Dr. George Adu: A valedictory remembrance

No Abstrac

When Spotting the Glass Cliff Matters for Women: A Qualitative Study Focusing on Gender Inequalities in Corporate South Africa

Trends of women accessing senior manager roles in corporate South Africa have made considerable gains, and although some women have managed to crack the glass ceiling which has hindered their full participation in economic life, true gender equality is yet to be achieved. Sometimes, what seems like a wonderful opportunity to climb up the corporate ladder is an ascent that leads you to the top and pushes you over the edge. But what happens when women do manage to get to the top? The study investigates the concept of the glass cliff by interrogating its existence and looking further into the implications of the phenomenon. A qualitative research methodology was employed, and data collected through semi-structured interviews from a total of 15 participants. The research suggests that for women managers it is important to understand when, why, and how glass cliff appointments are likely to occur and elaborates on strategies for eliminating the glass cliff. The study goes further to make suggestions to policy makers about the importance of understanding the impact of the choices made by women seeking management positions and provides insights regarding how women feel about taking these precarious manager roles. This chapter aims at contributing to this under-researched area from a South African perspective

COVID-19 Outbreak and Co-Movement of Global Markets: Insight from Dynamic Wavelet Correlation Analysis

The COVID-19 pandemic has in its short existence caused economic downturn and affected global markets. As would be expected, the occurrences of global crises or shocks often heighten uncertainties in international markets and increase correlations among them. Yet, not much is known of the actual impacts of COVID-19 on the behavior of global markets. This piece attempts to investigate whether the COVID-19 crisis has had any impact on the interrelationship structure of international markets using the cross-wavelet squared coherence and a dynamic wavelet correlation technique. It emerges that co-movements of the pairwise series become stronger (0.70–0.89) during the heightened periods labeled as epidemic and pandemic phases of COVID-19, than that of the periods that mark the pre-COVID-19 era (−0.49–0.36), hence announcing the influence of the crisis and eroding prospect of benefiting from a hedge instrument and/or a diversifier. Again, we observe that stock market-Global REITs have been the most influenced pair, showing significantly peaked co-movements (0.63–0.87) during the distinct phases of COVID-19. We attribute these developments to the loose monetary and financial measures implemented by central banks of the world. The findings hold important implications for economic and financial actors regarding diversification, hedging, and investment risk management

Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX: Evidence using Markov-switching copulas.

This study re-examines the empirical relationship between risk and return from 1994m12 to 2020m08 in fifteen international equity markets employing the novel time-varying Markov switching copula models. We provide first-time insightful evidence of time-varying Markov tail dependence structure and dynamics between risk and return in international equity markets. Results show that the dependence structure is positive for USA, UK, Germany, Italy, Brazil, Australia, Taiwan, Canada, Mexico, Japan, France and South Africa and negative for Singapore, India, Japan and China. Finally, we document the effects of policy uncertainty, geopolitical risk and VIX conditional on different markets states.post-print433 K

How do markets react to political elections during periods of insecurity and governance crises? Evidence from an African emerging democracy

PURPOSE – This paper operationalizes insecurity and governance crises to study their effects on stock market response to two political events in Nigeria – the 2015 and 2019 presidential elections. DESIGN/METHODOLOGY/APPROACH – An event study was used to capture the market responses. Abnormal returns at the aggregate and sectoral levels were measured over several time windows before and after the respective election results were announced. FINDINGS – The market reacted strongly positively to a change in presidency from an incumbent to an opposition party candidate in the 2015 election but weakly positively, at best, to the re-election of the incumbent candidate in the 2019 election. In addition, banking stocks exhibited greater sensitivity to these events than oil and gas stocks. RESEARCH LIMITATIONS/IMPLICATIONS – There may be peculiarities with the Nigerian case and with the two elections analyzed. Therefore, future research could focus on understanding the extent to which the results generalize to the broader sub-Saharan context and other regions that face similar governance challenges. PRACTICAL IMPLICATIONS – Understanding that markets may have a different perception towards incumbent versus opposition candidate electoral victories during periods of insecurity and governance crisis is important for investors, policymakers, researchers and the wider society. ORIGINALITY/VALUE – Past empirical studies on political events and stock returns in Sub-SaharanAfrica contexts such as Nigeria ignore shifts in voter mood and produce contradictory findings. This paper helps to resolve some of these contradictions by providing insight into how the markets can have a different perception towards incumbent and opposition candidate electoral victories during periods of insecurity and governance crisis.https://www.emerald.com/insight/2040-0705.htmam2023Economic

