Implementing the Bond Convergence Trade in South Africa

 

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dc.contributor.advisor Hassan, Shakill en_ZA
dc.contributor.author Matshoba, Nomathibana Z en_ZA
dc.date.accessioned 2014-07-31T12:24:37Z
dc.date.available 2014-07-31T12:24:37Z
dc.date.issued 2010 en_ZA
dc.identifier.citation Matshoba, N. 2010. Implementing the Bond Convergence Trade in South Africa. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/5740
dc.description.abstract Convergence trade, by definition, is buying an asset now to be delivered at some date in the future and selling a similar asset, to be delivered at the same future date, at a higher price. In this paper, implementation of bond convergence trade is explored in the South African market. This is in spite of the features of the South African bond market. The South African bond market is significantly different from markets where bond convergence trade has previously been tested. Duration was subsequently introduced in identifying similarities between bonds, and this is the major difference introduced compared to prior work in the literature. The results showed that the trades give, on average, negative returns. However, further investigation into the impact of interest rates not only on the trade, but over the period of investigation and future expected interest rates, is required, before the results can be appropriately interpreted. en_ZA
dc.language.iso eng
dc.subject.other Management Studies and Business Science en_ZA
dc.title Implementing the Bond Convergence Trade in South Africa en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Economics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Matshoba, N. Z. (2010). <i>Implementing the Bond Convergence Trade in South Africa</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/5740 en_ZA
dc.identifier.chicagocitation Matshoba, Nomathibana Z. <i>"Implementing the Bond Convergence Trade in South Africa."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2010. http://hdl.handle.net/11427/5740 en_ZA
dc.identifier.vancouvercitation Matshoba NZ. Implementing the Bond Convergence Trade in South Africa. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5740 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Matshoba, Nomathibana Z AB - Convergence trade, by definition, is buying an asset now to be delivered at some date in the future and selling a similar asset, to be delivered at the same future date, at a higher price. In this paper, implementation of bond convergence trade is explored in the South African market. This is in spite of the features of the South African bond market. The South African bond market is significantly different from markets where bond convergence trade has previously been tested. Duration was subsequently introduced in identifying similarities between bonds, and this is the major difference introduced compared to prior work in the literature. The results showed that the trades give, on average, negative returns. However, further investigation into the impact of interest rates not only on the trade, but over the period of investigation and future expected interest rates, is required, before the results can be appropriately interpreted. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Implementing the Bond Convergence Trade in South Africa TI - Implementing the Bond Convergence Trade in South Africa UR - http://hdl.handle.net/11427/5740 ER - en_ZA


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