1,721,007 research outputs found
Botha, Ferdi (Mr)
No full textDepartment of Economics and Economic History (2010-2019) ORCID 0000-0003-0856-0240 Top 30 Rhodes Researchers 2013 Vice-Chancellor’s Distinguished Research Award 2017. Professor Ferdi Botha </a
Modelling stock return volatility dynamics in selected African markets
Get PDFStock return volatility has been shown to occasionally exhibit discrete structural shifts. These
shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be
more pronounced in developing markets. This study aims to establish whether accounting for
structural changes in the conditional variance process, through the use of Markov-switching
models, improves estimates and forecasts of stock return volatility over those of the more
conventional single-state (G)ARCH models, within and across selected African markets for
the period 2002-2012. In the univariate portion of the study, the performances of various
Markov-switching models are tested against a single-state benchmark model through the use
of in-sample goodness-of-fit and predictive ability measures. In the multivariate context, the
single-state and Markov-switching models are comparatively assessed according to their
usefulness in constructing optimal stock portfolios. It is found that, even after accounting for
structural breaks in the conditional variance process, conventional GARCH effects remain
important to capturing the heteroscedasticity evident in the data. However, those univariate
models which include a GARCH term are shown to perform comparatively poorly when used
for forecasting purposes. Additionally, in the multivariate study, the use of Markov-switching
variance-covariance estimates improves risk-adjusted portfolio returns when compared to
portfolios that are constructed using the more conventional single-state models. While there
is evidence that the use of some Markov-switching models can result in better forecasts and
higher risk-adjusted returns than those models which include GARCH effects, the inability of
the simpler Markov-switching models to fully capture the heteroscedasticity in the data
remains problemati
Exports and economic growth in South Africa
Get PDFVarious studies conclude that accelerated economic growth and development are necessary in South Africa to make a significant contribution towards reducing high levels of unemployment, inequality and poverty. Moreover, in theories of economic growth the export sector is frequently accorded a special role in encouraging faster economic growth, which is often supported by empirical evidence. Nonetheless, a question that remains unresolved is whether higher export growth leads to higher economic growth in South Africa and what particular role exports may play within the overall economic growth process of the country. This study applies Johansen’s cointegration procedure, impulse response functions, variance decomposition analysis and Granger causality tests to shed light on the channels through which export growth may impact South Africa’s economic growth rate. Quarterly time series data ranging from 1975q1 to 2012q4 is employed in the study’s empirical tests. The empirical results lend support to the idea that the role of exports in the economic growth process fundamentally lies in their ability to encourage investment and capital formation. While export growth supports higher economic growth in the short-run, it does not have the same effect in the long-run. Nonetheless, with export growth supporting faster capital formation in South Africa, and capital formation, in turn, significantly increasing economic growth in the long-run, the impetus to growth stemming from exports has been found to lie in the channel to capital formation. On the basis of the empirical results, not only are exports a critical requirement of higher investment, but they are also anticipated to play a prominent role in lifting the balance of payments constraint that would make investment-led growth possible in the first place. Overall, a strategy of export-led growth that does not explicitly emphasise the export-capital-growth connection is likely to fall short of reflecting the dynamics contained within the exports-growth relationship in South Africa
The effect of interest rates on investment spending: an empirical analysis of South Africa
Get PDFThis thesis investigates the nature and strength of the relationship between short-,
medium-, and long-term real interest rates and capital investment spending at both the
aggregate and disaggregate levels in South Africa in order to determine whether
changes in the real interest rate affect the level of capital investment in the economy.
This thesis used quarterly data for the period 1987 to 2013. VAR modelling, variance
decompositions, impulse response functions and Granger causality tests are used to
explore the nature and strength of the relationship between interest rates and investment
spending. It is found that interest rates explain very little of the variation in investment
spending and seem to have little impact on investment (of any type). Furthermore,
short-, medium- and long-term interest rates have different effects on the level of
investment spending. A rise in short-term interest rates appears to decrease the level of
investment spending in the long-run, whereas a rise in long-term interest rates results
in an increase in investment
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Saving and investment in South Africa : a causality study
Get PDFThis study aims to investigate the relationship between private saving and investment for South Africa using a Vector Error Correction Framework. Saving and investment are considered to be important factors for sustainable economic growth in the country, particularly as these variables have been recorded at significantly lower levels than those of other developing nations. By examining the direction of causality between saving and investment, the most suitable policy measures can be used in stimulating either savings or investment, and as a result aggregate growth. The study found a positive two-way causality to exist between these two variables, proving that both saving and investment-led policies are necessary in raising saving and investment levels. With the inclusion of credit extension as the third variable used to remove any variable bias, the study not only found credit extension to Granger cause private saving, but the reverse relationship was found to be present as well. This relationship was however found to be negative, confirming that lower borrowing constraints may have a negative effect on saving levels. The negative relationship between credit supply and private saving (substitution effect) proves that credit supply will only yield a positive result for savings if channelled through investment expenditure
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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