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An analysis of the Samuelson hypothesis in South AfricaHaarburger, Terri January 2016 (has links)
A research report submitted in partial fulfilment of the requirements for the degree
M.Com. Masters (Finance)
in the
School of Economic and Business Sciences
at the
University of the Witwatersrand, Johannesburg / This study empirically investigates the existence of the Samuelson Hypothesis in South African markets. The Samuelson Hypothesis states that the volatility of futures contracts increase as the expiration of the contracts approaches. It is an important phenomenon to account for when setting margins, creating hedging strategies and valuing options on futures. The study utilizes daily closing prices of agricultural and non-agricultural futures contracts for a period varying from 2002 to 2015. In total, eleven contracts were examined over this period, yet only one (White Maize) consistently shows support for the Samuelson Hypothesis. The Negative Covariance and State Variable Hypothesis were tested, but could not provide an alternative explanation for the lack of relationship between the time to maturity and volatility of futures contracts. / MT2017
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Die regulering van termynkontrakte in Suid-AfrikaAckroyd, Riana 29 August 2012 (has links)
LL.M. / Die doel van hierdie verhandeling is om die reguleringsisteem in Suid-Afrika te beskryf soos wat dit betrekking het op termynkontrakte. Termynkontrakte vorm deel van 'n groep finansiele instrumente algemeen bekend as afgeleide instrumente. Die term 'afgeleide instrumente' is 'n generiese begrip wat gebruik word om verskeie finansiele instrumente te beskryf wie se waarde afgelei word van 'n onderliggende kommoditeit, wisselkoers of indeks. Termynkontrakte word op die Suid-Afrikaanse termynbeurs (SATEB) verhandel. Ter inleiding sal die sleutelaspekte rondom termynkontrakte en termynhandel kortliks bespreek word ten einde die leser 'n oorsig te bied. Die aspekte word egter in die loop van die verhandeling, onder die toepaslike hoofstukke, meer volledige verduidelik.
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The relationship between futures prices and expected future spot prices : some South African evidenceKeyser, Johannes de Kock 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: A unique data set consisting of economists' expectations on key economic indicators
was examined within the context of the controversial normal backwardation theory of
Keynes. The economists' expectations were regarded as the expected future spot
price and the relationship between them and the corresponding futures contracts was
analysed. The respective economic indicators were: i) the yield from aparastatal
Bond, ii) the yield from Government Bonds, iii) the rate of the 90 day Banker's
Acceptance (BA) Deposit Rate and iv) the Rand/Dollar (R/$) Exchange Rate for the
past seven years, i.e. 1995 to 2001. The accuracy of the economists' predictions
was tested both on a visual basis and the relationship between the expected values
and the futures prices was plotted in a graphical format. A nonparametric statistical
procedure was used to determine whether the economists' expectations were of any
value. To put it differently, the question being posed is: do these economists, as a
group, possess some superior forecasting skills?
Two different conclusions were reached from the analysis:
First conclusion: by accepting the normal backwardation theory, it implies that the
contango theory also holds. Therefore, when analysing the data set visually -
depending on which theory it supports - the futures price must trade consistently
below or above the expected future spot price. For this particular analysis the yield of
the bond, and not its price, was the important factor. In most cases the plotted
relationships between the expected values and the futures prices were found to
support the contango theory and, to a lesser extent, the normal backwardation
theory. Hence, speculators were, in order to make profits, predominately sellers of
futures contracts.
Second conclusion: the strongest conclusion, however, follows from the statistical
tests conducted on the expected values. It was found that economists do possess
some superior forecasting skills and if they had used their predictions and had taken
the corresponding market positions, they would have been consistent winners in the
futures market. Their reward would be mainly for their ability to forecast eventual
spot prices and, to a lesser extent, for their risk bearing. It was impossible to link the two conclusions to confirm the normal backwardation theory, for the particular South
African data set. The evidence is thus consistent with the hypothesis that the futures
price is an unbiased estimate of the expected future spot price. / AFRIKAANSE OPSOMMING: 'n Unieke datastel, bestaande uit ekonome se vooruitsigte van kern ekonomiese
aanwysers, is ondersoek binne die konteks van die omstrede normale
terugwaardasie-teorie (d.i. "normal backwardation theory") van Keynes. Die
ekonome se vooruitsigte is aanvaar as die verwagte toekomstige kontantprys en die
verhouding hiertussen en die ooreenstemmende termynpryse is ontleed. Die
onderskeie ekonomiese aanwysers was: i) die opbrengs op 'n Semi-Staatseffek,
ii) die opbrengs op Staatseffekte, iii) die koers van die negentig-dae-Bankaksepte
(BA) Depositokoers en iv) die Rand/Dollar (R/$) Wisselkoers oor die afgelope sewe
jaar, d.w.s. 1995 tot 2001. Die akkuraatheid van die ekonome se vooruitskattings is
op 'n visuele basis vergelyk, en die verhouding tussen die verwagte prys en die
termynpryse is in grafiese formaat gekarteer. 'n Nie-parametriese statistiese
prosedure is gebruik om vas te stel of hierdie ekonome se vooruitsigte van enige
waarde was. Anders gestel, die vraag is: beskik hierdie ekonome as 'n groep oor
sekere superieure vooruitskattingsvaardighede?
