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dc.contributor.advisor Ncanywa, T. Molele, Sehludi Brian 2019-12-04T08:08:58Z 2019-12-04T08:08:58Z 2019
dc.description Thesis (M.A. Commerce (Economics)) -- University of Limpopo, 2019 en_US
dc.description.abstract South Africa had targeted the oil and gas sector for investment through the industrial action plan as a special economic zone. However, certain economic fundamentals might negate the anticipated sector financial development. This study investigate how economic risk exposure influence oil & gas sector stock market returns from 2007 to 2015 on a monthly basis. The four macroeconomic variables used to measure economic risk exposure are Brent crude oil prices, the USD/ZAR exchange rate, broad money supply and gold prices. The adopted techniques include the GARCH model to incorporate volatility, the Johansen cointegration and Granger causality techniques. The results of the study found that change in Brent crude oil prices and broad money supply had a positive and significant impact on changes in oil & gas sector stock returns. Changes in exchange rate and gold prices had a negative and significant impact on the sector returns. The long-run relationship established one cointegrating equation in the series. Only Brent crude oil prices indicated a bi-directional Granger causality on the sector returns. Based on the findings, it is recommended that government may use exchange rate as a policy tool to attract interest in the sector. Regarding money supply, the reserve bank should further preserve its effective regulatory infrastructure including the laws, regulations and standards towards the achievement and maintenance of a stable financial system. Portfolio managers, risk managers and investors should monitor the gold price to mitigate losses due to its strength as a safe haven asset. en_US
dc.format.extent ix, 122 leaves en_US
dc.language.iso en en_US
dc.relation.requires Adobe Acrobat Reader en_US
dc.subject Stock returns en_US
dc.subject Oil prices en_US
dc.subject Exchange rates en_US
dc.subject Broad money supply en_US
dc.subject Gold prices en_US
dc.subject.lcsh Stock-exchange -- South Africa en_US
dc.subject.lcsh Petroleum overcharge restitution funds en_US
dc.subject.lcsh Foreign exchange rates -- South Africa en_US
dc.subject.lcsh Exchange rate pass-through en_US
dc.title Economic risk exposure in stock market returns :|ba sector approach in South Africa (2007-2015) en_US
dc.type Thesis en_US

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