Modelling Financial Contagion in the South African Equity Markets Following the Subprime Crisis

This paper used wavelet analysis and Dynamic Conditional Correlations model derived from the Multivariate Autoregressive Conditional Heteroskedasticity (MGARCH-DCC) to investigate the possible presence of financial contagion in the South African equity market in the wake of the subprime crisis that occurred in the United States. The study uses Dornbusch, Park and Claessens’s (2000) broader definition which asserts that financial contagion only takes place if cross-correlation between two markets is relatively low during the tranquil period, and that a crisis in one market results in a substantial increase cross-market correlation. Using wavelet analysis, the study found high levels of correlation during the subprime financial crisis in both smaller and longer timescales. In the former, high correlation was identified as financial contagion, whereas in the latter it was found to indicate co-movement due to financial fundamentals. The high correlation was identified for small scales 3, 4 and 5 that range from a week to one month indicates the presence of contagion. The study also used the MGARCH-DCC model to compare the cross-market correlation between the SA and the US markets, during a ‘pre-crisis’ and ‘crisis’ period. The study used data for the period between January 2005 and December 2007 for the ‘pre-crisis’ period and that for the period from January 2008 to December 2014 for the ‘crisis’ period. The results indicate cross-market linkages only during the crisis period; hence, it was concluded that cross-market correlation during the period of financial turmoil in the US was the result of financial contagion

Volatility clustering at the Johannesburg Stock Exchange: Investigation and Analysis

Abstract This paper examines the existence and the nature of the volatility clustering phenomenon in the Johannesbur

Composition et distribution spatio-temporelle des protozoaires ciliés dans un petit lac hypereutrophe du Cameroun (Afrique centrale)