Die volgende twee afsonderlike gevolgtrekkings is geformuleer:
Eerste gevolgtrekking: deur die normale terugwaardasie-teorie te aanvaar, impliseer
dit dat die contango-teorie (d.i, "contango theory") ook geldig is. Dus, wanneer die
datastel visueel getoets word - afhangende van watter teorie dit ondersteun - moet
die termynprys konsekwent bo of onder die verwagte toekomstige kontantprys
verhandel. Vir hierdie bepaalde analise was die opbrengs van die staatseffek die
belangrike faktor en nié die prys daarvan nie. In die meeste gevalle het die
gekarteerde verhouding tussen die verwagte prys en die termynprys getoon dat dit
die contango-teorie ondersteun het en, in 'n mindere mate, die normale
terugwaardasie-teorie. Derhalwe was spekulante, ten einde wins te maak,
oorwegend die verkopers van termynkontrakte.
Tweede gevolgtrekking: die belangrikste gevolgtrekking volg egter uit die statistiese
toetse wat uitgevoer is op die verwagte pryse. Daar is bevind dat ekonome wel oor
superieure vooruitskattingsvaardighede beskik en dat, indien hulle hul
vooruitskattings gebruik en die ooreenstemmende markposisies ingeneem het, hulle konsekwent wenners in die termynmark sou gewees het. Hulle vergoedings sou
hoofsaaklik gewees het vir hulle vermoë om uiteindelike kontantpryse te voorspel en,
in 'n mindere mate, vir hulle risiko-blootstelling. Dit was onmoontlik om hierdie twee
vergelykings met mekaar te verbind om sodoende die normale terugwaardasie-teorie
te onderskryf vir die betrokke Suid-Afrikaanse datastel. Die bewyslewering is dus
konsekwent met die hipotese dat die termynprys 'n onsydige skatting van die
verwagte toekomstige kontantprys is.
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Price discovery, price behaviour, and efficiency of selected grain commodities traded on the agricultural products division of the JSE securities exchangeViljoen, Christo January 2004 (has links)
Agricultural commodity derivatives were first introduced in South Africa in 1996 after the deregulation of the former marketing system. In the context of its proposed functions, namely price discovery and risk management, the question arose as to whether the futures market developed over time to performed its role efficiently. According to the Efficient Markets Hypothesis (EMH) an efficient market is one that accurately incorporates all information available at any point in time. The purpose of the research was to address the issue of price discovery efficiency, firstly, focusing on the weak-form methodology. Secondly, considering the behaviour of futures prices over time, the study addressed the concern of anomalies in daily returns – phenomena contradictory to the EMH by implication. Thirdly, as a means of defining the sources of inefficiency, the role of scheduled public information and its impact on futures prices was examined. Therefore, the primary objective of the research was to investigate and identify the main components of agricultural futures market inefficiency within the unique price formation structure of South African grain markets. The assessment of this problem is important in terms of evaluating the growth and development of the futures market for different grain commodities to date. The Exchange needs to review rules and regulations on a frequent basis in order to ensure proper functioning at all times especially in the case of a relatively new and fast growing market. The study contributed to the knowledge of understanding the price adjustment process and its implications for market efficiency in the context of the three grain markets considered. The weak-form efficiency was tested using a co-integration based model. Analysing daily spot and futures prices of white maize, yellow maize, and wheat, results indicated that all three markets were efficient and unbiased. Non-parametric tests revealed the significant presence of day-of-the-week and turn-of-the-month effects in the futures returns of the three commodities. Further non-parametric analyses suggested a high degree of uncertainty in futures returns around scheduled agricultural and macroeconomic information release dates also contributing significantly to the identified anomalies. It was concluded that (1) the markets’ ability to anticipate the contents of future information to be released, (2) the current skewed size distribution of broking members, (3) the significant role of the R/$ exchange rate in the price formation process of South African grains and, therefore, (4) the relationship to and influence of the broader economy enhanced the return effects (anomalies) creating opportunity for profitable arbitrage. This conclusion was mainly attributed to South Africa’s status as a price-taker in the world grain complex as well as the relatively short existence of the local agricultural futures markets.
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