Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / Recent unexpected variability in the earnings of agribusinesses in South Africa has led
stakeholders to ask as to why projected financial performance tended to be so different from
the actual results achieved. This paper aims to make an empirical contribution to the
discussion on the effects of soft commodity price volatility on the returns of entities whose
major business involves derivatives trading in agricultural commodity products. Firstly,
mathematical models for commodity price volatility are determined for the major agricultural
commodities on the South African Futures Exchange (SAFEX) using the autoregressive
conditional heteroskedasticity (ARCH) and the generalised autoregressive conditional
heteroskedasticity (GARCH) type of approaches. Secondly, the study then seeks to
ascertain whether there are causality links between the commodity price volatility and the
returns or earnings realised by selected agribusinesses over time. The paper then discusses
some trading strategies that are applicable given that commodity price volatility can be
forecasted using the statistical models identified under the study.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/13071 |
| Date | 26 August 2013 |
| Creators | Motengwe, Chrisbanard Themba |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
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