddy, C.D. 2019. A recipe for national innovate entrepreneurial activity : finance and industry with a dose of self-confidence.
- Description: Abstract: We study the effect of nations’ financial and industrial contexts on their innovative share of entrepreneurship. We argue that this effect is not universally strongly positive as may be assumed from extant research. This argument is supported by analysis of 333 country-year observations for 88 countries from the GEM and World Economic Forum databases. The findings highlight how a nation’s informal institutional context moderates the effect of its objective resource context on its innovative share of entrepreneurs. In particular, they contribute to the nascent interest in the cultural processes impacting on the sense making of a nation’s innovative-oriented entrepreneurs.
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