Browsing by Author "Sokolovski, Valeri"

Now showing 1 - 4 of 4
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    Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
    (2011) Sokolovski, Valeri; Hassan, Shakill
    This paper examines the predictive power and profitability of an analytically derived, technical trading algorithm in the intraday spot foreign exchange market, using over nine years of hourly data. This trading rule, the reservation price policy (RPP), stems from the computer science literature and, based on certain assumptions, is shown to be efficient under the worst-case scenario criterion. The results indicate the existence of significant information content in the trading rule, which is robust to the parameter choice and consistent across the eleven currencies examined. But, the nonparametric, bootstrap analysis shows that the rule does not capture any incremental information above what is accounted for by the seasonal GARCH(1,1)-MA(1) model.
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    Liberalisation of capital controls: A review of South African exchange controls and their impact on exchange rate stability
    (2017) Ndemera, Tendai; Biekpe, Nicholas; Sokolovski, Valeri
    The 2007/08 global financial crisis, including pre- and post-crisis reform, led economies to reexamine the concept of capital controls. Theoretical and empirical literature has been divided regarding their effectiveness. This research paper assesses the impact of capital controls on exchange rate stability in South Africa (particularly exchange restrictions used to insulate economies from excessive currency volatility) using time-series analysis and employs event study methodology (Kothari & Warner, 2006; MacKinlay, 1997) to measure the impact of the capital control actions. More specifically, this research paper evaluates the impact of capital controls on (a) exchange rate returns, (b) volatility and (c) liquidity in South Africa for the period commencing 1 January 1999 to 31 December 2014 including the period during the 2007/08 financial crisis. The research paper applies methodology from empirical research on capital controls and currency stability (Pandey, Pasricha, Patnaik, & Shah, 2015), volatility using standard deviation and the GARCH (1,1) model (Abdalla, 2012; Bollerslev, 1986; Farrell, 2001) and liquidity (Karnaukh, Ranaldo, & Söderlind, 2015). In addition, it attempts to determine the effect on exchange rate movements directly attributable to capital controls i.e., the local factors, by removing the dollar risk factor that constitute a significant portion of exchange rate time series as noted by Verdelhan (2015), which serves as the base model for the event study. The research paper finds that overall the key capital controls selected do not have a significant impact on the ZAR/USD exchange rate with limited evidence of an effect on returns, volatility and liquidity.
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    The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool
    (2018) Pretorius, Ramon; Biekpe, Nicholas; Sokolovski, Valeri
    Since the end of October 2010, the Bank of Japan has been pursuing a new Asset Purchase Programme, which includes, among other things, direct intervention in the domestic stock market through the purchase of exchange-traded funds. This research study evaluated the impact of the Bank of Japan’s exchange-traded fund purchase programme on market returns using an event study methodology. An investigation into a sample of 33 intervention events in the Nikkei 400 exchangetraded fund and 303 intervention events in the Nikkei 225 exchange-traded fund, found that the average abnormal one-day return is -1.36% for the Nikkei 400 exchange-traded fund and -1.39% for the Nikkei 225 exchange-traded fund, while the average abnormal five-day return is -0.63% and -1.11% for each exchange-traded fund respectively. Due to the high volatility, statistically the returns are indistinguishable from zero. However, this study presents evidence that the Bank of Japan intervenes predominantly during large decreases in the market. Hence, there is suggestive evidence that the Bank of Japan’s policy is effective at reducing market losses, but is not extensive enough to significantly increase returns.
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    The resilience of South African companies against strikes
    (2019) Marais, Albertus Wynand Christoffel; Rajaratnam, Kanshukan; Sokolovski, Valeri
    The South African Labour Market has experienced labour disputes from as early as 1913 (Davenpot, 2013). These labour disputes serve as a visual illustration of the inefficiencies that reside in the collective bargaining process between the working class and the top management of a company (Becker and Olson, 1986). This study aims to investigate these inefficiencies and determine the impact that they may have on the shareholder value of a company. By doing this, an improved understanding of the South African Financial Markets can be developed. This study consists of a sample set of 46 strikes between 2003 to 2017. This represents only a fraction of the total amount of strikes that South Africa has experienced in recent years as the majority of strikes revolve around community disputes (Department of Labour, 2018). The study concluded that investors react negatively when a strike is longer than 10-days – leading to a sell-off of the company’s share. This led the study to further investigate whether duration plays a key part in the negative abnormal returns generated by a strike. It was then determined that strikes that were longer than 20-days resulted in far greater negative returns, whilst strikes that were shorter seemed to be overlooked by investors. The paper also found that the market is unable to predict an incoming strike that may possibly damage the financial integrity of a firm. Lastly, the study concluded that the amount of Net Income, Dividends Paid, Free Cash Flow, Cash and Debt listed in the financial statements did not significantly influence the abnormal returns induced by strikes.