Owen Jakata

This study uses Extreme Value Theory (EVT), Value-at-Risk (VaR) and Expected Shortfall (ES) analysis as a unified tool for managing extreme financial risk. The study extends the application of the generalised Pareto distribution (GPD) by modelling monthly South African Industrial Index (J520) returns (years: 1995C2018) to quantify the tail-related risk measures. The GPD is used to estimate the tail-related risk measures using the Peak over Threshold (PoT) method. Maximum Likelihood Estimates (MLE) of model parameters were obtained and the models goodness of fit was assessed graphically using Quantile-Quantile (QCQ) plots, Probability (PCP) plots, scatter plots, residuals, return levels and density plots. The findings are that the GPD provides an adequate fit to the data of excesses (extreme losses or gains). Low frequency but very high or very low returns impact on investment decisions. Calculations of the VaR and ES tail-related risk measures based on the fitted GPD model are given...

This study examined whether the share prices of companies listed on the Zimbabwe Stock Exchange follow the Random Walk Hypothesis. The research was motivated by the fact that investors are interested in knowing whether past share prices have a propensity to forecast future share prices. The period covered by the research was January 2014 to December 2014. The main objective of the study investigated the possibility that share prices follow the Random Walk Hypothesis. The data was analysed using the Chi-square Test, the Runs Test and the Auto-correlation Test. The findings showed that changes in share prices on the ZSE refute the Random Walk Hypothesis. The study concluded that share price shifts follow some pattern or trend and that historical price changes can be used to predict future price movements. The study also concluded that the ZSE provides an opportunity for investors to create wealth as they take advantage of its weak-form inefficiency.

This study investigated how stock prices and bank efficiency are linked to shareholder value creation. In this study two models Data Envelopment Analysis (DEA) and Stochastic Frontier Analysis (SFA) are applied to estimate bank efficiency. A comparative efficiency analysis of the two models, DEA and SFA was done and it was concluded that the two methods are consistent in terms of the results that were obtained. The difference between DEA and SFA efficiency scores is due to the presence of measurement error in DEA model and due to the functional form of the SFA model. The two methods are used jointly to provide complementary information. The banks were ranked in terms of efficiency scores and CBZ and FBC were ranked number one and two respectively. In this study sensitivity analysis was used to determine which factors between bank efficiency, log Total Assets, ROE and ROA have the greatest influence on stock prices. The results show that bank efficiency has the greatest influence on ...

The aim of this study is to model the probabilistic behaviour of unusually large financial losses (extreme-risk)and gains of the South African Financial Index (J580). Risk is defined as uncertainty in return in this paper. This study makes use of Extreme Value Theory (EVT) for the period years: 1995-2018 to build models that are used to estimate extreme losses and gains. The quarterly block maxima/minima of monthly returns are tted to the Generalised Extreme Value Distribution (GEVD). Return levels (maximum loss/gain) based on the parameters from the GEVD are estimated. A comparative analysis with the Generalised Pareto Distribution (GPD) is carried out. The study reveals that EVT provides an efficient method of forecasting potentially high risks in advance. The conclusion is that analysing extreme risk in the South African Financial Index helps investors understand its riskness better and manage to reduce the risk exposure in this portfolio.

This study examined the effects of dividend policy on the share price of a firm. The research was motivated by the fact that firms on the Zimbabwe Stock Exchange (ZSE) are changing their dividend policies to conservative/stringent dividend policies as a result of the unpredictable and turbulent business environment hence the need to determine whether it is still profitable to invest on the stock market. The period covered by the research was 2003 to 2011. The main objective of the study was to determine whether shareholder value is eroded as dividend policies change and also to determine whether it was still profitable to invest on the stock market. The findings showed that i) there is no relationship between dividend policy and share price of a firm ii) there is no relationship between earnings per share and the share price. The study concluded that dividend policy does not affect share price and that shareholder value is maintained even though firms have adopted conservative dividend policies. The study also concluded that it is still profitable to invest on the ZSE as the potential for investors to create wealth remains high.