La composition et la distribution spatio-temporelle des ciliés du Lac Municipal de Yaoundé (Cameroun) ont été analysées d’avril à décembre 1997, en relation avec des paramètres physico-chimiques du milieu. Trois stations pélagiques et l’herbier littoral ont été échantillonnés. 58 espèces de protistes ciliés ont pu être identifiées, parmi lesquelles environ 60 % d’espèces littorales et périphytiques et 37 % d’espèces pélagiques. Les espèces les plus courantes sont les espèces pélagiques Uronema nigricans et Coleps hirtus. L’abondance saisonnière des ciliés a atteint une valeur maximale de 21 800 ind•L-1, les valeurs les plus élevées étant enregistrées dans la couche trophogène du lac, particulièrement au cours de la grande saison des pluies. Les variations de la biomasse totale des ciliés sont plus faibles, avec des maxima correspondant également aux fortes pluies. Les espèces dominantes en matière de biomasse sont Prorodon africanum, Coleps hirtus et Uronema nigricans. Enfin, les fluctuations saisonnières de l’abondance et de la biomasse des ciliés sont discutées en relation avec les paramètres environnementaux, parmi lesquels le régime pluvial tient apparemment un rôle central.The Municipal Lake of Yaoundé (3° 51’ 37’’ N and 11° 30’ 40’’ E) is a shallow water body (Zm = 4.3 m), situated in downtown Yaoundé, the political capital of Cameroon (Central Africa). The composition and the spatio-temporal distribution of ciliates in combination with physical and chemical water variables were measured in this lake from April to December 1997. Sampling was carried out weekly, at 5 depths (surface, 0.5 m, 1 m, 1.5 m and 2.5 m) and at 3 pelagic stations, A, B and C, representing the upper, middle and the lower parts of the lake, using a Van Dorn sampling bottle. In the littoral station, the periphytic fauna is collected by agitation of the vegetation in a bucket and filtration of water. The water temperature was measured with a thermometer and the pH was measured in the field with a portable pH-meter. The oxygen concentration was determined according to the Winkler method and the transparency of the water column was determined with a Secchi disk. Light availability was measured with a luxmeter. Water colour, suspended solids and ammonium-nitrogen (NH4-N) were analyzed spectrophotometrically using APHA methods. Ciliate species were identified using appropriate and specific keys and were counted under a stereomicroscope at magnifications of 250X and 500X.Results showed that the lake was hypereutrophic. Throughout the study, the temperature and pH values of the water remained around 25°C and 7, respectively. The dissolved oxygen concentration decreased with depth to almost zero at the lake bottom, while the Secchi disk transparency did not exceed 1 m. Spatio-temporal variations of these variables indicated that the middle zone (0.5 to 1.5 m) was the stratum with a critical role in the functioning of the lake. Indeed, it represented the transitional zone between the trophogenic upper layer where photosynthetic activity occurred and the bottom water layer, formed by the microaerophilic to anaerobic tropholitic layers where reducing processes were important.Fifty-eight ciliate species, belonging to 10 orders and 28 families, were identified among which five (Holophrya sp., Lagynophrya rostrata, Lagynophrya simplex, Pseudoprorodon sp. and Histriculus sp.) were new records for Cameroon fauna. This population contained 62% of littoral species and 37% of pelagic species respectively. Within these taxa, dominant species were Uronema nigricans (present at all pelagic stations) and Coleps hirtus (present at more than 97% of the pelagic stations). Their abundance was greater than 2,000 ind•L-1 during the study period showing variation with many peaks. Prorodon africanum occurred sporadically between October and November when rainfall decreased and their densities reached 5,700 ind•L-1 in November at 0.5 m depth at station A. After November, this species was replaced by Prorodon sp. Most of the species collected were cosmopolite or characteristic of shallow tropical water bodies.The total abundance of the ciliate community was high reaching 21,800 ind•L-1 at station A, at 0.5 m depth. According to several authors, the abundance of ciliates in such tropical water bodies varies from 3.6 to 9.75 x 104 ind•L-1. The highest abundances were observed at depths of 0.5 m to 1.5 m at all 3 stations, especially during the rainy season. This corroborated the importance and the role of this stratum in the functioning of Lake Yaoundé. The lowest abundance of ciliates was observed at station A, at the bottom (2.5 m depth). The total abundance of ciliates showed one or several peaks during the period from July to November. With respect to the total biomass, the variation was more regular with generally one peak during the rainy season. At certain depths at stations B and C, several peaks were observed during the period of April to June and from September to November. The total biomass values obtained were higher than those reported by other authors. This can be explained by the fact that reported values in these latter studies were expressed as dry weight while values reported in this study were expressed as wet weight. With respect to biomass, the dominant species was Prorodon africanum (5,300 µg•L-1), followed by Coleps hirtus (3,800 µg•L-1) and Uronema nigricans (3,100 µg•L-1). The highest biomass was 130 x 105 µg•L-1, and was observed at station A, at 0.5 m depth.Generally large size ciliates were more abundant during the dry season whereas small size species were abundant during rainy season. Chilodonella uncinata and Prorodon africanum grew in surface layers (between the surface and 1 m depth) while Paradileptus conicus and Uronema nigricans preferred deep water (1 to 2.5 m depth). There was a great development of ciliates during the transitional period between the rainy and dry seasons. Moreover there was a close relationship between environmental parameters and the ciliate community. In fact, 2 to 3 physico-chemical predictors (dissolved oxygen, temperature and conductivity or pH) explained spatio-temporal distributions of different species. The variation of the total biomass in station A was explained by the dissolved oxygen concentration (r2 = 0.366; p<0.001) and by the pH (r2 = 0.274; p<0.001); at stations B and C, the variation was explained by ammonium-nitrogen (r2 = 0.178 and r2 = 0.294 for p<0.01). The most important abiotic factor that influenced the density and biomass variation of ciliate communities of Lake Yaoundé was the precipitation rate. Throughout the study, station B was the most characteristic of the structure of the ciliate community of this lake

Phytoplancton du lac municipal de Yaoundé (Cameroun) : Succession écologique et structure des peuplements

