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All Journal Journal of Accounting and Investment Business and Finance Journal
Kunjal, Damien
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Economics, Econometrics & Finance

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Macroeconomic determinants of responsible investments’ performance under different market conditions: Evidence from South Africa Moodley, Fabian; Lawrence, Babatunde; Kunjal, Damien
Journal of Accounting and Investment Vol 25, No 3: September 2024
Publisher : Universitas Muhammadiyah Yogyakarta, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/jai.v25i3.21616

Abstract

Research aims: The study examines the effect of macroeconomic variables on JSE responsible investments returns under changing market conditions.Design/Methodology/Approach: The study implemented a sample period comprising monthly data for the period 2015/11 to 2023/03. The dependent variable of the study comprised of JSE responsible investing indices whereas the independent variables consisted of macroeconomic variables. The study also implemented a two-state Markov regime-switching model to cater to the asymmetrical effect between the dependent and independent variable.Research findings: The JSE responsible investment index returns were found to be significantly positively affected by short-term interest growth rates in a bull regime and significantly negatively in a bear regime. The JSE responsible investment top 30 index returns were significantly negatively affected by the money supply growth rate in a bull regime but not in a bear regime. Moreover, the JSE responsible investment index returns contained alternating efficiencies. Theoretical contribution/Originality: The study is the first to consider the effect of macroeconomic variables on the performance of responsible investments under different market conditions in South Africa. Consequently, the study sheds light on responsible investing in emerging markets where research is limited.Practitioner/Policy implication: Portfolio rebalancing is necessary when equity markets are bullish or bearish. Moreover, policymakers should reconsider market regulations, such that the equity market is adaptive and not efficient. Research limitation/Implication: The study focused on six macroeconomic variables, where this does not affect the robustness of the study. More macroeconomic variables can be used in future research.
Macroeconomic determinants of responsible investments’ performance under different market conditions: Evidence from South Africa Moodley, Fabian; Lawrence, Babatunde; Kunjal, Damien
Journal of Accounting and Investment Vol. 25 No. 3: September 2024
Publisher : Universitas Muhammadiyah Yogyakarta, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/jai.v25i3.21616

Abstract

Research aims: The study examines the effect of macroeconomic variables on JSE responsible investments returns under changing market conditions.Design/Methodology/Approach: The study implemented a sample period comprising monthly data for the period 2015/11 to 2023/03. The dependent variable of the study comprised of JSE responsible investing indices whereas the independent variables consisted of macroeconomic variables. The study also implemented a two-state Markov regime-switching model to cater to the asymmetrical effect between the dependent and independent variable.Research findings: The JSE responsible investment index returns were found to be significantly positively affected by short-term interest growth rates in a bull regime and significantly negatively in a bear regime. The JSE responsible investment top 30 index returns were significantly negatively affected by the money supply growth rate in a bull regime but not in a bear regime. Moreover, the JSE responsible investment index returns contained alternating efficiencies. Theoretical contribution/Originality: The study is the first to consider the effect of macroeconomic variables on the performance of responsible investments under different market conditions in South Africa. Consequently, the study sheds light on responsible investing in emerging markets where research is limited.Practitioner/Policy implication: Portfolio rebalancing is necessary when equity markets are bullish or bearish. Moreover, policymakers should reconsider market regulations, such that the equity market is adaptive and not efficient. Research limitation/Implication: The study focused on six macroeconomic variables, where this does not affect the robustness of the study. More macroeconomic variables can be used in future research.
DO FINTECH INNOVATIONS MATTER FOR THE EFFICIENCY AND STABILITY OF BANKS IN SOUTH AFRICA? Mhlongo, Njabulo; Kunjal, Damien; Muzindutsi, Paul-Francois
Jurnal Bisnis dan Keuangan Vol 10 No 1 (2025): Business and Finance Journal
Publisher : Universitas Nahdlatul Ulama Surabaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33086/bfj.v10i1.7004

Abstract

Aim: This study investigates the impact of financial technology (Fintech) innovations on the efficiency and stability of banks listed on the Johannesburg Stock Exchange (JSE) between 2000 and 2023.Method: Using panel data techniques, the study employs Stochastic Frontier Analysis (SFA) to assess bank efficiency, Z-Score to assess bank stability, and the Generalized Method of Moments (GMM) to evaluate the relationships between fintech and banking sector dynamics. Key Findings: The results indicate that fintech innovations, particularly mobile transactions, significantly enhance operational efficiency in South African banks. However, fintech adoption has no statistically significant effect on banking sector stability, which remains largely influenced by traditional capital structures. Theoretical Contributions: The present study builds on existing research by concurrently examining the impact of fintech on both bank efficiency and stability, thereby providing a more comprehensive and nuanced perspective, an area that remains underexplored in emerging markets. Policy Implications: From a policy perspective, the findings underscore the need for a comprehensive regulatory framework that fosters innovation while safeguarding financial stability in South Africa's evolving banking landscape.
Co-Authors Lawrence, Babatunde Mhlongo, Njabulo Moodley, Fabian Muzindutsi, Paul-Francois