Implementing the Bond Convergence Trade in South Africa

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dc.contributor.advisorHassan, Shakillen_ZA
dc.contributor.authorMatshoba, Nomathibana Zen_ZA
dc.date.accessioned2014-07-31T12:24:37Z
dc.date.available2014-07-31T12:24:37Z
dc.date.issued2010en_ZA
dc.description.abstractConvergence 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.identifier.apacitationMatshoba, 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/11427/5740en_ZA
dc.identifier.chicagocitationMatshoba, 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/11427/5740en_ZA
dc.identifier.citationMatshoba, N. 2010. Implementing the Bond Convergence Trade in South Africa. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/5740
dc.identifier.vancouvercitationMatshoba 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/11427/5740en_ZA
dc.language.isoeng
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherManagement Studies and Business Scienceen_ZA
dc.titleImplementing the Bond Convergence Trade in South Africaen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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