Revisiting interest rate and lending channels of monetary policy transmission in the light of theoretical prescriptions

Although theories on channels of monetary policy transmission emphasize indirect monetary policy effect on inflation and output, empirical literature is surprisingly rooted in a direct approach. The use of variants of vector autoregression, with theoretical ordering of variables, does not only fail to quantify the indirect effect, but are also fraught with disagreements on identification of shocks of monetary policy. We revisit the interest rate and lending channels of monetary policy transmission in an approach that is grounded in theory and elicits step-by-step transmission of monetary policy impulses and the eventual effect on inflation in South Africa. We find interest rate and lending channels to be operative in South Africa. For the interest rate channel, a percentage restriction in monetary policy increases lending rate by 0.29%; a percentage increase in the lending rate reduces investment by 0.063%; and a percentage fall in investment reduces inflation by 0.074%. For the lending channel, a percentage restriction of monetary policy reduces banking sector credit by 0.22%; a percentage fall in private sector credit reduces investment by 0.20%; and a percentage decline in investment reduces inflation by 0.086%. These results are robust to different samples and specifications

Heterogeneous provincial prices and monetary policy in South Africa: A wavelet-based quantile regression analysis

Although economic agents in different parts of a country face heterogeneous prices, empirical literature continue to assume homogeneity in the monetary policy-inflation nexus, with dire consequences for optimal monetary policy and welfare. Using wavelet-based quantile regressions, we provide a multi-layered asymmetric exposition on provincial inflation-monetary policy relationship in South Africa. We find that whiles restrictive monetary policy delivers stability in the prices of Gauteng, Mpumalanga and North West provinces, it is destabilizing for prices in Eastern Cape, KwaZulu-Natal, Limpopo, Northern Cape and Western Cape provinces. The findings are mixed, for Free State province, depending on the time horizon and quantiles. Our findings present enormous policy and welfare implications, given the inflation targeting status of South Africa and the economic disparities among the provinces of the country

A novel approach to using modern portfolio theory

Since their inception, modern portfolio theory (MPT) and the Sharpe ratio have been among the most popular investment methodologies. Although MPT has shortcomings, it effectively uses market sentiment to predict low-risk, high-earning portfolios. Our study reviews the current practice of using the Sharpe ratio or its derivative, the Sortino ratio, and suggests that investors could earn higher returns using Sterling and Treynor ratios, instead. We find that these two ratios offer higher-performing portfolios, and their statistical distributions have indicators that assist investors in determining when to use them. These new methods outperform current indexes and funds and are more robust than the capital asset pricing model used to evaluate investment performance. We conclude by suggesting additional research with different Sterling and Treynor ratios and advanced optimization algorithms

Estimating bank of Ghana's policy responses in the context of Taylor rule: Is the inflation target realistic?

Although literature acknowledges the nonlinearity in monetary policy behaviour of central banks, the appropriateness of the models used to capture the nonlinearity remains questionable. Moreover, the paucity of research on nonlinear monetary policy rules in the context of Africa and Ghana in particular is worrying, given the numerous breaches of the publicly announced inflation targets. The study estimates the Bank of Ghana's policy responses over the inflation targeting period using the Taylor rule. We find that the Bank of Ghana reacts asymmetrically to inflation gap below and above the estimated inflation threshold of 16.4% with considerable inflation accommodation instead of targeting it. We question the logic behind the prevailing upper and lower bounds inflation target given the evidence to the contrary. The average inflation over the targeting period, the estimated inflation threshold and the structure of the Ghanaian economy raise questions of feasibility of achieving the inflation target on sustainable basis. Policy implications are discussed

Structural transformation in the presence of trade and financial integration in sub-Saharan Africa

This study examines the impact of trade and financial integration on structural transformation relying on data from 28 countries in sub-Saharan Africa (SSA) over the period 1985–2015. Results from our system generalized method of moments (GMM) show that, trade and financial integration significantly spur manufacturing and agricultural sector value additions. However, for the industrial sector, only financial integration robustly influences industrial growth with no effect on the service sector. Further evidence also suggests that trade and financial integration are complementary to each other and do not operate independently to influence structural transformation in SSA