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G12

Asset Pricing; Trading volume; Bond Interest Rates

Publication

The bond market impact of the South African Reserve Bank bond purchase programme

Roy Havemann, Henk Janse van Vuuren, Daan Steenkamp and Rossouw van Jaarsveld
We use a unique dataset comprising over a million trades and quotes to assess the impact of the unexpected announcement of a bond purchase programme by the South African Reserve Bank on intraday market liquidity, yields and pricing volatility. Our dataset details the timing and order details of...
Mar 2022
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Publication

Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market

Anmar Pretorius and Alain Kabundi
This paper investigates empirically the integration of bond markets of emerging market economies into the global bond markets from 2003 to 2012. The paper employs factor analysis based on the Arbitrage Pricing Theory to extract global factors from a panel of 38 bond yields of advanced and emerging...
Jun 2014
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Publication

The Equity Price Channel in a New-Keynesian DSGE Model with Financial Frictions and Banking

Hylton Hollander and Guangling Liu
This paper studies the role of the equity price channel in business cycle fluctuations, and highlights its systemic risk across all sectors of the economy. We develop a canonical New-Keynesian dynamic stochastic general equilibrium model with a tractable role for the equity market in banking,...
Jul 2013
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Publication

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 agentsÂ’ beliefs' express ambiguity about the stochastic process driving economic fundamentals. Asset price fluctuations...
Jun 2012
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Publication

No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates

Peter Aling and Shakill Hassan
Short-term interest rate processes determine the term-structure of interest rates in an arbitrage-free market, and are central to the valuation of interest-rate derivatives. We obtain parameter estimates and compare the empirical fit of alternative one-factor continuous-time processes for the South...
Sep 2011
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Publication

Risk-return tradeoff and the behaviour of volatility on the South African stock market: Evidence from both aggregate and disaggregate data

Mandimika, N.Z. and Chinzara, Z.
The study analyses the nature and behaviour of volatility, the risk-return relationship and the long-term trend of volatility on the South African equity markets, using aggregate-level, industrial-level and sectoral-level daily data for the period 1995-2009. By employing dummy variables for the...
Nov 2010
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Publication

The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa

Shakill Hassan and Andrew van Biljon
This paper presents a detailed empirical examination of the South African equity premium; and a quantitative theoretic exercise to test the canonical inter-temporal consumption-based asset pricing model under power utility. Over the long run, the South African stock market produced average returns...
Nov 2009
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Publication

Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks

Ryans Bartens and Shakill Hassan
We implement a recursive out-of-sample method to examine anomalies-based ex-ante predictability in the cross-section of stock returns. We obtain a series of simulated out-of-sample returns, consistent with investors using only prior information when choosing predictor variables. We find that, by...
Oct 2009
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Publication

The Price of Risk on the JSE

Nick Samouilhan
This paper investigates domestic risk-return behaviour by focussing on the intertemporal relationship between the conditional domestic equity market premium, its conditional variance and its conditional covariance with the international equity market. The paper finds that the domestic equity market...
Jan 2006
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