This paper presents a overview and discussion of facts and research findings on South African equity, currency, bond and derivatives markets. It is not a comprehensive literature review, but rather an assessment of where we stand - how the markets have developed, how the main markets compare...

At what level does a currency’s volatility become ‘excessive’, in a concrete sense? Any claim that an exchange rate is excessively volatile needs a benchmark for ‘normal’variability. We compute variance bounds implied by exchange rate models as the norm, for a set of...

Emerging market economies (EMEs) have persistently experienced different waves of commodity terms of trade disturbances, generating macroeconomic instabilities. The adoption of in‡flation targeting (IT) by many emerging market economies has raised the questions about its relative suitability...

We implement a recursive out-of-sample method to examine anomalies-based ex-ante predictability in the cross-section of stock returns. We obtain a series of simulated out-of-sample returns, consistent with investors using only prior information when choosing predictor variables. We find that, by...

This paper examines whether there necessarily exists a conflict between allocative and productive efficiency in small open economy markets. That productive efficiency favours market concentration is not in dispute, and the sole question we face is whether allocative efficiency suffers under high...