Go to AfricaBib home

Go to AfricaBib home AfricaBib Go to database home

bibliographic database
Line
Previous page New search

The free AfricaBib App for Android is available here

Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Global risk factors and South African equity indices
Authors:Polakow, Daniel Adam
Flint, Emlyn James
Year:2015
Periodical:South African Journal of Economics (ISSN 0038-2280)
Volume:83
Issue:4
Pages:598-616
Language:English
Geographic term:South Africa
Subjects:financial market
economic models
External link:https://doi.org/10.1111/saje.12065
Abstract:South African equity is frequently portrayed as a market requiring a high degree of local expertise - to appropriately understand its many idiosyncratic features - as well as intimate knowledge of its unique drivers - to prudently invest in the same. This claim is evidenced by the amount of research and effort devoted to understanding South African-specific economics, interest rates and risks. The aim of this research is to debunk this perception with a simple yet robust and highly replicable statistical model (best-subsets regression) for the majority of the traded South African equity indices. The authors show how the South African equity market is mostly a one-way mirror of a confluence of international factors, all arguable largely unrelated to South Africa. They discuss why these models are currently less useful than their longer-term predictive averages and note the current relevance of including implied volatility and interest rates as predictors. Bibliogr., notes, ref., sum. [Journal abstract]
Views

Cover