G11 | Economic Research Southern Africa

JEL code: G11

Portfolio Choice; Investment Decisions

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

The successful bail-in of creditors in African Bank, a small South ...

Roy Havemann

Working Paper

Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear...

This paper highlights the shortfalls of Modern Portfolio Theory (MP...

Vsevolod I. Gorlach

Working Paper

Diversification measures and the optimal number of Stocks in a portfolio: An informatio...

This paper provides a plausible explanation for why the optimum num...

Adeola Oyenubi

Working Paper

Regionalization versus Internationalization of African Stock Markets: A frequency-time ...

This paper examines regional and global co-movemnt of Africa’s stoc...

Gideon Boako, Paul Alagidede

Policy Brief

How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

This paper examines the dependence structure between two developed ...

Jones O. Mensah, Paul Alagidede

Working Paper

Global commodities and African stocks: insights for hedging and diversification strategies

Owing to frequent fluctuations in global markets, diversifying acro...

Paul Alagidede, Gideon Boako

Policy Brief

The Influence of Higher Moments and Non-Normality on the Sharpe Ratio: A South African ...

Although the general assumption is that daily and monthly returns d...

Chris van Heerden

Working Paper

A decision-theoretic model of asset-price underreaction and overreaction to dividend news

We combine new developments in decision theory with a standard cons...

Alexander Zimper, Alexander Ludwig

Working Paper

The valuation of biodiversity conservation by the South African Khomani San "bushmen" c...

The restitution of land to the Khomani San “bushmen” an...

Edwin Muchapondwa, Johane Dikgang

Working Paper

Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets

This paper studies volatility comovement in world equity markets be...

Andrew S. Duncan, Alain Kabundi

Working Paper

Determinants of Stock Market Prices in Namibia

This paper investigates the macroeconomic determinants of stock mar...

Joel H. Eita

Working Paper

Risk-return tradeoff and the behaviour of volatility on the South African stock market:...

The study analyses the nature and behaviour of volatility, the risk...

‪Neville Z. Mandimika, Zivanemoyo Chinzara

Working Paper

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

We implement a recursive out-of-sample method to examine anomalies-...

Shakill Hassan, Ryans Bartens

Working Paper

Application of a multi-criteria integrated portfolio model for quantifying South Africa...

The availability of secure energy resources at sustainable quantiti...

Hammed Amusa, Krish Chetty, Njeri Wabiri

Working Paper

Modelling Systemic Risk in the South African Banking Sector Using CoVar

In this paper we model systemic risk by making use of the condition...

Mathias Manguzvane

Policy Brief