[Introduction] Much of the information available on the prices of vegetables marketed through the fresh produce markets is of limited use to producers. This information contains the actual prices for individual years. This can obviously be taken as a guide to future prices but it does not necessarily mean that those prices are a true reflection of the general pattern. In this study an attempt will be made, firstly, to establish whether a general pattern exists in the prices of selected vegetables on the East London municipal market. This will be attempted by studying the prices obtained over the 1964-1979 period. Information of this nature can be used as a basis for the planning of future crops. Secondly, to determine the months which obtain the "best" prices for the selected vegetables taking into account the quantities supplied to the market.

This study analyses the housing price volatility in metropolitan areas in South Africa, particularly Port Elizabeth and East London residential housing markets. This study uses secondary statistical data, obtained from secondary sources. The study uses quarterly time series data for the period 1981:1 to 2015:3 giving 139 observations. The data will be collected from different sources. The main sources of data are real estate agencies (Trafalgar, Harcourts and Property24), the South African Department of Trade and Industry (dti) and supplemented by the South African Reserve Bank (SARB) and Statistics South Africa (Stats SA). The study shall use the ordinary least squares (OLS) method to estimate its results. Ordinarily, this is a generalised linear modelling technique that may be used to model a single response variable which has been recorded on at least an interval scale. This method requires that the underlying stochastic processes of the variables are stationary. That is, explanatory variables should exhibit constant means and variances over time. If the stochastic processes are not stationary, OLS produces unreliably significant coefficients. Results showed that household savings, household income and total growth in household buildings (TGH) are statistically significant in explaining changes in house prices. Jointly, all the explanatory variables can account for almost 52% of the changes in the dependent variable. The Durbin Watson statistic showed that there is no autocorrelation in the model. This shows that the model is good. Results from the regression show that there is a negative relationship between house prices and household savings. A one-unit increase in household savings leads to a 0.407 decrease in house prices. This relationship makes economic sense because when households save, there is less income available to buy houses. When there is less income available to buy houses, it would mean there is less demand for houses.

This study sought to empirically investigate trends and volatility in residential property prices in South Africa using quarterly data over the period 1980Q1 to 2011Q4. The empirical analysis uses a range of unit root and stationarity tests as well as a number of ARCH-family of models. The results from the trend analysis suggest that the behaviour of house prices in South Africa follows a random walk process. The randomness in the behaviour of house prices could be attributed to permanent effect of shock. Investigation into the dynamic behaviour of the house prices supports the existence of conditional volatility that is time-varying and highly persistent. Moreover, volatility is found to be asymmetric in news suggesting evidence of anti-leverage effects. These findings have important portfolio implications especially, considering the fact that large-scale losses are possible if house prices exhibit the type of persistent in behaviour as captured in this study. Also, the existence of asymmetric effects in volatility suggests that more caution needs to be placed on news arrival as they may have significant impacts on the house price behaviour. Accordingly, this study suggests the need for residential property market to be treated like other asset markets with regards to risk.

Thesis (MDF)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: This study was an attempt to analyse the relationship between Brent crude oil prices, the South African rand US$ exchange rate and fuel prices in South Africa. Covering the period between 2003 and 2013, the ultimate objective was to test if there is asymmetric prices adjustment between Brent crude oil prices and the rand US$ exchange rate, on the one hand, and retail fuel prices on the other hand. As a time-series analysis, the study used the Augmented Dickey Fuller and Phillips-Perron tests for stationarity, as well as some cointegration tests. The results show that the effect of the current crude oil price and the exchange rate between the ZAR and the US$ on current fuel prices is insignificant. Instead, the current fuel prices are affected mainly by the previous month’s fuel price, the crude oil price and the exchange rate. Furthermore, the results of the threshold autoregressive model (TAR) do not prove the presence of asymmetry in the fuel price adjustment on a month-to-month basis in South Africa. The conclusion here is that the basic fuel price model is aligned to its import parity objective of symmetric adjustment in fuel prices. However, there exist some structural inefficiencies in South Africa`s fuel market, therefore policymakers should address those short-term inefficiencies in the price transmission from crude oil to fuel prices.

