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G11

Portfolio Choice; Investment Decisions

Can creditor bail-in trigger contagion? The experience of an emerging market

Roy Havemann
The successful bail-in of creditors in African Bank, a small South African monoline lender, provides an opportunity to evaluate the intended and unintended consequences of new resolution tools. Using a data set that matches quarterly, daily and nancial-instrument level data, I show that the bail-in...
Jul 2018
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Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations

Vsevolod I Gorlach
This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed; that correlations are linear; and that risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that...
Aug 2017
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Regionalization versus Internationalization of African Stock Markets: A frequency-time domain analysis

Gideon Boako and Paul Alagidede
This paper examines regional and global co-movemnt of Africa’s stock markets using the three-dimensional continuous Morlet wavelet transform methodology. The analyses which are done in segments investigate co-movements with global markets; bilateral exchange rates expressed in US dollars and euro;...
Oct 2016
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How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

Jones Odei Mensah and Paul Alagidede
This paper examines the dependence structure between two developed and four emerging African stock markets in a copula framework. Using daily data from January 2000 to April 2014, our empirical results show that dependence structure between African and international stocks varies overtime, but...
Jul 2016
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Global commodities and African stocks: insights for hedging and diversification strategies

Gideon Boako and Paul Alagidede
Owing to frequent fluctuations in global markets, diversifying across emerging markets is increasingly becoming a necessity. Despite this, a cloud of uncertainty surrounds the relative capacities of emerging markets to provide the required shields for international investors, especially during...
Dec 2015
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The Influence of Higher Moments and Non-Normality on the Sharpe Ratio: A South African Perspective

Chris van Heerden
Although the general assumption is that daily and monthly returns data are normally distributed (Aparicio & Estrada, 2001), the correct statistical distribution of returns must first be established (Linden, 2001), as it constitutes one of the elementary building blocks that will ensure accurate...
Feb 2015
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A decision-theoretic model of asset-price underreaction and overreaction to dividend news

Alexander Ludwig and Alexander Zimper
We combine new developments in decision theory with a standard consumption-based asset-pricing framework. In our model the efficient market hypothesis is violated if and only if agents’ beliefs' express ambiguity about the stochastic process driving economic fundamentals. Asset price fluctuations...
Jun 2012
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The valuation of biodiversity conservation by the South African Khomani San "bushmen" community

Johane Dikgang and Edwin Muchapondwa
The restitution of land to the Khomani San "bushmen" and Mier "agricultural" communities in May 2002 marked a significant shift in conservation in the Kgalagadi area in South Africa. The Khomani San and Mier communities were awarded land inside and outside the Kgalagadi Transfrontier Park. Given...
Oct 2011
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Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets

Andrew Stuart Duncan and Alain Kabundi
This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two-year rolling window...
Oct 2011
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