International listed real estate market portfolio diversification in BRICS
- Authors: Tshivhase, Rofhiwa
- Date: 2019
- Subjects: Portfolio management - BRIC countries , Real estate investment - BRIC countries
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414117 , uj:34914
- Description: M.Com. (Finance) , Abstract: International financial markets are becoming integrated especially in the developed financial markets. This increased integration between financial markets is caused by increased globalisation and as a result, investors and portfolio managers are faced with challenges when it comes to portfolio diversification of developed listed real estate markets. Literature indicates that investing in emerging financial markets as an alternative investment avenue may provide investors and portfolio managers with significant diversification benefits. Most of these studies were based on developed economies with the concentration on mixed asset portfolios and reflected limited research. This mainly focused on listed real estate only, with portfolios from the emerging financial markets. This study examined the existence of any diversification benefits of listed real estate within BRICS markets portfolios for the period of 11 January 2010 to 30 December 2016 using a daily data. Research techniques such as the Johansen co-integration test, the VECMs and VAR (Impulse response functions and Variance Decompositions) were used. Overall findings of the study confirmed that there was co-integration present among the BRICS listed real estate markets. Results further indicated that their co-integration was low but no evidence of long run relationship between these markets. In addition, the results indicated that within the BRICS listed real estate markets, Chinese and South African markets were exogenous. Even though China and South Africa are exogenous variables there was no evidence of these two markets causing a major impact on the other three markets (Brazil, India and Russia) during a short and long run period. Therefore it further confirms that there is a possibility of diversification benefits which can be achieved within a BRICS listed real estate portfolio.
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- Authors: Tshivhase, Rofhiwa
- Date: 2019
- Subjects: Portfolio management - BRIC countries , Real estate investment - BRIC countries
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/414117 , uj:34914
- Description: M.Com. (Finance) , Abstract: International financial markets are becoming integrated especially in the developed financial markets. This increased integration between financial markets is caused by increased globalisation and as a result, investors and portfolio managers are faced with challenges when it comes to portfolio diversification of developed listed real estate markets. Literature indicates that investing in emerging financial markets as an alternative investment avenue may provide investors and portfolio managers with significant diversification benefits. Most of these studies were based on developed economies with the concentration on mixed asset portfolios and reflected limited research. This mainly focused on listed real estate only, with portfolios from the emerging financial markets. This study examined the existence of any diversification benefits of listed real estate within BRICS markets portfolios for the period of 11 January 2010 to 30 December 2016 using a daily data. Research techniques such as the Johansen co-integration test, the VECMs and VAR (Impulse response functions and Variance Decompositions) were used. Overall findings of the study confirmed that there was co-integration present among the BRICS listed real estate markets. Results further indicated that their co-integration was low but no evidence of long run relationship between these markets. In addition, the results indicated that within the BRICS listed real estate markets, Chinese and South African markets were exogenous. Even though China and South Africa are exogenous variables there was no evidence of these two markets causing a major impact on the other three markets (Brazil, India and Russia) during a short and long run period. Therefore it further confirms that there is a possibility of diversification benefits which can be achieved within a BRICS listed real estate portfolio.
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Estimating portfolio value at risk by a conditional copula approach in BRICS countries
- Mukalenge, Tshikenda Leopold
- Authors: Mukalenge, Tshikenda Leopold
- Date: 2018
- Subjects: Portfolio management - BRIC countries , Financial risk management - BRIC countries - Statistical methods , Copulas (Mathematical statistics)
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403400 , uj:33802
- Description: Abstract : This thesis used daily log returns of indices of BRICS countries from the period of March 11th 2013 to May 16th 2017. Its main focus was to estimate the value at risk (VaR) of a portfolio of the BRICS financial markets using a conditional copula approach. A useful starting point was to apply the model of AR (1)-GARCH (1,1) with t-distribution and AR (1)-GARCH (1,1), using returns of the normal errors for the marginal distribution models in the copula framework. Two copulas, the normal and the symmetric Joe Clayton (SJC) copulas, were estimated as both constant and time-varying. The log likelihood of the time-varying copula was significantly more suitable than the constant copula. The comparison of the performance of the copula models to the benchmark AR (1)-GARCH (1,1) was done using the Christoffersen test. The 99% VaR appeared fairly accurate, suggesting that the VaR models were dependable. The standard level of comparison AR (1)-GARCH (1,1) did not perform well compared to the SJC copula; i.e. the time-varying SJC copula performed better than the benchmark model. The time-varying SJC copula model used to estimate the portfolio VaR also showed a minimum number of exceptions in the back-test. This copula thus meets regulatory capital requirement for investors as stipulated in Basel II. , M.Com. (Financial Economics)
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- Authors: Mukalenge, Tshikenda Leopold
- Date: 2018
- Subjects: Portfolio management - BRIC countries , Financial risk management - BRIC countries - Statistical methods , Copulas (Mathematical statistics)
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/403400 , uj:33802
- Description: Abstract : This thesis used daily log returns of indices of BRICS countries from the period of March 11th 2013 to May 16th 2017. Its main focus was to estimate the value at risk (VaR) of a portfolio of the BRICS financial markets using a conditional copula approach. A useful starting point was to apply the model of AR (1)-GARCH (1,1) with t-distribution and AR (1)-GARCH (1,1), using returns of the normal errors for the marginal distribution models in the copula framework. Two copulas, the normal and the symmetric Joe Clayton (SJC) copulas, were estimated as both constant and time-varying. The log likelihood of the time-varying copula was significantly more suitable than the constant copula. The comparison of the performance of the copula models to the benchmark AR (1)-GARCH (1,1) was done using the Christoffersen test. The 99% VaR appeared fairly accurate, suggesting that the VaR models were dependable. The standard level of comparison AR (1)-GARCH (1,1) did not perform well compared to the SJC copula; i.e. the time-varying SJC copula performed better than the benchmark model. The time-varying SJC copula model used to estimate the portfolio VaR also showed a minimum number of exceptions in the back-test. This copula thus meets regulatory capital requirement for investors as stipulated in Basel II. , M.Com. (Financial Economics)
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