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Integration and volatility spillovers in African equity markets: Evidence from Namibia and South Africa
Umeå University, Faculty of Social Sciences, Economics.
2006 In: African Finance Journal, Vol. 8, no 2, 31-50 p.Article in journal (Refereed) Published
Place, publisher, year, edition, pages
2006. Vol. 8, no 2, 31-50 p.
URN: urn:nbn:se:umu:diva-3406OAI: diva2:142085
Available from: 2008-09-09 Created: 2008-09-09Bibliographically approved
In thesis
1. Essays on the Namibian Economy
Open this publication in new window or tab >>Essays on the Namibian Economy
2008 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis consists of an introduction and four papers exploring various aspects of the Namibian economy. These aspects cover shadow pricing, environmental valuation and capital market development in Namibia.

Paper I estimates the shadow prices of capital, labour and foreign exchange for the Namibian economy. The results suggest that the shadow price of capital for Namibia is 7.2%. The economic costs of Namibian labour, as a share of financial costs, are 32% for urban semi- and unskilled labour, and 54% for rural semi- and unskilled labour. The economic cost of foreign labour as a share of financial costs is 59%. The estimated shadow exchange rate factor is 4% for the Namibian economy.

Paper II derives a set of accounting price ratios (APRs) for the various economic sectors of Namibia by using the Semi-Input–Output (SIO) Technique. An APR is the ratio between the market or financial price and the efficiency or economic value of a specific commodity or sector, which is useful for the economic analysis of investment or development initiatives. This larger set of APRs, derived on the basis of information contained in a Namibian Social Accounting Matrix (SAM), should be useful in improving the effective appraisal of development projects and other major investment programmes in Namibia.

Paper III analyses returns and volatility on the Namibian and South African stock markets, using the daily closing indices of the Namibian Stock Exchange (NSX) and the Johannesburg Stock Exchange (JSE). The sample covers the period from 4 January 1999 to 20 March 2003. The methodology has three main parts: (i) unit root tests, (ii) cointegration analysis, and (iii) volatility modelling. The results show that the two markets exhibit very low correlations, and there is no evidence of a linear relationship between the markets. Furthermore, a volatility analysis shows evidence of no spillover effects. These results suggest that the NSX could be an attractive risk diversification tool for regional portfolio diversification in southern Africa

Paper IV studies the determinants of property prices in the township areas of Windhoek, the capital of Namibia. The work‟s major finding is that properties located close to an environmental bad (e.g. garbage dump) sell at considerable discounts. On the other hand, properties located near an environmental good (e.g. a recreational open space) sell at a premium. These results provide evidence of the importance of environmental quality in lower-income property markets in developing countries. It is important, therefore, for Namibian urban planners to incorporate environmental quality into the planning framework for lower-income areas.

Place, publisher, year, edition, pages
Umeå: Nationalekonomi, 2008. 156 p.
Umeå economic studies, ISSN 0348-1018 ; UES 745
Namibia; shadow prices; discount rate; semi-input-output; accounting price ratios; financial returns; volatility; hedonic pricing; townships
National Category
urn:nbn:se:umu:diva-1815 (URN)978-91-7264-633-9 (ISBN)
Public defence
2008-09-30, Hörsal D, Samhällsvetarhuset, Umeå, 10:15
Available from: 2008-09-09 Created: 2008-09-09 Last updated: 2012-06-01Bibliographically approved

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