Browsing by Author "Barr, Graham"
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- ItemOpen AccessAn evaluation of the gold share market on the JSE(1983) Bradfield, David John; Barr, GrahamGold has traditionally been a highly· prized metal, .stored for value and used in the manufacture of ornaments and jewellery; its use dates as far back as the Ancient Egyptians. Since August 1971, however when the dollar/gold convertibility was officially terminated, the price of gold bullion has become very volatile, but has also increased so rapidly that the attractive profits that were attainable in the gold bullion and gold share markets attracted many speculators. The volatile gold price over this period, however, has also been the cause of many lost fortunes. The following quotation extracted from the Supplement to the Financial Mail (May 30, 1980) emphasizes this point with--some cynicism.
- ItemOpen AccessComparison of sovereign risk and its determinants(2019) Smith, Anri; Barr, GrahamThis paper aims to measure, compare and model Sovereign Risk. The risk position of South Africa compared to Emerging Markets as well as in comparison to Developed Markets is considered. Particular interest is taken in how the South African Sovereign Risk environment, and its associated determinants, differs and conforms to that of other Emerging Markets. This effectively highlights how the South African economy is similar to the Emerging Markets and where it behaves differently. Regression, optimisation techniques, dimension reduction techniques as well as Machine Learning techniques, through the use of sentiment analysis, is utilised in this research.
- ItemOpen AccessThe impact of volatility on the pricing efficiency of the South African futures exchange market(2001) Williams, Julian Christopher; Everingham, Geoff; Barr, GrahamBibliography: leaves 181-184.
- ItemOpen AccessPortfolio construction in South Africa with regard to the exchange rate(2006) Holdsworth, Christopher G; Barr, GrahamIn South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the model that finds the most exchange rate exposure. With this model, and a few variations, the persistence of exchange rate exposure is examined, where it is found that a few shares consistently act as the best hedges against R/$ depreciation and similarly a few shares are consistently the best at exploiting Rand strength. With this in mind two hedging techniques are compared in their ability to protect against a R/$ depreciation, and simultaneously provide market related returns, against the ITRIX exchange traded fund. It was found that the methods were successful in that they were able to hedge against R/$ depreciation while still participating in the recent rapid growth on the J.S.E.
- ItemOpen AccessPurchasing power parity and Reserve Bank intervention in the foreign exchange market(2004) Unkovski, Goran; Barr, GrahamThis paper tests the behaviour of the PPP relationship in South Africa between 1993 and 2003 using cointegration techniques. The period under review is divided into two sub-phases. The first, from January 1993 to May 1998, encompasses the changing political situation and the initial effects of global integration for South Africa. It is found that the PPP relationship holds during this time frame.
- ItemOpen AccessThe South African Breweries Limited : a case study in monopoly conditions, conglomerate diversification, and corporate control in the South African Malt Beer Industry(1997) Sharp, Loane; Kantor, Brian; Barr, GrahamThe South African Breweries Limited (SAB) is an extremely profitable business. In 1996, for example, group profits before taxes exceeded R3 billion, some 10 percent of total assets. For a capital intensive manufacturing enterprise, this represents a truly extraordinary result. The company is also South Africa's premier industrial enterprise. Between 1990 and 1996, for instance, SAB's return on equity consistently averaged around 5 percent per annum above the representative return on equity, calculated for the market as a whole. And as the country's largest single manufacturing business, SAB produces more than two percent of South Africa's gross national product of roughly one percent of the country's fixed capital stock. For these reasons, SAB is in its own right an economic unit of some interest and significance. But for the purposes of this dissertation, three additional features of the SAB group are significant. Firstly, SAB may be regarded, for many practical purposes, as the single supplier of malt beer in South Africa, a position which on several occasions has been termed a "monopoly". Secondly, SAB has until fairly recently formed part of a greater system of diversified arrangements - namely the Anglo American group. The company has also diversified into a variety of operations in its own right. SAB is therefore located at the heart of South Africa's so-called "group" structure: the group is itself a diversified conglomerate; and has for a considerable period of its history formed part of a broader conglomerate. Thirdly, SAB is part of a set of "pyramid" arrangements, an elaborate hierarchical system of corporate ownership and control. Each of these features of the SAB group - monopoly, conglomerate, pyramid - will be examined in detail in this dissertation. For the moment, it will be sufficient to note only that SAB is an interesting subject of analysis, for four distinct reasons. Firstly, the company is extremely profitable. Secondly, the company is also the sole supplier of malt beer in South Africa. Thirdly, the company forms an integral part of the South African system of conglomerates. Finally, the group is also a pyramid. At this point, it should be an obvious question whether an explanation for the superior profitability of the SAB group may be found in any one, or some combination, of these factors. In particular, the following chapters aim to establish whether SAB's position as single supplier in the malt beer industry; SAB's strategy of conglomerate diversification; and the group's pyramid corporate structure, are related in an economically important way to the profitability of this, South Africa's premier industrial enterprise. In this dissertation, the above question is addressed systematically: Chapter 1 examines the influence on SAB's profitability of the company's "monopoly" or single supplier position in the domestic malt beer industry. Chapter 2 investigates SAB's conglomerate structure to establish whether the firm's superior profitability may be explained by the system of diversified groups. Chapter 3 examines the impact on SAB's profitability of the "pyramid" corporate control system. The final chapter presents the investigation's conclusions.
- ItemOpen AccessSouth African house-price dynamics(2007) Hutchings, Bradley; Barr, GrahamMotivated by concerns that a speculative price bubble may have formed in the South African house market, this paper examines South African house-price dynamics over a three-decade period spanning 1976 to 2005. Estimation of error-correction models reveals that real changes in the prices of medium- and large-sized South African homes are associated with short-run changes in economic growth, real mortgage rates and sovereign risk. Empirical analysis suggests that the real prices of small-sized homes are not associated with real mortgage rates in the short run. Estimation of the house-price models also revealed that property prices exhibit mean reversion in the long run, although adjustment to long-run equilibrium (governed by economic growth, real mortgage rates and sovereign risk) is slow.
- ItemOpen AccessTeaching fundamental concepts in statistical science(2011) Barr, Graham; Scott, LeanneThese modules are essentially crafted as teaching tools and the experience of first year students would be of the lecturer leading the students through the simulations at an appropriate pace, allowing plenty of opportunity for discussion and clarification. Lab based tutorials also support this process. A suite of VBA simulation programmes used at first year level containing a number of tools for teaching introductory statistics at university level. Note that these are written for MS Excel 2007 (or later versions). The modules roughly follow chapters in the first year statistics textbook, Introstat (LG Underhill) and essentially support and supplement that book. They are to a significant extent self explanatory for those with some knowledge of statistics and simulation.
- ItemOpen AccessTests on the efficiency of the South African foreign exchange market(1990) Correia, Carlos de Jesus; Barr, GrahamThis thesis consists of an analytical and empirical investigation into the efficiency of the South African foreign exchange market.