L'évolution spatio-temporelle, qualitative et quantitative du peuplement phytoplanctonique a été suivie au lac municipal de Yaoundé. Pour cela des prélèvements hebdomadaires ont été effectués de novembre 1996 à décembre 1997, au niveau d'une station de la zone centrale du lac.Trois descripteurs (indice de diversité spécifique, régularité et diagrammes rangs-fréquences) ont été utilisés pour l'analyse de la dynamique de la structure du peuplement. L'indice de diversité spécifique obtenu à partir des biomasses spécifiques, par la formule dérivée de celle de SHANNON et WEAVER (1949), est compris entre 0,68 et 4,64 bits/µg. La régularité (PIELOU, 1966) varie de 0,14 à 0,84; les faibles valeurs correspondant dans l'ensemble à la présence des espèces fortement dominantes. Les profils des diagrammes rangs-fréquences, établis en coordonnées log-log, associés aux faibles valeurs de la diversité, sont essentiellement caractéristiques des stades pionniers (1 et 1') de l'évolution d'un lac tel que décrits par MARGALEF (1967) et FRONTIER (1976). Le stade 2 est rare alors que le stade 3 est absent.Une analyse simultanée basée sur les variations spatio-temporelles de la densité cellulaire et de l'indice de diversité spécifique, sur les valeurs de la régularité, et sur les profils des diagrammes rangs-fréquences révèle le caractère immature permanent des populations phytoplanctoniques inféodées à ce biotope, et caractérise ainsi un milieu eutrophe à hypereutrophe où aucun stade d'équilibre n'est atteint. La richesse du milieu en éléments biogènes et sa faible profondeur (Zmax=4,3 m) sont à l'origine de sa vulnérabilité. L'événement susceptible d'interrompre la succession des populations s'est avéré être le brassage des eaux, provoqué aussi bien par les pluies que les vents dont l'énergie cinétique est fréquemment suffisante pour entraîner un brassage complet d'une colonne d'eau de hauteur aussi faible.The Yaounde municipal lake (3°52'N, 11°32'E) is a shallow hypertrophic water body (Z max=4.3 m), situated downstream from Yaounde. It is an artificial lake resulting from a dam constructed in 1951 across a small river named Mingoa. Like many other water bodies in urbanised areas, this ecosystem switched rapidly from being mesotrophic to hypertrophic during the 1980's, due to the expansion of human activity and an inefficient treatment of wastewater in its catchment area. This study was carried out with the objective to analyse the ecological succession and the spatio-temporal fluctuations of the phytoplankton population structure in this shallow equatorial lake. Samples were collected at weekly intervals from November 1996 to December 1997, at a station near its central zone (depth=3.5 m), using an opaque horizontal PVC Van Dorn sampler. Sampling operations were conducted at the following levels: surface; -0.5 m; -1 m; -1.5 m and -2.5 m.Individual phytoplankton from 1% iodine acid preserved subsamples (BOURRELLY, 1990) were enumerated with an inverted microscope (Olympus CK2) at 200X magnification, using a Sedgwick-Rafter counting cell, according to UTHERMÖHL (1958). At least 400 individuals (colonies, bundles or trichomes, depending on existing life forms) were counted on each subsample. Specific biomass was then obtained using the biovolume method. To evaluate the population structure dynamics, the SHANNON and WEAVER (1949) specific diversity index method and the evenness (PIELOU, 1966) method were computerized using specific biomass, the evenness being the ratio between the real and the maximal diversity (log2 S, where S is the number of species). Also, rank-frequency diagrams were carried out in logarithmic co-ordinates according to FRONTIER (1969), using integrated samples obtained from grab samples collected over the entire water column.Cell densities were highest in the uppermost meter of the water column at the beginning of the rainy season, due to the exponential development of species such as Planktothrix mougeotii, Chlamydomonas sp., Eudorina elegans, Euglena gracilis, Gonyostomum semen, Euglena texta, Phacus helicoïdes, Closterium limneticum, Cryptomonas ovata, Peridinium cf. gutwinskii, Trachelomonas hispida var. crenulatocollis and Cyclotella meneghiniana. The specific diversity index varied 0.68 and 4.64 bits/µg, and values gradually decreased from the first uppermost meter to the bottom of the water column. Evenness varied from 0.14 to 0.84 with a somewhat similar spatio-temporal variation as the diversity index. Low values of these descriptors generally correspond to the presence of a highly dominant species. The rank-frequency diagrams were mainly S-shaped, indicating the predominance of one species which in this study was either Chlamydomonas sp or Planktothrix mougeotii.A simultaneous analysis of the ecological succession and the spatio-temporal variations of the phytoplanktonic structure revealed that the functioning of this ecosystem was essentially allogenic in nature and was strongly influenced by the supply of decayed organic matter from the Mingoa stream, and effluents from ministerial buildings and hotels located near the lake. This permanent supply of abundant biogenic elements, coupled with the low depth of the ecosystem, makes it vulnerable. Ecological succession, frequently limited to the pioneer stages (1 and 1'), reflected the briefness of the different phases of phytoplankton growth, and the consequences of disturbances regularly undergone by the phytoplankton community. The second stage was scarcely reached while the third was absent. These successions were mainly controlled by rainfall, as well as wind, which is responsible for the mixing of such a shallow water column. These results can be considered important for the Yaounde municipal lake and other water bodies close to densely populated areas in Cameroon for which there is no management plan. Urgent actions need to be carried out to rehabilitate this ecosystem that fluctuates between the eutrophic and hypertrophic status

Biodiversity and spatial distribution of Rotifera in a shallow hyperuetrophic tropical Lake (Cameroon)

No Abstract.Journal of the Cameroon Academy of Sciences Vol. 6 (3) 2006: pp. 149-16