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Open Access
Article
Publication date: 29 November 2023

Thabo J. Gopane, Noel T. Moyo and Lesego F. Setaka

Stirred by scant regard for market phases in portfolio performance assessments, the current paper investigates the active versus passive investment strategies under the bull and…

Abstract

Purpose

Stirred by scant regard for market phases in portfolio performance assessments, the current paper investigates the active versus passive investment strategies under the bull and bear market conditions in emerging markets focusing on South Africa as a case study.

Design/methodology/approach

Methodologically, the measures of Jensen's alpha and Treynor index are applied to the monthly returns of 20 funds from January 2010 to June 2022.

Findings

The results are enlightening; though they contradict developed market evidence, they are consistent with emerging market trends. The findings show that actively managed funds outperform the market benchmark and passive investing style under bear and normal market conditions. Passive investment strategy outperforms both market benchmark and actively investing style under bull market conditions.

Practical implications

In the face of improved market efficiency, increased liquidity and recent technological impact, the findings of this study have practical application. The study outcomes should inform and update global investors, especially asset managers interested in emerging markets; however, the limitations of the study should also be considered.

Originality/value

While limited studies consider market conditions when comparing and contrasting the performance of passive versus active investing, such consideration is lacking in emerging markets. The current study corrects this literature imbalance.

Details

Journal of Capital Markets Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2514-4774

Keywords

Open Access
Article
Publication date: 6 November 2023

Thabo J. Gopane

This study examines the impact of regional economic integration (REI) on stock market linkages in the BRICS (Brazil, Russia, India, China and South Africa) economic bloc. In this…

Abstract

Purpose

This study examines the impact of regional economic integration (REI) on stock market linkages in the BRICS (Brazil, Russia, India, China and South Africa) economic bloc. In this type of study, the BRICS framework is an appealing empirical case, given its uncommon characteristics. For example, BRICS member states come from remote geographic locations (Africa, Asia, Europe and South America) and have contrasting socioeconomic profiles.

Design/methodology/approach

An empirical design is framed from the perspective of bilateral trade between South Africa and BRIC. The author accepts trade intensity as a proxy of regional economic integration and then examines the resulting effect on the stock market co-movement within BRIC. The study applies a two-step econometric procedure of the BEKK-MGARCH and panel data models.

Findings

Overall, bilateral trade, as a proxy of economic inwctegration, is associated with an increase in stock market integration. This positive relationship is particularly observed during episodes of surplus trade, and more interestingly, was initiated three years after BRICS’ existence and continues to grow at an increasing rate.

Practical implications

The study outcome should benefit international trade practitioners and global investors interested in portfolio diversification or concerned with risk spillovers.

Originality/value

First, notwithstanding South Africa's significant economic presence in the African continent, to the best of the author’s knowledge, this is the first study to empirically evaluate the BRICS economic integration on their stock market linkages from the perspective of South Africa. The value of this contribution is that further work may investigate the bidirectional spillover impact conveyed by South Africa's trade interactions within the juxtaposition of Africa and BRICS economies. Second, given that research on REI and stock market integration has historically concentrated on mature regional blocs of Europe, Asia, South and North America, the current study advances knowledge while correcting the prevailing literature imbalance.

Details

Journal of Economics, Finance and Administrative Science, vol. 28 no. 56
Type: Research Article
ISSN: 2077-1886

Keywords

Open Access
Article
Publication date: 1 February 2022

Khumbulani L. Masuku and Thabo J. Gopane

The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy–hold strategy in Bitcoin exchange rate…

1646

Abstract

Purpose

The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy–hold strategy in Bitcoin exchange rate returns.

Design/methodology/approach

The study tests the technical trading rule of fixed moving average (FMA) on daily actual and equilibrium returns of Bitcoin exchange rates. The equilibrium returns are computed using dynamic CAPM in conjunction with a VAR-MGARCH (1, 1) system. The empirical evaluation of the study uses a case study of four Bitcoin exchange rates (BTC/AUD, BTC/EUR, BTC/JPY and BTC/ZAR) for the period 19 June 2010 to 30 October 2020.

Findings

The findings are consistent with related studies in conventional foreign exchange markets that find TA to be profitable, especially in emerging markets. Nevertheless, the consideration of risk premium has the effect of reducing the abnormal returns. Also, further robust tests reveal that Bitcoin returns possess a momentum effect which prompts further study in efficient market hypothesis research.

Practical implications

The empirical findings of this study should benefit portfolio managers and active investors on the strength of TA to predict returns in a speculative market like the Bitcoin exchange rate market.

Originality/value

The study takes cognisance that cryptocurrency trading is speculative in nature which renders it a good candidate for TA methods. While there are studies that have explored the value of TA in Bitcoin exchange rates, these studies fail to incorporate the effects of time-varying risk premiums, the strength and focus of the current paper.

Details

Journal of Capital Markets Studies, vol. 6 no. 1
Type: Research Article
ISSN: 2514-4774

Keywords

Open Access
Article
Publication date: 25 February 2022

345

Abstract

Details

Journal of Capital Markets Studies, vol. 6 no. 1
Type: Research Article
ISSN: 2514-4774

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