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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/53155 |
| Date | 12 1900 |
| Creators | Keyser, Johannes de Kock |
| Contributors | Smit, E., 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 | 63 p. : ill. |
| Rights | Stellenbosch University |
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