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G14

Information and Market Efficiency; Event Studies

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

The impact of Monetary Policy Announcements and Political Events on the Exchange Rate: The Case of South Africa

Trust R. Mpofu and Amos C. Peters
Since 2000 the South African rand has been among the most volatile emerging market currencies, occasionally experiencing sharp depreciations. These sharp fluctuations in the value of the currency cannot be adequately explained by models of flow-supply and flow-demand of currency or by movements in...
Aug 2017
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Publication

Do monetary policy announcements affect foreign exchange returns and volatility? Some evidence from high-frequency intra-day South African data.

Cyril May, Greg Farrell and Jannie Rossouw
This paper examines the temporal effect of domestic monetary policy surprises on both the levels and volatility of the South African rand/United States dollar exchange rate. The analysis in this ‘event study’ proceeds using intra-day minute-by-minute exchange rate data, repo rate data from the...
Mar 2017
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Publication

Qualitative Guidance and Predictability of Monetary Policy in South Africa

Alain Kabundi and NtuthukoTsokodibane
With the adoption of the in‡ation targeting (IT) regime in 2000, the South African Reserve Bank (SARB) became independent. With the independence of monetary policy comes accountability to the public at large, which in turn leads to transparency in the conduct of monetary policy. The SARB has come a...
Aug 2016
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Publication

Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize

Susari Geldenhuys, Frans Dreyer and Chris van Heerden
South African white maize is considered to be significantly more volatile than any other agricultural product traded on the South African Futures Exchange (SAFEX). This accentuates the need to effectively manage price risk, by means of hedging, to ensure a more profitable and sustainable maize...
Feb 2014
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Publication

Bank Deposit Contracts Versus Financial Market Participation in Emerging Economies

Alexander Zimper
The financial sector of emerging economies in Africa is characterized by a non-competitive banking sector which dominates any direct participation of agents in asset markets. Based on a variant of Diamond and Dybvig's (1983) model of financial inter-mediation, we formally explain both stylized...
Jun 2013
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Publication

Macroeconomic uncertainty and emerging market stock market volatility: The case for South Africa

Z. Chinzara
This paper analyses how systematic risk emanating from the macro-economy is transmitted into stock market volatility using augmented autoregressive GARCH (AR-GARCH) and Vector autoregression models. Also examined is whether the relationship between the two is bidirectional. By imposing dummies for...
Sep 2010
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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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