Thesis (MBA)--Stellenbosch University, 2004 / ENGLISH ABSTRACT: This paper investigates the vulnerability of four key emerging markets to crises
originating in Asia in 1997; Russia in 1998; Brazil in 1999 and Argentina in 2001. The
emerging markets examined, Argentina, Malaysia, Poland and South Africa have
been chosen to represent different geographic continents. Stock market data is used
to measure for changes in unconditional correlation coefficients during and after the
crisis periods. This is to establish whether the volatility shocks generated by the
crises are what would reasonably be expected. Results suggest that there is
evidence of contagion during the Asian crisis but there is little support of significant
cross-market correlations transmitted during the Russian, Brazilian or Argentinean
crises.
Granger Causality tests are calculated to identify the existence of a relationship
between stock market returns of countries in crisis and each of the four emerging
markets. There is no evidence of causality emanating from the Thai stock market
during the Asian crisis or from the Argentinean index during the Argentinean.crisis.
Findings show that there is Granger causality from the Russian index during the
Russian crisis to the Argentinean stock market but there was no impact on the
markets in Malaysia, Poland or South Africa. Interestingly, there is no evidence that
the Polish stock market returns were affected by the Russian crisis, the Argentinean
returns by the Brazilian crisis or the Malaysian market by the Asian crisis.
The paper further examines whether there is a relationship between stock market
returns and country credit ratings and if credit risk can explain stock market returns.
Significantly for active investment management, past values of country credit ratings
can help predict stock market returns in Argentina, Malaysia and South Africa.
Therefore, country credit risk contains information about expected stock market
returns and potential investors would benefit by devising an asset allocation strategy
that incorporates the explanatory powers of credit risk. / AFRIKAANSE OPSOMMING: Hierdie verslag ondersoek die kwesbaarheid van vier sleutelontwikkelende markte
ten opsigte van krisisse wat onstaan het in Asië in 1997; Rusland in 1998; Brasilië in
1999 en in Argentinië in 2001. Die Argentynse, Maleisiese, Poolse en Suid
Afrikaanse markte is gekies om verskillende geografiese kontinente te
verteenwoordig. Effektebeurs data is gebruik om die verandering in onkondisionele
korrelasie koeffisiente gedurende en na die krisis tydperk te meet. Dit is gedoen om
vas te stel of die wisselvalligheid-skokke wat veroorsaak is deur die krisis
ooreenstem met wat wesenlik verwag sal word. Resultate dui daarop dat daar
getuienis is van besmetting ("contagion") gedurende die Asiatiese krisis, maar dat
daar min ondersteuning gebied word vir die oordraging van beduidende kruis-mark
korrelasie gedurende die Russiese, Brasiliaanse of Argentynse krisisse.
Granger "causality" toetse is uitgevoer om die bestaan van 'n verwantskap tussen die
effektemark opbrengste van die lande in krisis en elkeen van die vier opkomende
markte te identifiseer. Daar is geen bewyse van enige veroorsakende verband
voortgebring vanuit die Thai effektebeurs gedurende die Asiatiese krisis, of van die
Argentynse indeks gedurende die Argentynse krisis nie. Die bevindinge toon dat
daar Granger veroorsaking is vanaf die Russiese indeks na die Argentynse
effektebeurs gedurende die Russiese krisis, maar dat daar geen impak was op die
markte in Maleisië, Pole of Suid Afrika nie. Dit is interessant dat daar geen bewyse
is dat die Poolse effektebeurs opbrengste beïnvloed is deur die Russiese krisis, die
Argentynse opbrengste deur die Braziliaanse krisis, of die Maleisiese mark deur die
Asiatiese krisis nie.
Die verslag ondersoek verder of daar 'n verwantskap bestaan tussen effektebeurs
opbrengste en die land se kredietgraderings asook of krediet-risiko effektebeurs
opbrengste kan verduidelik. Betekenisvol vir aktiewe beleggingsbestuur is dat die
historiese kredietgraderings kan help met die vooruitskatting van effektebeurs
opbrengste in Argentinië, Maleisië en Suid Afrika. Dus bevat land kredietgraderings
informasie rakende verwagte effektebeurs opbrengste. Potensiële beleggers sal dus
baat vind in die ontwikkeling van 'n bate-allokasie strategie wat die verduidelikende
kragte van krediet risiko inkorporeer.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/49897 |
| Date | 12 1900 |
| Creators | Taylor, John (John Francis) |
| Contributors | Biekpe, N., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 151 p. : ill. |
| Rights | Stellenbosch University |
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