M.Com. (Business Economics) / Proper pricing should be done in three phases. Firstly, the determination of the market-price, namely that price which the consumers are prepared to pay for the amount of need-satisfaction they perceived from using the product. Secondly, the determination of the target-price, namely that price wrich will give a satisfactory rate of return on investment for the firm. Thirdly, the determination of the final price, by comparing the market-price with the target-price. The determination of the market-price is becoming more and more relevant and up to the present time no comprehensive research has been done on this subject in South Africa. In this dissertation an investigation was undertaken into the present technology concerning market-pricing and from this knowledge a method was developed which will be applicable to the determination of market prices in South Africa.

While conventional economic theory posits that price is determined by the interplay between the forces of supply and demand, review of literature reveals that the findings of industrial surveys and empirical studies of the pricing behaviour of firms have cast doubts on the validity of this hypothesis. A close scrutiny of the literature shows that there are two main hypotheses of pricing, namely, the excess demand hypothesis and the mark-up hypothesis. The former is associated with the conventional view that price is determined by the interaction of demand and supply, while the latter hypothesis is often associated with business practice in the real world. A majority of empirical studies lends support to the mark-up hypothesis. However, there is also a sizable number of studies that lend support to the excess demand hypothesis. This study uses data for the South African manufacturing sector to test the validity and the explanatory power of these hypotheses. The difference between this study and most of the previous studies is the fact that in the present study an attempt is made to use disaggregated data in the actual testing of the hypotheses. While the results of this study demonstrate overwhelming support for the mark-up hypothesis, they also demonstrate that the role played by demand can not be dismissed. / Thesis (M.Comm.)-University of Natal, Pietermaritzburg, 1996.

A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of requirements for the degree of Master of Science. January 2015. / Stylized facts play a significant role in the testing whether models agree with known statistical anomalies and phenomena that occur in financial markets or not. Thus, we can use these stylized facts as a modelling tool or just to understand the general behavior of financial markets better. In the paper by Bouchaud et al in 2004 [1] we see the promotion of a new stylized fact that correlations in trade signs fail to die out, even after large lags. In fact, Bouchaud et al expressed the correlations as a slow power-law decay over trade ticks. In the results of our empirical study of JSE and BM&FBOVESP we find that the selected stocks show the this same power-law decay of correlations of trade signs. We also find that the stocks behave in a way which may allow for price manipulation at high enough trading rates as discussed by Gatheral [2].

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the degree of Master of Finance and investment. Johannesburg, 2015 / A pairs trading strategy is a market neutral trading strategy that tries to make a profit by making use of inefficiencies in financial markets. In the equity pairs trading context, a market neutral strategy, is a strategy that hedges against both market and sector risk. According to the efficient market theory in its weak form, a pairs trading strategy should not produce positive returns since the actual stock price is reflected in its past trading data. The main objective of this paper is to examine the performance and risk of an equity pairs trading strategy in an emerging market context using daily, weekly and monthly prices on the Johannesburg Securities Exchange over the period 1994 to 2014. A bootstrap method is used determine whether returns from the strategy can be attributed to skill rather than luck. / MT2016

Thesis (M.M.(Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / Co-location on the JSE took place on the 14th of May 2014. This dissertation looks at the impact this event has had on the market. In order to measure the effects of colocation, market quality factors are examined before and after the event to see whether there were any significant changes. A regression is then undertaken to see the correlation between co-location, liquidity and volatility. Our results suggest that colocation benefits market liquidity but we are unable to assess the relationship with volatility. This means that the growing liquidity in the market can be used to attract more institutions and firms wishing to run trading algorithms and strategies. Trades originally meant for dark pools can be now traded on the JSE co-location servers. By moving trades from dark pools to co-location servers at the JSE and encouraging institutions to use these facilities, transparency can be increased. Exchanges should implement kill switches if it is apparent that they are being impaired or flooded with erroneous orders. The deployment of kill switches, circuit breakers and other system compliance will improve investor confidence and market stability. Subsequent research can lead to better understanding by investigating the correlation between colocation and volatility. / MT 2018

M.Com. (Business Management) / Please refer to full text to view abstract