African Journals Online
Studies in Economics and Econometrics

Volume 25, Issue 2, 2001
Abstracts

Price discovery in South African financial markets : investigating the relationship between South Africa's stock index futures market and the underlying market
Fedderke, J.Joao, M. 1-23

Abstract: This paper investigates price discovery in the association between the South African stock index futures market and the underlying market. Employing an unstructured VAR on intraday data at the 2, 6, and 10 minute frequency for 1998, and end-of-day data for 1996-98, we find that futures markets lead spot markets. While precluding Fama informational efficiency, this does not preclude zero-arbitrage efficiency.


Revisiting the concentration-profits relationship in South Africa : moving the debate beyond deadlock
Fourie, F.C.V.N.Smith, A. 25-60

Abstract: Having played out for nearly five decades, the concentration-profits controversy is perhaps one of the longest running debates in the field of Industrial Organisation. Sadly, the well worn path of cross section study has forced the debate into an impasse, unable to render clear or precise conclusions. However, we believe that cross section study can still yield important insights provided its purpose is not to validate the deterministic either/or stance endemic in the SCP paradigm/Chicago debate. By re-orientating the debate away from a search for sterile "laws" that supposedly govern whether concentration is a proxy indicator for monopoly abuse or the by-product of greater efficiency, the South African debate can escape the gridlock. In the first part, this study replicates the seminal works of Collins and Preston (1969), Comanor and Wilson (1967) and Weiss (1974). These studies are important because they provide a framework within which the inter-relationships between a number of key variables - such as buyer concentration, regional concentration and various barriers to entry - are examined for the first time using South African data. This study shows that there is much richness in the complex array of structure and performance relationships that persist between key industry variables. The second half of the investigation probes further, testing a series of simultaneous equations to understand how endogeneity and simultaneity considerations might blur the expected lines of causality within the concentration-profits relationship. A number of key inferences are drawn, highlighting a number of surprising results.


Dividendveranderings in Suid-Afrika - tekenend van die verlede of toekoms?
Nell, C.Hamman, W.D.Smit, E.V.D.M. 61-86

Abstract: This study attempts to answer the question whether changes in dividends contain information about future and/or present changes in earnings as many dividend theories imply. Results show no significant support for the dividend theory. Also, the size of the dividend increases does not predict future earnings. A strong and consistent observation was that companies that had cut dividends show a growth in earnings in the following years. The results also indicate that companies that increase dividends are less likely to experience a drop in future earnings than those firms with similar earnings growth that do not change their dividends.


Verifying return-based style analysis using composition-based factor returns
Robertson, M.Firer, C.Bradfield, D. 87-102

Abstract: There are strong arguments for both the composition-based and returns-based approach to style analysis. Several studies have used these techniques for the purpose of identifying unit trusts that are misclassified in terms of their category. By expanding on a well-established technique, this study investigates whether substituting composition-based style factor returns in a returns-based style analysis framework is able to support the findings of the returns-based style analysis. While both techniques of style analysis are capable of identifying misclassified funds they only give partially consistent results. The technique prevents a fund from being reclassified in terms of a returns-based style analysis if such a reclassification is not supported by a composition-based style analysis.

Financial leasing and investment decisions : an empirical investigation
Papanastasiou, J.Lazaridis, J.Lyroudi, K. 103-108

Abstract: An empirical model drawing from the switching regime literature is used to examine whether Greek firms' investment decision on fixed assets is affected by the availability of long-term financial schemes.