published_or_final_version / Real Estate and Construction / Doctoral / Doctor of Philosophy

published_or_final_version / Real Estate and Construction / Master / Master of Science in Real Estate and Construction

published_or_final_version / abstract / toc / Real Estate and Construction / Doctoral / Doctor of Philosophy

published_or_final_version / Economics and Finance / Master / Master of Philosophy

M.Com. (Econometrics) / An attempt has been made in this study to model electricity sales of Eskom with the aid of an econometric model. The study examines the history of econometric modeling and the applications thereof. These applications include forecasting, policy simulation and policy analysis. The sales of electricity within the specific sales categories is estimated and simulated with the use of an econometric model. The model is specified according to the expected dependent and explanatory variables. The a priori theoretical considerations concerning the size and sign of the parameters of the function are also included in the specification, as well as the mathematical form of the model. The specification process of the econometric model is based on econometric theory and on available information relating to the phenomenon being studied. The method of ordinary least squares is used in the estimation of the parameters of the model. As this is an econometric study, the emphasis is on the evaluation of the results. Economic a priori criteria, statistical criteria and econometric criteria are used to evaluate the results of the parameters obtained by the method of ordinary least squares. Several tests, including the Goldfeld Quandt test for heteroscedasticity, the Durbin-Watson test for auto correlation and the Frisch analysis of multicollinearity are executed. The overall results of the tests to which the model was subjected, was satisfactory. The best functions are combined in a structured model. This model is simulated with the use of the Gauss-Seidel-method and forecasts of historical values are obtained. Statistical tests for the validation of these results, as well as Theil's inequality coefficient are applied to test the forecasting power of the model. The results of the ex post forecast for the period 1988.1 to 1995.1 emphasize the usefulness of the model as a forecasting device and the dynamic simulation demonstrates the ability of the model to reproduce the historical data from which it is estimated.

A dissertation submitted in partial fulfillment of the academic requirements for the degree of Masters in Development Theory and Policy, School of Economics and Business Sciences, University of the Witwatersrand, Johannesburg, March 2017 / This study explores labour market inequality amongst those with post-secondary education in South Africa. The need to invest in higher education has been emphasised as the gateway to facilitating equal opportunities in the labour market, with the view of bridging inequality in employment and incomes. Nevertheless, South Africa’s labour market remains highly unequal, despite higher rates of enrolment and completion in higher education. The existing body of literature suggests that labour market outcomes amongst those with post-secondary education are not equal, consequently widening the level of inequality within the economy. Using the Quarterly Labour Force Survey 2014 annual dataset a combination of descriptive statistics and econometric tools are employed to investigate employment and earnings outcomes between graduates and diplomates. The findings indicate that graduates are more successful in obtaining employment relative to diplomates even once demographic and geographic characteristics and field of study are controlled for. Moreover, graduates obtain a substantial earnings premium relative to diplomates even when controlling for job characteristics / XL2018

Thesis (M.Com. (Business Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2017 / The writer studies the short-run determinants of bond yield volatility in South Africa (SA) by analyzing the impact that global factors –representing global funding conditions – have on the changes to the rand denominated generic 10-year government bond yield (SAGB). This is followed by a one-period forward forecast of this volatility. The explanatory variables tested in this study are as follows: net bond purchases by foreign investors, Chicago Board Options Volatility Index (VIX), JP Morgan Emerging Market Bond Index (JP EMBI) spread, the US dollar to SA rand (USDZAR) exchange rate, the SA 5 year credit default swap (CDS) rate, the 12 month interest rate expectation/9x12 forward rate agreement (FRA), dollar spot price of gold and dollar spot price of oil. The study period ranges from January 2000 to December 2015. The GARCH modelling technique is used due to its ability to capture the volatility clustering effects observed in time series return data. The writer used the Gaussian distribution as the default model, however in order to control for the skewness and fat-tails in financial market return data, the Student-T and Generalised Error distributions are also tested to see if the non-normally distributed bond returns could be better captured by alternative parametric assumptions. The results show that all the explanatory variables, with the exception of the FRA, are statistically significant in explaining volatility in the local generic 10-year government bond. / GR2018

The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent. / by William Fount Johnson, III. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.

by Hok-hoi Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 58-59). / LIST OF TABLES --- p.ii / LIST OF FIGURES --- p.iii / CHAPTER / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- LITERATURE REVIEW --- p.3 / Chapter 3. --- METHODOLOGY --- p.6 / Formulation of the TVTP Model --- p.6 / Filtered and Smoothed Probabilities --- p.9 / Maximization of the Expected Log-likelihood --- p.13 / Chapter 4. --- EMPIRICAL RESULTS --- p.15 / The Simple 2-state Markov Switching Model --- p.15 / The TVTP Model --- p.17 / The 3-state Markov Switching Model --- p.26 / Chapter 5. --- OUT - OF- SAMPLE FORECASTING --- p.34 / Chapter 6. --- CONCLUSION --- p.40 / APPENDICES --- p.42 / BIBLIOGRAPHY --- p.58

by Chan Ka Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 64-65). / Abstracts in English and Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- THE LITERATURE REVIEW --- p.4 / Chapter III --- METHODOLOGY / Forecast Pooling Technique / Modified Technique / Chapter IV --- MODEL SPECIFICATIONS --- p.16 / The Monthly Models / The Quarterly Model / Data Description / Chapter V --- THE COMBINED FORECAST --- p.32 / Pooling Forecast Technique in Case of Hong Kong / The Forecasts Results / Chapter VI --- CONCLUSION --- p.38 / TABLES --- p.40 / APPENDIX --- p.53 / BIBLIOGRAPHY --- p.64