- Title
- Econometric determinants of liquidity of the South African bond market
- Creator
- Mingiri, Kapingura Forget https://orcid.org/0000-0002-5808-5612
- Subject
- Economic indicators
- Subject
- Economic forecasting -- Africa
- Subject
- Bond market
- Date
- 2010
- Type
- Master's theses
- Type
- text
- Identifier
- http://hdl.handle.net/10353/26346
- Identifier
- vital:65243
- Description
- The importance of the bond market to the financial system and broader economy of a country cannot be underestimated. It is important to analyse factors which determine liquidity in this essential market. This study seeks to establish the determinants of liquidity in the South African bond market using monthly data covering the period 1995 to 2009. It begins by providing an updated overview of the South African bond market and an analysis of the relevant literature. Two models linking bond market liquidity to its theoretical determinants were specified. In contrast to the available literature, this study analyses liquidity at both macroeconomic and market microstructure level using two measures of liquidity, volume and the bid-ask spread, applying the VAR approach and two-stage least squares for robust check. All macroeconomic variables (except stock market) were identified to have an impact on bond market liquidity in the long-run. As far as market microstructure factors are concerned, both volume and volatility were established to be important determinants of liquidity in the South African bond market. The study recommended that, as for macroeconomic factors, authorities should keep inflation at low and stables levels as well as a stable currency. Also, offering bond investors certain facilities and the removal of restrictions on foreign investor activities are other important conditions to improve bond market liquidity. As far as market microstructure factors are concerned, we suggest that, ways to safe-guard against excessive volatility include the creation of a vibrant derivative market, development of a more active and well-functioning repurchase market./
- Description
- Thesis (MCom) -- Faculty of Management and Commerce, 2010
- Format
- computer
- Format
- online resource
- Format
- application/pdf
- Format
- 1 online resource (135 leaves)
- Format
- Publisher
- University of Fort Hare
- Publisher
- Faculty of Management and Commerce
- Language
- English
- Rights
- University of Fort Hare
- Rights
- All Rights Reserved
- Rights
- Open Access
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| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details | SOURCE1 | MASTERS THESIS 2010.pdf | 2 MB | Adobe Acrobat PDF | View Details |