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Orientation: The behaviour of stock market return volatility and implications thereof in Southern African Development Committee (SADC).Research purpose: The main aim of this study was to examine leverage effects and volatility persistence in selected southern African stock markets.Motivation for the study: To examine the volatility of stock markets in SADC which has implications on investment risk.Research approach, design and method: The study adopted exponential generalised autoregressive conditional heteroscedasticity (1.1) model using generalised error distribution and Student’s t-distribution.Main findings: Leverage effects were evidenced in Namibia and South Africa. Other nations reflected mixed results depending on the error distribution assumed. Volatility persistence was noted in all nations save for Malawi.Practical/managerial implications: Investors in Namibia and South Africa are encouraged to include leverage effects in portfolio optimisation and value-at-risk computations. Firms raising funds in these nations should be prepared to incur a risk premium as compensation to creditors for assuming high risk. As such raising capital in such nations is expected to be expensive and difficult coupled by market illiquidity, other things being equal. Except for Malawi, firms operating in other SADC nations are encouraged to hedge their operations as the level of stock market volatility is persistent and notable.Contribution/value-add: The study focused on countries that are excluded from recent studies using current models of volatility. A comparison is therefore possible at country level and using two different error distribution assumptions which concretise the results.

In December 2010, the Basel Committee on Baking Supervision introduced the liquidity coverage ratio (LCR) standard for banking institutions in response to disturbances that rocked banks during the 2007/08 global financial crisis. The rule is aimed at enhancing banks’ resilience to short term liquidity shocks as it requires banks to hold ample stock of high grade securities. This study attempts to evaluate the impact of the LCR specification on the funding structures of banks in emerging markets by answering the question “Did Basel III LCR requirement induced banks in emerging market economies to increase deposit funding more than they would otherwise do?” The study found that the LCR charge has been effective in persuading banks in emerging markets to garner more stable retail deposits. This response may engender banking sector stability if competition for retail deposits is properly regulated.

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE) estimators after preliminary cross-sectional dependence and stationarity tests. The results from the three estimators were insignificant in both the short and long run, illustrating the inability of infrastructure sector returns in emerging markets to hedge inflation. Similar results were obtained when the inflation-hedging capacity of real estate and general listed equity was assessed. This suggests the existence of significant beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the heterogenic nature of the infrastructure sector, a deeper analysis that focuses on infrastructure sector sub-categories might be fruitful as the pricing power is heterogeneous across these sub-sectors.

The aim of the paper was to ascertain whether bank specific factors significantly impact on return on asset (ROA) as a measure of bank performance. This paper utilized quantitative methodology in ascertaining the relationship between bank internal features and bank performance in Zimbabwe. As all the variables are quantitative in nature, the researchers had no other option but to use quantitative method applying panel data models. The results indicated that bank specific indicators were not significant in determining bank performance but rather bank external factors could play a significant role in determining bank performance. The researchers recommended that the Central Bank embark on a softer stance as the level of capital does not significantly affect the return on assets of the firms, though it enhances soundness and stability of the sector.

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Purpose: This study analyzed the impact of listing and trading futures contracts on the underlying stock index volatility behavior. The FTSE/JSE TOP 40 index was the index of interest.Methodology: To capture the non-constant variance of the residuals, a modified Generalised Autoregressive Conditionally Heteroscedasticity (GARCH) model was adopted. This model was used was adopted given that financial time series data exhibited ARCH effects. The GARCH model was estimated after dividing the sample period into pre-and post-futures eras.Findings: The research findings point towards stabilization effects on underlying stock volatility and refute the suggestion that futures markets improve the dissemination of information to the corresponding spot markets. On the same note, the introduction of futures increased the volatility persistence of index returns.Unique contribution to theory, policy, and practice: This paper applied a modified-GARCH by incorporating a dummy variable to the traditional GARCH model. The study used an emerging economy as a case study which makes the results and conclusions more specific and applicable. On the same note, the study covered the pre-and post-global crisis of 2007/8 in a Sub-Saharan nation. In practice, stock markets are encouraged to introduce futures contracts on highly volatile spot market assets.