This paper investigates the frequency dynamics of financial and macroeconomic connectedness by measuring tail-risk and uncertainty for two emerging African economies, namely Morocco and Tunisia, over the quarterly period Q2-2010 to Q4-2024. We employ...
The aim of this study is to assess the response of the South African stock market returns to oil price volatility, based on the daily South African stock market index, using the GARCH-Copula modelling technique. The results of the analysis show evide...
The aim of this study was to examine the impact of adopting information and communication technologies (ICT) on the development of African stock exchanges. The study examined a panel of 11 African stock exchanges for the period 2008–2017 and em...
The study investigates the effects of stock market volatility and cybercrime on cryptocurrency returns in the South African economy. Daily time series data on four different types of cryptocurrencies (Bitcoin, Ethereum, Tether, and BMB) were employed...
This paper examines the effects of the Standard and Poor’s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer ser...
The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statement...
28 August 2020
This study contributes to the scant finance literature on information flow from international economic policy uncertainty to emerging stock markets in Africa, using daily US economic policy uncertainty as a proxy and the daily stock market index for...
This study examines the interconnectedness of African stock markets during three major global crises: the 2008 Global Financial Crisis (GFC), the COVID-19 pandemic, and the Russia–Ukraine conflict. We use daily stock index data from 2007 to 202...
This study sought to ascertain a machine learning algorithm capable of predicting crises in the African stock market with the highest accuracy. Seven different machine-learning algorithms were employed on historical stock prices of the eight stock ma...
Emerging stock markets provide great opportunities for investment growth and risk diversification. However, they are more vulnerable to extreme market events. This study examines the effects of the COVID-19 pandemic on stock performance in sub-Sahara...
The stock market operates on informed decisions based on information gathered from heterogeneous sources, encompassing diverse beliefs, strategies, and knowledge. This study examines the validity of rational bubbles in stock market prices, focusing o...
This paper investigates the link between commodity price volatility and stock market indices in Nigeria, Ghana, and Côte d’Ivoire, focusing on commodities such as oil, cocoa, and gold over a daily period from 2 January 2020 to 31 December...
This study investigates the behavior of South African stock prices during divestment periods using mixture distributions. Divestment often triggers significant market reactions, necessitating a deeper understanding of stock return distributions in su...
The objective of this paper is to contribute to the analysis of the relationship between banks and stock markets in sub-Saharan African countries and their impacts on economic growth. While the literature on this issue is abundant, our article focuse...
This paper focuses on the economic dimension of sustainability by examining the stock exchange interface of financial markets, the influence of capital market stakeholders, and the instruments that contribute to a supportive fiscal framework. Only ma...
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. Understandi...
The nexus between Information Communication Technology (ICT) and stock market development has been predominantly based on studies of the developed markets and high-income economies of the world. The objective of this study was to examine the causal r...
In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence betw...
This study used panel data covering 27 years to investigate the causality between regional stock exchange development and economic growth in the West African Economic and Monetary Union (WAEMU) countries. We performed a homogeneous Granger non-causal...
High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emer...
In this paper, we study spillover effects on the stock markets of six African and nine Middle Eastern emerging economies before, during, and after the implementation of unconventional monetary policies by the United States Federal Reserve (US Fed). W...
In this paper, the use of artificial neural networks (ANNs) is proposed to approximate the option price sensitivities of Johannesburg Stock Exchange (JSE) Top 40 European call options in a classical and a modern multi-curve framework. The ANNs were t...
The objective of this work is to estimate the capital stock invested in the Spanish freezer trawler fleet dedicated to the capture of crustaceans on the African coast, for the period from 1964 to 2019. The importance of having methods for the correct...
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this...
This study examines how ENSO episodes affect maize price volatility transmission between the United States and South Africa. Using daily price data, from 1997 to 2024, for U.S. corn and South African white and yellow maize futures, the study employs...
The asset structure of a firm plays a pivotal role in determining its leverage. A higher proportion of physical assets is often associated with high debt ratios. This study explores the impact of investment tangibility on financial leverage, examinin...
In numerous domains of finance and economics, modelling and predicting stock market volatility is essential. Predicting stock market volatility is widely used in the management of portfolios, analysis of risk, and determination of option prices. This...
The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be n...
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index o...
Climate change manifests itself in rising temperatures across the continent and affects the El Niño–Southern Oscillation (ENSO) by changing sea surface temperatures and atmospheric circulation. This affects precipitation and temperature...
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all...
A farmland based African Catfish recirculation aquaculture system with a production volume (PV) of 300 m3 was modelled under realistic market conditions in order to analyse the impact of price fluctuations on profitability. As a monoculture recircula...
This research examines the time–frequency co-movement patterns among the Johannesburg Stock Exchange (JSE) size-based indices, utilizing daily data covering the period from November 2016 to December 2024. To conduct the analysis, three sophisti...
Many parts of the world, and South Africa specifically, are facing a water crisis, not only because of the scarcity of water, but also the quality of the available water. Apart from agriculture, industry is viewed as the second largest user of water...
Volatility modelling is a key feature of financial risk management, portfolio optimisation, and forecasting, particularly for market indices such as the JSE Top40 Index, which serves as a benchmark for the South African stock market. This study inves...
This study seeks to examine the factors that influence the adoption of ISAs, intending to stimulate establishing a responsible and efficient auditing regime in Libyan auditing practice, shedding light on challenges in auditing practices in the North...
As one of the most infectious livestock diseases in the world, foot and mouth disease (FMD) presents a constant global threat to animal trade and national economies. FMD remains a severe constraint on development and poverty reduction throughout the...